Staff research

• On the Advantages of Disaggregated Data: Insights from Forecasting the U.S. Economy in a Data-Rich Environment

  Staff Working Paper 2010-10 Nikita Perevalov, Philipp Maier

  The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use the latest revision of over 100 U.S. time series over the period 1974-2009 (monthly and quarterly data).

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47

• Alternative Optimized Monetary Policy Rules in Multi-Sector Small Open Economies: The Role of Real Rigidities

  Staff Working Paper 2010-9 Carlos De Resende, Ali Dib, Maral Kichian

  Inflation-targeting central banks around the world often state their inflation objectives with regard to the consumer price index (CPI). Yet the literature on optimal monetary policy based on models with nominal rigidities and more than one sector suggests that CPI inflation is not always the best choice from a social welfare perspective.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets, Inflation: costs and benefits, Monetary policy framework, Monetary policy implementation JEL Code(s): E, E4, E5, E52, F, F3, F4

• Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate

  Staff Discussion Paper 2010-2 Alejandro García, Andrei Prokopiw

  Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Exchange rates, Financial markets JEL Code(s): C, C0, C00, C02, G, G1, G13

• Introducing the Bank of Canada's Projection Model for the Global Economy

  Technical Report No. 99 Jeannine Bailliu, Patrick Blagrave, James Rossiter

  To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01