Inference in Games Without Nash Equilibrium: An Application to Restaurants’ Competition in Opening Hours Staff working paper 2018-60 Erhao Xie This paper relaxes the Bayesian Nash equilibrium (BNE) assumption commonly imposed in empirical discrete choice games with incomplete information. Instead of assuming that players have unbiased/correct expectations, my model treats a player’s belief about the behavior of other players as an unrestricted unknown function. I study the joint identification of belief and payoff functions. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C57, L, L1, L13, L8, L85 Research Theme(s): Financial markets and funds management, Market structure, Models and tools, Econometric, statistical and computational methods
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 JEL Code(s): C, C3, C32, C5, C58, E, E4, E44, G, G1, G17 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
On the Evolution of the United Kingdom Price Distributions Staff working paper 2018-25 Ba M. Chu, Kim Huynh, David T. Jacho-Chávez, Oleksiy Kryvtsov We propose a functional principal components method that accounts for stratified random sample weighting and time dependence in the observations to understand the evolution of distributions of monthly micro-level consumer prices for the United Kingdom (UK). Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, C8, C83, E, E3, E31, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures
Dynamic Consumer Cash Inventory Model Staff working paper 2025-22 Kim Huynh, Oleksandr Shcherbakov, André Stenzel We study consumer cash inventory behavior by developing a dynamic model of forward-looking consumers and estimating structural parameters of the model using detailed consumer survey data. Consumers facing holding and withdrawal costs solve a discrete-time continuous-control dynamic programming problem to optimally use cash at the point of sale. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D12, D14, E, E4, E41, E42, G, G2, G21 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes
Modelling Canadian mortgage debt and payments in a semi-structural model Staff analytical note 2024-1 Fares Bounajm, Austin McWhirter We show how Canadian mortgage debt dynamics can be modelled in a semi-structural macroeconomic model, such as the Bank of Canada’s LENS. The model we propose accounts for Canada’s unique mortgage debt structure. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E27, E4, E43, E47, G, G5, G51 Research Theme(s): Financial system, Household and business credit, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
Is a Cashless Society Problematic? Staff discussion paper 2018-12 Walter Engert, Ben Fung, Scott Hendry The use of bank notes in Canada for payments has declined consistently for some time, and similar trends are evident in other countries. This has led some observers to predict a cashless society in the future. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E4, E41, E42, E5 Research Theme(s): Financial system, Financial stability and systemic risk, Money and payments, Cash and bank notes, Digital assets and fintech, Retail payments
What COVID-19 revealed about the resilience of bond funds Staff analytical note 2020-18 Guillaume Ouellet Leblanc, Ryan Shotlander The liquidity management strategies of fund managers, supported by policy measures, have helped bond funds limit the increase in redemptions caused by COVID 19. This avoided further deterioration in liquidity in bond markets. Nevertheless, these funds were left with lower cash buffers, which could make them more vulnerable to additional large redemptions. Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G1, G2, G20, G23 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals Staff working paper 2017-22 Lorenzo Pozzi, Barbara Sadaba This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods
Estimating Policy Functions in Payments Systems Using Reinforcement Learning Staff working paper 2021-7 Pablo S. Castro, Ajit Desai, Han Du, Rodney J. Garratt, Francisco Rivadeneyra We demonstrate the ability of reinforcement learning techniques to estimate the best-response functions of banks participating in high-value payments systems—a real-world strategic game of incomplete information. Content Type(s): Staff research, Staff working papers JEL Code(s): A, A1, A12, C, C7, D, D8, D83, E, E4, E42, E5, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech, Payment and financial market infrastructures
The Financial Origins of Non-fundamental Risk Staff working paper 2022-4 Sushant Acharya, Keshav Dogra, Sanjay Singh We explore the idea that the financial sector can be a source of non-fundamental risk to the rest of the economy. We also consider whether policy can be used to reduce this risk—either by increasing the supply of publicly backed safe assets or by reducing the demand for safe assets. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D5, D52, D8, D84, E, E6, E62, G, G1, G10, G12 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Household and business credit, Monetary policy, Monetary policy tools and implementation