Econometric and statistical methods
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Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components. -
Exploring Differences in Household Debt Across Euro Area Countries and the United States
We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang. -
May 14, 2015
The Use of Cash in Canada
The Bank of Canada’s 2013 Methods-of-Payment Survey indicates that the share of cash in the overall number of retail transactions has continued to decrease, mainly because of increased use of contactless credit cards. The share of cash in the total value of retail transactions was virtually unchanged from 2009 to 2013. In particular, the value share of cash transactions above $50 increased. Automated banking machines (ABMs), still the major source of cash for Canadians, were used less often in 2013 than in 2009. Cash use in Canada is broadly similar to that in Australia and the United States. -
Variance Estimation for Survey-Weighted Data Using Bootstrap Resampling Methods: 2013 Methods-of-Payment Survey Questionnaire
Sampling units for the 2013 Methods-of-Payment Survey were selected through an approximate stratified random sampling design. To compensate for non-response and non-coverage, the observations are weighted through a raking procedure. -
What Drives Bank-Intermediated Trade Finance? Evidence from Cross-Country Analysis
Empirical work on the underlying causes of the recent dislocations in bank-intermediated trade finance has been limited by the poor availability of hard data. This paper analyzes the key determinants of bank-intermediated trade finance using a novel data set covering ten banking jurisdictions. -
Demographics and the Demand for Currency
I use data from the Bank of Canada’s Bank Note Distribution System and exploit a natural experiment offered by the timing of Easter in the Gregorian calendar to analyze the effects of demographic change for currency demand. -
International Spillovers of Policy Uncertainty
Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis. -
Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?
Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena. -
International House Price Cycles, Monetary Policy and Risk Premiums
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals.