C - Mathematical and Quantitative Methods

• Introducing the Bank of Canada’s Market Participants Survey

  Staff Analytical Note 2023-1 Annick Demers, Tamara Gomes, Stephane Gignac

  The Market Participants Survey (MPS) gathers financial market participants’ expectations for key macroeconomic and financial variables and for monetary policy. This staff analytical note describes the MPS’s objectives and main features, its process and design, and how Bank of Canada staff use the results.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets, Monetary policy and uncertainty, Recent economic and financial developments JEL Code(s): C, C8, C83, E, E4, E44, E5, E52, E58, G, G1, G12, G14

• Climate Variability and International Trade

  Staff Working Paper 2023-8 Geoffrey R. Dunbar, Walter Steingress, Ben Tomlin

  This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection.

  Content Type(s): Staff research, Staff working papers Topic(s): Climate change, International topics JEL Code(s): C, C2, C22, C5, F, F1, F14, F18, Q, Q5, Q54

• Risk Amplification Macro Model (RAMM)

  Technical Report No. 123 Kerem Tuzcuoglu

  The Risk Amplification Macro Model (RAMM) is a new nonlinear two-country dynamic model that captures rare but severe adverse shocks. The RAMM can be used to assess the financial stability implications of both domestic and foreign-originated risk scenarios.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary policy transmission JEL Code(s): C, C5, C51, E, E3, E37, E4, E44, F, F4, F44

• Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data

  Staff Working Paper 2023-4 Lorenzo Pozzi, Barbara Sadaba

  Does consumption smoothing fundamentally decrease during macroeconomic disasters? This paper uses a large historical dataset (1870–2016) for 16 industrial economies to show that during macroeconomic disasters (e.g., wars, pandemics, depressions) aggregate consumption and income are significantly less decoupled than during normal times.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Econometric and statistical methods JEL Code(s): C, C2, C23, E, E2, E21

• The 2021–22 Merchant Acceptance Survey Pilot Study

  Staff Discussion Paper 2023-1 Angelika Welte, Joy Wu

  The rise in digital payment innovations has spurred a discussion about the future of cash at the point of sale. The Bank conducted the 2021–22 Merchant Acceptance Survey Pilot Study to study trends in merchant cash acceptance and monitor conditions for the potential issuance of a central bank digital currency.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C8, D, D2, D22, E, E4, L, L2

• Simulating Intraday Transactions in the Canadian Retail Batch System

  Staff Working Paper 2023-1 Nellie Zhang

  This paper proposes a unique approach to simulate intraday transactions in the Canadian retail payments batch system when such transactions are unobtainable. The simulation procedure has potential for helping with data-deficient problems where only high-level aggregate information is available.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Payment clearing and settlement systems JEL Code(s): C, C6, C63, E, E4, E42, E5, E58