C2 - Single Equation Models; Single Variables

• How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections

  Staff Discussion Paper 2019-6 Olivier Gervais

  We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Business fluctuations and cycles, International topics JEL Code(s): C, C2, C22, C5, E, E3, E37, Q, Q4, Q43

• Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

  Staff Working Paper 2019-16 Kerem Tuzcuoglu

  Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Credit risk management, Econometric and statistical methods, Economic models JEL Code(s): C, C2, C23, C25, C5, C58, G, G2, G24

• Disentangling the Factors Driving Housing Resales

  Staff Analytical Note 2019-12 Mikael Khan, Taylor Webley

  We use a recently developed model and loan-level microdata to decompose movements in housing resales since 2015. We find that fundamental factors, namely housing affordability and full-time employment, have had offsetting effects on resales over our study period.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, Housing, Recent economic and financial developments JEL Code(s): C, C2, C22, E, E2, R, R2, R21

• 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

• 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

• The Size and Destination of China’s Portfolio Outflows

  Staff Discussion Paper 2018-11 Rose Cunningham, Eden Hatzvi, Kun Mo

  The size of China’s financial system raises the possibility that the liberalization of its capital account could have a large effect on the global financial system. This paper provides a counterfactual scenario analysis that estimates what the size and direction of China’s overseas portfolio investments would have been in 2015 if China had had no restrictions on these outflows.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Balance of payments and components, Econometric and statistical methods, International topics JEL Code(s): C, C2, C23, F, F2, F21, F3, F32, G, G1, G15

• How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times

  Staff Working Paper 2018-46 Geneviève Vallée

  Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Bank notes, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C2, C25, C3, C36, C4, C41, D, D2, D23, E, E4, E41, E42

• Merchant Acceptance of Cash and Credit Cards at the Point of Sale

  Staff Analytical Note 2018-1 Ben Fung, Kim Huynh, Kerry Nield, Angelika Welte

  Recent data show that the use of credit cards in Canada has been increasing, while the use of cash has been declining. At the same time, only two-thirds of small or medium-sized businesses accept credit cards.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Bank notes, Digital Currencies and Fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C2, D, D1, E, E4, E41

• Wage Dynamics and Returns to Unobserved Skill

  Staff Working Paper 2017-61 Lance Lochner, Youngmin Park, Youngki Shin

  Economists disagree about the factors driving the substantial increase in residual wage inequality in the U.S. over the past few decades. We identify and estimate a general model of log wage residuals that incorporates: (i) changing returns to unobserved skills, (ii) a changing distribution of unobserved skills, and (iii) changing volatility in wages due to factors unrelated to skills.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): C, C2, C23, J, J2, J24, J3, J31

• What’s Up with Unit Non-Response in the Bank of Canada’s Business Outlook Survey? The Effect of Staff Tenure

  Staff Discussion Paper 2017-11 Sarah Miller, David Amirault, Laurent Martin

  Since 1997, the Bank of Canada’s regional offices have been conducting the Business Outlook Survey (BOS), a quarterly survey of business conditions. Survey responses are gathered through face-to-face, confidential consultations with a sample of private sector firms representative of the various sectors, firm sizes and regions across Canada.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Econometric and statistical methods, Firm dynamics, Regional economic developments JEL Code(s): C, C2, C21, C8, C81, D, D2, D22