86
result(s)
BoC–BoE Sovereign Default Database: Methodology, Assumptions and Sources
Technical Report No. 117
David Beers,
Elliot Jones,
John Walsh
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Development economics,
Financial institutions,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
IMPACT: The Bank of Canada’s International Model for Projecting Activity
Technical Report No. 116
Patrick Blagrave,
Claudia Godbout,
Justin-Damien Guénette,
René Lalonde,
Nikita Perevalov
We present the structure and features of the International Model for Projecting Activity (IMPACT), a global semi-structural model used to conduct projections and policy analysis at the Bank of Canada. Major blocks of the model are developed based on the rational error correction framework of Kozicki and Tinsley (1999), which allows the model to strike a balance between theoretical structure and empirical performance.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Economic models,
International topics
JEL Code(s):
C,
C6,
C68,
E,
E2,
E27,
E3,
E37,
F,
F0,
F01,
F3,
F32,
F4,
F47
Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach
Technical Report No. 115
Rohan Arora,
Guillaume Bédard-Pagé,
Guillaume Ouellet Leblanc,
Ryan Shotlander
This report provides a detailed technical description of a stress test model for investment funds called Ceto.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Economic models,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G12,
G14,
G2,
G20,
G23
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
The Framework for Risk Identification and Assessment
Technical Report No. 113
Cameron MacDonald,
Virginie Traclet
Risk assessment models are an important component of the Bank’s analytical tool kit for assessing the resilience of the financial system. We describe the Framework for Risk Identification and Assessment (FRIDA), a suite of models developed at the Bank of Canada to quantify the impact of financial stability risks to the broader economy and a range of financial system participants (households, businesses and banks).
The Government of Canada Debt Securities Data Set
Technical Report No. 112
Jeffrey Gao,
Francisco Rivadeneyra,
Gabriel Rodriguez Rondon
We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C8,
C80,
G,
G1,
G10,
H,
H6,
H63
The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0
Technical Report No. 111
Jose Fique
This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs).
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
C,
C7,
C72,
E,
E5,
E58,
G,
G0,
G01,
G2,
G21,
G28
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Estimation of the Total Private Cost for Large Businesses
Technical Report No. 110
Valéry Dongmo Jiongo
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods faced low response rates and outliers in sample data for two of its retailer strata: chains and large independent businesses. This technical report investigates whether it is appropriate to combine these two strata to produce more accurate estimates of the total private cost to large businesses of the main payment methods.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C12,
C8,
C83
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Calibration for Single-Location Retailers
Technical Report No. 109
Heng Chen,
Rallye Shen
Calibrated weights are created to (a) reduce the nonresponse bias; (b) reduce the coverage error; and (c) make the weighted estimates from the sample consistent with the target population in terms of certain key variables.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Digital currencies and fintech,
Econometric and statistical methods
JEL Code(s):
C,
C8,
C81,
C83