Econometric and statistical methods

• Predicting Changes in Canadian Housing Markets with Machine Learning

  Staff Discussion Paper 2023-21 Johan Brannlund, Helen Lao, Maureen MacIsaac, Jing Yang

  We apply two machine learning algorithms to forecast monthly growth of house prices and existing homes sales in Canada. Although the algorithms can sometimes outperform a linear model, the improvement in forecast accuracy is not always statistically significant.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial markets, Housing JEL Code(s): A, C, C4, C45, C5, C53, D, D2, R, R2, R3

• Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency

  Staff Discussion Paper 2023-19 Chinara Azizova, Bruno Feunou, James Kyeong

  This paper quantifies tail risks in the outlooks for Canadian inflation and real GDP growth by estimating their conditional distributions at a daily frequency. We show that the tail risk probabilities derived from the conditional distributions accurately reflect realized outcomes during the sample period from 2002 to 2022.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C58, E, E4, E44, G, G1, G17