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2139 Results

Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?

Staff working paper 2017-35 Christiane Baumeister, Reinhard Ellwanger, Lutz Kilian
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.

Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning

Staff working paper 2020-33 Diego Rojas, Juan Estrada, Kim Huynh, David T. Jacho-Chávez
Using the Bank of Canada's Currency Information Management Strategy, we analyze the network structure traced by a bank note’s travel in circulation and find that the denomination of the bank note is important in our potential understanding of the demand and use of cash.

An Alternative Estimate of Canadian Potential Output: The Multivariate State-Space Framework

Staff discussion paper 2018-14 Lise Pichette, Maria Bernier, Marie-Noëlle Robitaille
In this paper, we extend the state-space methodology proposed by Blagrave et al. (2015) and decompose Canadian potential output into trend labour productivity and trend labour input. As in Blagrave et al. (2015), we include output growth and inflation expectations from consensus forecasts to help refine our estimates.

Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference

Staff working paper 2025-14 Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak
We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions.

Identifying Nascent High-Growth Firms Using Machine Learning

Staff working paper 2023-53 Stéphanie Houle, Ryan Macdonald
Firms that grow rapidly have the potential to usher in new innovations, products or processes (Kogan et al. 2017), become superstar firms (Haltiwanger et al. 2013) and impact the aggregate labour share (Autor et al. 2020; De Loecker et al. 2020). We explore the use of supervised machine learning techniques to identify a population of nascent high-growth firms using Canadian administrative firm-level data.

How Banks Create Gridlock to Save Liquidity in Canada's Large Value Payment System

Staff working paper 2023-26 Rodney J. Garratt, Zhentong Lu, Phoebe Tian
We show how participants in Canada’s new high-value payment system save liquidity by exploiting the new gridlock resolution arrangement. The findings have important implications for the design of these systems and shed light on financial institutions’ liquidity preference.

Limits to Arbitrage and Deviations from Covered Interest Rate Parity

Staff discussion paper 2016-4 James Pinnington, Maral Shamloo
We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank’s (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several currency pairs. The effect is particularly pronounced for pairs involving the Swiss franc.

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.
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