C - Mathematical and Quantitative Methods

• Inference in Games Without Nash Equilibrium: An Application to Restaurants’ Competition in Opening Hours

  Staff Working Paper 2018-60 Erhao Xie

  This paper relaxes the Bayesian Nash equilibrium (BNE) assumption commonly imposed in empirical discrete choice games with incomplete information. Instead of assuming that players have unbiased/correct expectations, my model treats a player’s belief about the behavior of other players as an unrestricted unknown function. I study the joint identification of belief and payoff functions.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C5, C57, L, L1, L13, L8, L85

• 2017 Methods-of-Payment Survey: Sample Calibration and Variance Estimation

  Technical Report No. 114 Heng Chen, Marie-Hélène Felt, Christopher Henry

  This technical report describes sampling, weighting and variance estimation for the Bank of Canada’s 2017 Methods-of-Payment Survey. Under quota sampling, a raking ratio method is implemented to generate weights with both post-stratification and nonparametric nonresponse weight adjustments.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C8, C81, C83

• Fundamental Drivers of Existing Home Sales in Canada

  Staff Discussion Paper 2018-16 Taylor Webley

  Existing home sales’ share of Canada’s economic pie has been rising in recent years, and variation around this trend has resulted in outsized contributions to changes in real gross domestic product (GDP). In this context, we use a cointegration framework to estimate the level of resale activity across the Canadian provinces that is supported by fundamentals—namely, full-time employment, housing affordability and migration flows—to help look through the volatility.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Economic models, Housing JEL Code(s): C, C2, C22, C23, E, E2, E27, R, R2, R21

• GDP by Industry in Real Time: Are Revisions Well Behaved?

  Staff Analytical Note 2018-40 Patrick Rizzetto

  The monthly data for real gross domestic product (GDP) by industry are used extensively in real time both to ground the Bank of Canada’s monitoring of economic activity and in the Bank’s nowcasting tools, making these data one of the most important high-frequency time series for Canadian nowcasting.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods JEL Code(s): C, C5, C53, C8, C82, E, E0, E01

• Does US or Canadian Macro News Drive Canadian Bond Yields?

  Staff Analytical Note 2018-38 Bruno Feunou, Rodrigo Sekkel, Morvan Nongni-Donfack

  We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets, International topics, Monetary policy JEL Code(s): C, C2, C22, E, E4, E43