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1934
result(s)
Predicting Changes in Canadian Housing Markets with Machine Learning
Staff Discussion Paper 2023-21
Johan Brannlund,
Helen Lao,
Maureen MacIsaac,
Jing Yang
We apply two machine learning algorithms to forecast monthly growth of house prices and existing homes sales in Canada. Although the algorithms can sometimes outperform a linear model, the improvement in forecast accuracy is not always statistically significant.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Housing
JEL Code(s):
A,
C,
C4,
C45,
C5,
C53,
D,
D2,
R,
R2,
R3
Anonymous Credentials: Secret-Free and Quantum-Safe
Staff Working Paper 2023-50
Raza Ali Kazmi,
Cyrus Minwalla
An anonymous credential mechanism is a set of protocols that allows users to obtain credentials from an organization and demonstrate ownership of these credentials without compromising users’ privacy. In this work, we construct the first secret-free and quantum-safe credential mechanism.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
G,
G2,
G21,
O,
O3,
O31
Should Banks Be Worried About Dividend Restrictions?
Staff Working Paper 2023-49
Josef Schroth
A regulator would want to restrict dividends to force banks to rebuild capital during a crisis. But such a policy is not time-consistent. A time-consistent policy would let banks gradually rebuild capital and pay dividends even when their equity remains below pre-crisis levels.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Credit risk management,
Financial stability,
Financial system regulation and policies,
Lender of last resort
JEL Code(s):
E,
E1,
E13,
E3,
E32,
E4,
E44
Tattle-tails: Gauging downside risks using option prices
Staff Analytical Note 2023-13
Greg Adams,
Maksym Tupis
Options markets offer unique insights into the changing risks different assets face, which helps us better understand the broader risks to the Canadian economy. We show how option prices help reveal that investors did not anticipate large downside risks to either major Canadian banks or economic growth during the March 2023 financial sector system stress, a period when policy-makers and investors were unsure of what the future held for Canada’s economy.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Monetary policy and uncertainty,
Recent economic and financial developments
JEL Code(s):
E,
E4,
E44,
E5,
E52
Digitalization: Definition and Measurement
Staff Discussion Paper 2023-20
Guyllaume Faucher,
Stephanie Houle
This paper provides an overview of digitalization and its economic implications. We assess the scope of digitalization in Canada as well as the challenges related to its measurement.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Digitalization,
Potential output
JEL Code(s):
E,
E0,
E01,
O,
O3,
O33,
O5,
O51
Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency
Staff Discussion Paper 2023-19
Chinara Azizova,
Bruno Feunou,
James Kyeong
This paper quantifies tail risks in the outlooks for Canadian inflation and real GDP growth by estimating their conditional distributions at a daily frequency. We show that the tail risk probabilities derived from the conditional distributions accurately reflect realized outcomes during the sample period from 2002 to 2022.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
C5,
C58,
E,
E4,
E44,
G,
G1,
G17
The Macroeconomic Effects of Debt Relief Policies During Recessions
Staff Working Paper 2023-48
Soyoung Lee
A large-scale reduction in mortgage principal can strengthen a recovery, support house prices and lower foreclosures. The nature of the intervention shapes its impact, which rests on how resources are redistributed across households. The availability of bankruptcy on unsecured debt changes the response to large-scale mortgage relief by reducing precautionary savings.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Debt management,
Housing
JEL Code(s):
E,
E2,
E21,
E3,
E32,
E6
Labour Supply and Firm Size
Staff Working Paper 2023-47
Lin Shao,
Faisal Sohail,
Emircan Yurdagul
This paper documents a systematic pattern of how wages, hours and their relationship vary across firms of different sizes. Using a model with heterogeneous firms and workers, we show how the interplay between wages, hours and firm size affect worker sorting and inequality.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
Labour markets
JEL Code(s):
E,
E2,
E24,
J,
J2,
J3,
J31
International Economic Sanctions and Third-Country Effects
Staff Working Paper 2023-46
Fabio Ghironi,
Daisoon Kim,
Galip Kemal Ozhan
We study the transmission and third-country effects of international sanctions. A sanctioned country’s losses are mitigated, and the sanctioning country’s losses amplified, if a third country does not join the sanctions, but the third country benefits from not joining.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Exchange rates,
International topics
JEL Code(s):
F,
F3,
F31,
F4,
F41,
F42,
F5,
F51