C - Mathematical and Quantitative Methods
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Understanding Trend Inflation Through the Lens of the Goods and Services Sectors
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. -
On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity
Various business interactions of banks create a network of hidden relationships, which cannot be directly inferred from the correlation of bank stock returns. Without causality, it remains unclear how policy interventions change the network. Thus, this paper aims to find the causal network as anticipated by investors. -
Interbank Asset-Liability Networks with Fire Sale Management
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? -
The New Benchmark for Forecasts of the Real Price of Crude Oil
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. -
Cyclicality of Schooling: New Evidence from Unobserved Components Models
What is the time-varying impact of economic cycles on decisions to invest in human capital? -
Predicting Payment Migration in Canada
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. -
Liquidity Usage and Payment Delay Estimates of the New Canadian High Value Payments System
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. -
2019 Cash Alternative Survey Results
The role of cash in Canadians’ lives has been evolving, as innovations in digital payments have become more widely adopted over the past decade. We contribute to the Bank of Canada’s research on central bank digital currency by monitoring Canadians’ use of cash and their adoption of digital payment methods. -
Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning
Using the Bank of Canada's Currency Information Management Strategy, we analyze the network structure traced by a bank note’s travel in circulation and find that the denomination of the bank note is important in our potential understanding of the demand and use of cash.