Merchant Acceptance of Cash and Credit Cards at the Point of Sale Staff Analytical Note 2018-1 Ben Fung, Kim Huynh, Kerry Nield, Angelika Welte Recent data show that the use of credit cards in Canada has been increasing, while the use of cash has been declining. At the same time, only two-thirds of small or medium-sized businesses accept credit cards. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C2, D, D1, E, E4, E41
The Evolution of Unobserved Skill Returns in the U.S.: A New Approach Using Panel Data Staff Working Paper 2017-61 Lance Lochner, Youngmin Park, Youngki Shin Economists disagree about the factors driving the substantial increase in residual wage inequality in the United States over the past few decades. To identify changes in the returns to unobserved skills, we make a novel assumption about the dynamics of skills (especially among older workers) rather than about the stability of skill distributions across cohorts, as is standard. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): C, C2, C23, J, J2, J24, J3, J31
A Barometer of Canadian Financial System Vulnerabilities Staff Analytical Note 2017-24 Thibaut Duprey, Tom Roberts This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Financial stability, Monetary and financial indicators JEL Code(s): C, C1, C14, C4, C40, D, D1, D14, E, E3, E32, E6, E66, F, F0, F01, G, G0, G01, G1, G15, G2, G21, H, H6, H63
Bitcoin Awareness and Usage in Canada Staff Working Paper 2017-56 Christopher Henry, Kim Huynh, Gradon Nicholls There has been tremendous discussion of Bitcoin, digital currencies and FinTech. However, there is limited empirical evidence of Bitcoin’s adoption and usage. We propose a methodology to collect a nationally representative sample using the Bitcoin Omnibus Survey (BTCOS) to track the ubiquity and usage of Bitcoin in Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4
Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models Staff Working Paper 2017-55 Bruno Feunou, Cédric Okou This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G12
Good Volatility, Bad Volatility and Option Pricing Staff Working Paper 2017-52 Bruno Feunou, Cédric Okou Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G12
Identifying the Degree of Collusion Under Proportional Reduction Staff Working Paper 2017-51 Oleksandr Shcherbakov, Naoki Wakamori Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C3, C36, D, D2, D22, L, L4, L41
Is the Discretionary Income Effect of Oil Price Shocks a Hoax? Staff Working Paper 2017-50 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect of oil price shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C51, Q, Q4, Q43
Evaluating Real GDP Growth Forecasts in the Bank of Canada Monetary Policy Report Staff Analytical Note 2017-21 André Binette, Dmitri Tchebotarev This paper examines the quality of projections of real GDP growth taken from the Bank of Canada Monetary Policy Report (MPR) since they were first published in 1997. Over the last decade, it has become common practice among the central banking community to discuss forecast performance publicly. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy JEL Code(s): C, C5, C52, E, E3, E32, E37, E5, E52
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 Research Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): D, D0, D03, E, E4, E42