Bio

Rodrigo Sekkel is Senior Research Advisor in the Canadian Economic Analysis department. His research interests are empirical macroeconomics and finance. Specific topics include forecasting, identification of the dynamic effects of monetary policy, and macroeconomic volatility. Rodrigo received his PhD in economics from Johns Hopkins University.

Research Field(s): Applied Econometrics Monetary Economics Time Series

Staff analytical notes

The neutral rate in Canada: 2020 update

Staff Analytical Note 2020-24 Dmitry Matveev, Julien McDonald-Guimond, Rodrigo Sekkel
The neutral rate of interest is important for central banks because it helps measure the stance of monetary policy. We present updated estimates of the neutral rate in Canada using the most recent data. We expect the COVID-19 pandemic to significantly affect the fundamental drivers of the Canadian neutral rate.
Content Type(s): Staff research, Staff analytical notes Topic(s): Economic models, Interest rates, Monetary policy JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41

Does US or Canadian Macro News Drive Canadian Bond Yields?

Staff Analytical Note 2018-38 Bruno Feunou, Rodrigo Sekkel, Morvan Nongni-Donfack
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.
Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets, International topics, Monetary policy JEL Code(s): C, C2, C22, E, E4, E43

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Staff discussion papers

The Output-Inflation Trade-off in Canada

Staff Discussion Paper 2024-7 Stefano Gnocchi, Fanny McKellips, Rodrigo Sekkel, Laure Simon, Yinxi Xie, Yang Zhang
We explain how the Bank of Canada’s policy models capture the trade-off between output and inflation in Canada. We provide new estimates of the trade-off and contrast them with those in the Bank’s macroeconomic models.
Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E31, E5, E52

Uncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature

Staff Discussion Paper 2022-9 Matteo Cacciatore, Dmitry Matveev, Rodrigo Sekkel
Central banks face considerable uncertainty when conducting monetary policy. The COVID-19 pandemic brought this issue back to the forefront of policy discussions. We draw from academic literature to review key sources of uncertainty and how they affect the conduct of monetary policy.
Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Monetary policy and uncertainty, Potential output JEL Code(s): E, E3, E5

Nowcasting Canadian Economic Activity in an Uncertain Environment

Staff Discussion Paper 2018-9 Tony Chernis, Rodrigo Sekkel
This paper studies short-term forecasting of Canadian real GDP and its expenditure components using combinations of nowcasts from different models. Starting with a medium-sized data set, we use a suite of common nowcasting tools for quarterly real GDP and its expenditure components.
Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53, E, E3, E37, E5, E52

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Staff working papers

Monetary Policy Transmission to Small Business Loan Performance: Evidence from Loan-Level Data

Staff Working Paper 2024-41 Rodrigo Sekkel, Tamon Takamura, Yaz Terajima
We analyze the dynamic and heterogeneous responses of small-business loan performance to a monetary-policy shock using loan-level data in Canada. We find evidence of monetary policy transmission through the cash-flow channel and the aggregate demand channel as well as some, though limited, impact of collateral to discipline loan repayment.
Content Type(s): Staff research, Staff working papers Topic(s): Firm dynamics, Monetary policy transmission JEL Code(s): C, C3, C32, E, E1, E17, E3, E37, E5, E52

U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields

Staff Working Paper 2024-12 Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack, Rodrigo Sekkel
Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies.
Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods JEL Code(s): E, E4, E43, E44, E47, G, G1, G14

Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts

Staff Working Paper 2018-52 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel
We present a novel database of real-time data and forecasts from the Bank of Canada’s staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with real-time data and with forecasts from other professional forecasters and provide standard bias tests.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Inflation targets, Monetary policy JEL Code(s): C, C3, C32, E, E1, E17, E3, E37

Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada

Staff Working Paper 2017-39 Julien Champagne, Rodrigo Sekkel
We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Exchange rate regimes, Inflation and prices, Inflation targets, Interest rates, Monetary policy, Monetary policy framework JEL Code(s): E, E3, E31, E32, E4, E43, E5, E52, E58

A Dynamic Factor Model for Nowcasting Canadian GDP Growth

Staff Working Paper 2017-2 Tony Chernis, Rodrigo Sekkel
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C38, C5, C53, E, E3, E37

The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies

Staff Working Paper 2016-38 Gregory Bauer, Gurnain Pasricha, Rodrigo Sekkel, Yaz Terajima
This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across borders.
Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Housing, International financial markets, Monetary policy framework JEL Code(s): E, E4, E42, E43, E44, E5, E52, F, F4, F41

The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates

Staff Working Paper 2016-28 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel
We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.
Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C38, E, E1, E17, E3, E32

Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Staff Working Paper 2016-5 Soojin Jo, Rodrigo Sekkel
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework.
Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C38, E, E1, E17, E3, E32

International Spillovers of Policy Uncertainty

Staff Working Paper 2014-57 Stefan Klößner, Rodrigo Sekkel
Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, D, D8, D80, F, F4, F42

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Journal publications

Publications

  • “Central Bank Forecasting: a Survey”,
    (with Carola Binder), Journal of Economic Surveys, forthcoming.
  • “Introducing the Bank of Canada Staff Economic Projections Database”,
    (with Julien Champagne and Guillaume Poulin-Bellisle), Journal of Applied Econometrics, 35, no. 1 (2020), 114-129.
  • “Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada”,
    (with Julien Champagne), Journal of Monetary Economics, (2018), 99, 72-87.
  • “The Real-Time Properties of the Bank of Canada's Staff Output Gap Estimates”,
    (with Julien Champagne and Guillaume Poulin-Bellisle), Journal of Money, Credit and Banking, 50, no. 6 (2018): 1167-1188.
  • “The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies”.
    (with Gregory Bauer, Gurnain Pasricha and Yaz Terajima), Canadian Public Policy, 44, no. 2 (2018): 81-99.
  • “Macroeconomic Uncertainty Through the Lens of Professional Forecasters”,
    (with Soojin Jo), Journal of Business & Economic Statistics, (2017): 1-11.
  • “Model Confidence Sets and Forecast Combination”,
    (with Jon Samuels), International Journal of Forecasting, 33, no. 1 (2017): 48-60.
  • “A Dynamic Factor Model for Nowcasting Canadian GDP Growth”,
    (with Tony Chernis), Empirical Economics , (2017): 1-18.
  • “Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?”. International Journal of Forecasting , 31, no. 2 (2015): 263-275.
  • “International Spillovers of Policy Uncertainty”,
    (with Stefan Klößner), Economics Letters , 124, no. 3 (2014): 508-512.
  • “International Evidence on Bond Risk Premia”, Journal of Banking & Finance, 35, no. 1 (2011): 174-181.