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2360
result(s)
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
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
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
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
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
Big Data Analysis: The Next Frontier
The formulation of monetary policy at the Bank of Canada relies on the analysis of a broad set of economic information. Greater availability of immediate and detailed information would improve real-time economic decision making. Technological advances have provided an opportunity to exploit “big data” - the vast amount of digital data from business transactions, social media and networked computers. Big data can be a complement to traditional information sources, offering fresh insight for the monitoring of economic activity and inflation.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Econometric and statistical methods,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C53,
C6,
C63,
C8,
C80