Frédérick Demers - Latest

• The Canadian Business Cycle: A Comparison of Models

  Staff Working Paper 2007-38 Frédérick Demers, Ryan Macdonald

  This paper examines the ability of linear and nonlinear models to replicate features of real Canadian GDP. We evaluate the models using various business-cycle metrics.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E37

• Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation

  Staff Working Paper 2007-8 Frédérick Demers, Calista Cheung

  This paper evaluates the performance of static and dynamic factor models for forecasting Canadian real output growth and core inflation on a quarterly basis. We extract the common component from a large number of macroeconomic indicators, and use the estimates to compute out-of-sample forecasts under a recursive and a rolling scheme with different window sizes.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E37

• Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?

  Staff Working Paper 2005-44 Frédérick Demers, Annie De Champlain

  The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, E, E3, E37

• Modelling and Forecasting Housing Investment: The Case of Canada

  Staff Working Paper 2005-41 Frédérick Demers

  The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models JEL Code(s): E, E2, E27, R, R2, R21

• Forecasting Canadian GDP: Region-Specific versus Countrywide Information

  Staff Working Paper 2005-31 Frédérick Demers, David Dupuis

  The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E1, E17

• Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires

  Staff Working Paper 2004-40 Frédérick Demers

  In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C53

• The Canadian Phillips Curve and Regime Shifting

  Staff Working Paper 2003-32 Frédérick Demers

  Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, E, E3, E31

• Forecasting and Analyzing World Commodity Prices

  Staff Working Paper 2003-24 René Lalonde, Zhenhua Zhu, Frédérick Demers

  The authors develop simple econometric models to analyze and forecast two components of the Bank of Canada commodity price index: the Bank of Canada non-energy (BCNE) commodity prices and the West Texas Intermediate crude oil price. They present different methodologies to identify transitory and permanent components of movements in these prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5