Posts

• Volatility and Liquidity Costs

  Staff Working Paper 2013-29 Selma Chaker

  Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C1, C14, C5, C51, C58, G, G2, G20

• Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach

  Staff Working Paper 2013-28 Christiane Baumeister, Lutz Kilian

  The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43

• Analyzing Fiscal Sustainability

  Staff Working Paper 2013-27 Huixin Bi, Eric M. Leeper

  The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Fiscal policy JEL Code(s): E, E6, E62, E65, H, H6, H63
• August 16, 2013

  Weekly Financial Statistics - 16 August 2013

  Content Type(s): Publications, Historical: Weekly Financial Statistics

• Uncertain Fiscal Consolidations

  Staff Working Paper 2013-26 Huixin Bi, Eric M. Leeper, Campbell Leith

  The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Fiscal policy, Monetary policy and uncertainty JEL Code(s): E, E6, E62, E63, H, H3, H30, H6, H60

• Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

  Staff Working Paper 2013-25 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou

  Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, G, G1, G15, Q, Q4, Q43
• August 15, 2013

  CSI: A Model for Tracking Short-Term Growth in Canadian Real GDP

  Bank of Canada Review - Summer 2013 André Binette, Jae Chang

  Canada’s Short-Term Indicator (CSI) is a new model that exploits the information content of 32 indicators to produce daily updates to forecasts of quarterly real GDP growth. The model is a data-intensive, judgment-free approach to short-term forecasting. While CSI’s forecasts at the start of the quarter are not very accurate, the model’s accuracy increases appreciably as more information becomes available. CSI is the latest addition to a wide range of models and information sources that the Bank of Canada uses, combined with expert judgment, to produce its short-term forecasts.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53, E, E1, E17, E3, E37
• August 15, 2013

  The Accuracy of Short-Term Forecast Combinations

  Bank of Canada Review - Summer 2013 Eleonora Granziera, Corinne Luu, Pierre St-Amant

  This article examines whether combining forecasts of real GDP from different models can improve forecast accuracy and considers which model-combination methods provide the best performance. In line with previous literature, the authors find that combining forecasts generally improves forecast accuracy relative to various benchmarks. Unlike several previous studies, however, they find that, rather than assigning equal weights to each model, unequal weighting based on the past forecast performance of models tends to improve accuracy when forecasts across models are substantially different.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37
• August 15, 2013

  Monitoring Short-Term Economic Developments in Foreign Economies

  Bank of Canada Review - Summer 2013 Russell Barnett, Pierre Guérin

  The Bank of Canada uses several short-term forecasting models for the monitoring of key foreign economies - the United States, the euro area, Japan and China. The design of the forecasting models used for each region is influenced by the level of detail required, as well as the timeliness and volatility of data. Forecasts from different models are typically combined to mitigate model uncertainty, and judgment is applied to the model forecasts to incorporate information that is not directly reflected in the most recent indicators.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E37
• August 15, 2013

  Bank of Canada Review - Summer 2013

  

  This special issue discusses tools used at Bank of Canada to conduct current analysis - the collection and analysis of a broad spectrum of information to form a view of current economic activity. This analysis is a key input into the Bank’s monetary policy decision-making process.

  Content Type(s): Publications, Bank of Canada Review