Markov‐Switching Three‐Pass Regression Filter Staff Working Paper 2017-13 Pierre Guérin, Danilo Leiva-Leon, Massimiliano Marcellino We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C23, C5, C53
Assessing the Business Outlook Survey Indicator Using Real-Time Data Staff Discussion Paper 2017-5 Lise Pichette, Marie-Noëlle Robitaille Every quarter, the Bank of Canada conducts quarterly consultations with businesses across Canada, referred to as the Business Outlook Survey (BOS). A principal-component analysis conducted by Pichette and Rennison (2011) led to the development of the BOS indicator, which summarizes survey results and is used by the Bank as a gauge of overall business sentiment. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Regional economic developments JEL Code(s): C, C5, C53, C8, C82, E, E3, E37
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Estimation of the Total Private Cost for Large Businesses Technical Report No. 110 Valéry Dongmo Jiongo The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods faced low response rates and outliers in sample data for two of its retailer strata: chains and large independent businesses. This technical report investigates whether it is appropriate to combine these two strata to produce more accurate estimates of the total private cost to large businesses of the main payment methods. Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C8, C83
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Calibration for Single-Location Retailers Technical Report No. 109 Heng Chen, Rallye Shen Calibrated weights are created to (a) reduce the nonresponse bias; (b) reduce the coverage error; and (c) make the weighted estimates from the sample consistent with the target population in terms of certain key variables. Content Type(s): Staff research, Technical reports Topic(s): Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C8, C81, C83
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Sampling Technical Report No. 108 Angelika Welte In 2015, the Bank of Canada undertook the large-scale Retailer Survey on the Cost of Payment Methods. Content Type(s): Staff research, Technical reports Topic(s): Central bank research, Econometric and statistical methods JEL Code(s): C, C8, C81, C83
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Nonresponse Technical Report No. 107 Stan Hatko Nonresponse is a considerable challenge in the Retailer Survey on the Cost of Payment Methods conducted by the Bank of Canada in 2015. There are two types of nonresponse in this survey: unit nonresponse, in which a business does not reply to the entire survey, and item nonresponse, in which a business does not respond to particular questions within the survey. Content Type(s): Staff research, Technical reports Topic(s): Central bank research JEL Code(s): C, C8, C81, C83
Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects Staff Working Paper 2017-10 Sermin Gungor, Richard Luger We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C3, C32, G, G1, G14
Adoption Costs of Financial Innovation: Evidence from Italian ATM Cards Staff Working Paper 2017-8 Kim Huynh, Philipp Schmidt-Dengler, Gregor W. Smith, Angelika Welte The discrete choice to adopt a financial innovation affects a household’s exposure to inflation and transactions costs. We model this adoption decision as being subject to an unobserved cost. Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, D, D1, D14, E, E4, E41
Stability and Efficiency in Decentralized Two‐Sided Markets with Weak Preferences Staff Working Paper 2017-4 Radoslav Raykov Many decentralized markets are able to attain a stable outcome despite the absence of a central authority (Roth and Vande Vate, 1990). A stable matching, however, need not be efficient if preferences are weak. This raises the question whether a decentralized market with weak preferences can attain Pareto efficiency in the absence of a central matchmaker. Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): C, C7, C78, D, D6, D61
A Dynamic Factor Model for Nowcasting Canadian GDP Growth Staff Working Paper 2017-2 Tony Chernis, Rodrigo Sekkel This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C38, C5, C53, E, E3, E37