C3 - Multiple or Simultaneous Equation Models; Multiple Variables

• Losing Contact: The Impact of Contactless Payments on Cash Usage

  Staff Working Paper 2020-56 Marie-Hélène Felt

  Contactless payment cards are a competitive alternative to cash. Using Canadian panel data from 2010 to 2017, this study investigates whether contactless credit cards are an important contributor to the decline in the transactional use of cash. 

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C33, D, D1, D12, E, E4, E41

• The Determinants of Consumers’ Inflation Expectations: Evidence from the US and Canada

  Staff Working Paper 2020-52 Charles Bellemare, Rolande Kpekou Tossou, Kevin Moran

  We compare the determinants of consumer inflation expectations in the US and Canada by analyzing two current surveys. We find that Canadian consumers rely more on professional forecasts and the history of actual inflation when forming their expectations, while US consumers rely more on their own lagged expectations.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods, Inflation and prices, Inflation targets JEL Code(s): C, C3, C33, D, D8, D83, D84, E, E3, E31

• Earnings Dynamics and Intergenerational Transmission of Skill

  Staff Working Paper 2020-46 Lance Lochner, Youngmin Park

  How are your past, current and future earnings related to those of your parents? We explore this by using 37 years of Canadian tax data on two generations.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Labour markets, Potential output, Productivity JEL Code(s): C, C3, C33, J, J2, J24, J6, J62

• Understanding Trend Inflation Through the Lens of the Goods and Services Sectors

  Staff Working Paper 2020-45 Yunjong Eo, Luis Uzeda, Benjamin Wong

  The goods and services sectors have experienced considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52

• On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity

  Staff Working Paper 2020-42 Ruben Hipp

  Banks’ business interactions create a network of relationships that are hidden in the correlations of bank stock returns. But for policy interventions, we need causality to understand how the network changes. Thus, this paper looks for the causal network anticipated by investors.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Financial stability JEL Code(s): C, C1, C3, C32, C5, C58, L, L1, L14

• 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

• Canadian Financial Stress and Macroeconomic Conditions

  Staff Discussion Paper 2020-4 Thibaut Duprey

  Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Coronavirus disease (COVID-19), Financial markets, Financial stability, Monetary and financial indicators JEL Code(s): C, C3, C32, E, E4, E44, G, G0, G01

• Endogenous Time Variation in Vector Autoregressions

  Staff Working Paper 2020-16 Danilo Leiva-Leon, Luis Uzeda

  We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52