Differentiable, Filter Free Bayesian Estimation of DSGE Models Using Mixture Density Networks Staff working paper 2025-3 Chris Naubert I develop a method for Bayesian estimation of globally solved, non-linear macroeconomic models. The method uses a mixture density network to approximate the initial state distribution. The mixture density network results in more reliable posterior inference compared with the case when the initial states are set to their steady-state values. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C61, C63, E, E3, E37, E4, E47 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models
Machine learning for economics research: when, what and how Staff analytical note 2023-16 Ajit Desai This article reviews selected papers that use machine learning for economics research and policy analysis. Our review highlights when machine learning is used in economics, the commonly preferred models and how those models are used. Content Type(s): Staff research, Staff analytical notes JEL Code(s): A, A1, A10, B, B2, B23, C, C4, C45, C5, C55 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Structural challenges, Digitalization and productivity
Net Send Limits in the Lynx Payment System: Usage and Implications Staff discussion paper 2025-13 Virgilio B Pasin, Anna Wyllie We study how participants in the Lynx payment system use the net send limit (NSL) tool to control their intraday payment outflow levels. Our results show that participants typically adopt a “set it and forget it” approach to scheduling NSLs and sometimes have distinct intraday NSL adjustment behaviours. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C1, C10, D, D8, D82, E, E4, E42, E5, E58, G, G2, G21, G4, G41 Research Theme(s): Financial system, Financial institutions and intermediation, Money and payments, Payment and financial market infrastructures
The Rise of Non-Regulated Financial Intermediaries in the Housing Sector and its Macroeconomic Implications Staff working paper 2017-36 Hélène Desgagnés I examine the impact of non-regulated lenders in the mortgage market using a dynamic stochastic general equilibrium (DSGE) model. My model features two types of financial intermediaries that differ in three ways: (i) only regulated intermediaries face a capital requirement, (ii) non-regulated intermediaries finance themselves by selling securities and cannot accept deposits, and (iii) non-regulated intermediaries face a more elastic demand. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E4, E44, E47, E6, E60, G, G2, G21, G23, G28 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models
We Didn’t Start the Fire: Effects of a Natural Disaster on Consumers’ Financial Distress Staff working paper 2023-15 Anson T. Y. Ho, Kim Huynh, David T. Jacho-Chávez, Geneviève Vallée We use detailed consumer credit data to investigate the impact of the 2016 Fort McMurray wildfire, the costliest wildfire disaster in Canadian history, on consumers’ financial stress. We focus on the arrears of insured mortgages because of their important implications for financial institutions and insurers’ business risk and relevant management practices. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C21, D, D1, D12, G, G2, G21, Q, Q5, Q54 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Structural challenges, Climate change
The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News Staff working paper 2020-8 Ron Alquist, Reinhard Ellwanger, Jianjian Jin We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, E, E4, E44, G, G1, G14, G15, Q, Q4, Q41, Q43 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Monetary policy, Inflation dynamics and pressures
August 16, 2012 Bank of Canada Review - Summer 2012 This issue features three articles that present research and analysis by Bank of Canada staff. The first updates previous Bank estimates of measurement bias in the Canadian consumer price index; the second uses a new term-structure model to analyze the relationship between the short-term policy rate and long-term interest rates; and the third examines indicators of balance-sheet risks at financial institutions in Canada. Content Type(s): Publications, Bank of Canada Review
The Bank of Canada’s “Horse Race” of Alternative Monetary Policy Frameworks: Some Interim Results from Model Simulations Staff discussion paper 2021-13 José Dorich, Rhys R. Mendes, Yang Zhang Bank of Canada staff are running a “horse race” of alternative monetary policy frameworks in the lead-up to 2021 renewal of the Bank’s monetary policy framework. This paper summarizes some interim results of model simulations from their research. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E2, E27, E3, E4, E5, E52, E58 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
Canadians’ access to cash in 2023 Staff analytical note 2025-13 Heng Chen, Hongyu Xiao, Daneal O’Habib, Stephen Wild This study updates our measure of Canadians' access to cash through automated banking machines and financial institution branches. We find that in 2023 overall access to cash remains stable, while rural Canadians continue having less access. Content Type(s): Staff research, Staff analytical notes JEL Code(s): J, J1, J15, O, O1, R, R5, R51 Research Theme(s): Money and payments, Cash and bank notes
Lending Standards, Productivity and Credit Crunches Staff working paper 2019-25 Jonathan Swarbrick We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E22, E3, E32, E4, E44, G, G0, G01 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models, Monetary policy, Real economy and forecasting