C - Mathematical and Quantitative Methods

• Interbank Asset-Liability Networks with Fire Sale Management

  Staff Working Paper 2020-41 Zachary Feinstein, Grzegorz Halaj

  Raising liquidity when funding is stressed creates pressure on the financial market. Liquidating large quantities of assets depresses their prices and may amplify funding shocks. How do banks weathering a funding crisis contribute to contagion risk?

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C6, C62, C63, C7, C72, G, G0, G01, G1, G11

• The New Benchmark for Forecasts of the Real Price of Crude Oil

  Staff Working Paper 2020-39 Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden

  How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C1, C5, C53, Q, Q4, Q47

• Cyclicality of Schooling: New Evidence from Unobserved Components Models

  Staff Working Paper 2020-38 Barbara Sadaba, Sunčica Vujič, Sofia Maier

  What is the time-varying impact of economic cycles on decisions to invest in human capital?

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, I, I2, J, J2

• Predicting Payment Migration in Canada

  Staff Working Paper 2020-37 Anneke Kosse, Zhentong Lu, Gabriel Xerri

  Developments are underway to replace Canada’s two core payment systems with three new systems. We use a discrete choice model to predict migration patterns of end-users and financial institutions for future systems and discuss their policy implications.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services, Financial stability, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C3, E, E4, E42, G, G1, G2, G28

• Liquidity Usage and Payment Delay Estimates of the New Canadian High Value Payments System

  Staff Discussion Paper 2020-9 Francisco Rivadeneyra, Nellie Zhang

  As part of modernizing its core payments infrastructure, Canada will replace the Large Value Transfer System (LVTS) with a new Real-Time Gross Settlement (RTGS) system called Lynx. An important question for policy-makers is how Lynx should be designed.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C5, E, E4, E42, E5, E58