Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems Staff working paper 2024-15 Ajit Desai, Anneke Kosse, Jacob Sharples Our layered machine learning framework can enhance real-time transaction monitoring in high-value payment systems, which are a central piece of a country’s financial infrastructure. When tested on data from Canadian payment systems, it demonstrated potential for accurately identifying anomalous transactions. This framework could help improve cyber and operational resilience of payment systems. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C4, C45, C5, C55, D, D8, D83, E, E4, E42 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
Nowcasting Canadian Economic Activity in an Uncertain Environment Staff discussion paper 2018-9 Tony Chernis, Rodrigo Sekkel This paper studies short-term forecasting of Canadian real GDP and its expenditure components using combinations of nowcasts from different models. Starting with a medium-sized data set, we use a suite of common nowcasting tools for quarterly real GDP and its expenditure components. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C53, E, E3, E37, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
July 21, 2010 Why Monetary Policy Matters: A Canadian Perspective This paper provides a non-technical introduction to monetary policy - what it is, how it works, and why it matters. It discusses inflation volatility and why this is damaging to the economy, as well as why increased stability of output growth is desirable. Content Type(s): Publications, Books and monographs
Are Temporary Oil Supply Shocks Real? Staff working paper 2022-52 Johan Brannlund, Geoffrey R. Dunbar, Reinhard Ellwanger Hurricanes disrupt oil production in the Gulf of Mexico because producers shut in oil platforms to safeguard lives and prevent damage. We examine the effects of these temporary oil supply shocks on real economic activity in the United States. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E31, E32, Q, Q3, Q31, Q4, Q41, Q43 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
Cash Versus Card: Payment Discontinuities and the Burden of Holding Coins Staff working paper 2017-47 Heng Chen, Kim Huynh, Oz Shy Cash is the preferred method of payment for small value transactions generally less than $25. We provide insight to this finding with a new theoretical model that characterizes and compares consumers’ costs of paying with cash to paying with cards for each transaction. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D0, D03, E, E4, E42 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes, Retail payments
Privacy in CBDC technology Staff analytical note 2020-9 Sriram Darbha, Rakesh Arora Privacy is a key aspect of a potential central bank digital currency system. We outline different technical choices to enact various privacy models while complying with the appropriate regulations. We develop a framework to evaluate privacy models and list key risks and trade-offs in privacy design. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E42, E5, E51, O, O3 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures
Bank Screening Heterogeneity Staff working paper 2016-56 Thibaut Duprey Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G21, L, L1, L13 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Household and business credit
June 22, 2011 Emerging from the Shadows: Market-Based Financing in Canada Financial System Review - June 2011 James Chapman, Lawrence L. Schembri, Stéphane Lavoie Content Type(s): Publications, Financial System Review articles
What do high-frequency expenditure network data reveal about spending and inflation during COVID‑19? Staff analytical note 2020-20 Kim Huynh, Helen Lao, Patrick Sabourin, Angelika Welte The official consumer price index (CPI) inflation measure, based on a fixed basket set before the COVID 19 pandemic, may not fully reflect what consumers are currently experiencing. We partnered with Statistics Canada to construct a more representative index for the pandemic with weights based on real-time transaction and survey data. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D1, D12, E, E3, E31, E4, E42, E5, E52 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Money and payments, Payment and financial market infrastructures
Interbank Asset-Liability Networks with Fire Sale Management Staff working paper 2020-41 Zachary Feinstein, Grzegorz Halaj Raising liquidity when funding is stressed creates pressure on the financial market. Liquidating large quantities of assets depresses their prices and may amplify funding shocks. How do banks weathering a funding crisis contribute to contagion risk? Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C62, C63, C7, C72, G, G0, G01, G1, G11 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk