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3045 Results

Calculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models

Staff Discussion Paper 2022-19 James Younker
This paper derives a calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. Computing effective degrees of freedom shows that the complexity cost of a forecast combination is driven by the parameters in the weighting scheme and the weighted average of parameters in the auxiliary models.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C0, C01, C02, C1, C13, C5, C50, C51, C52, C53

A Review of the Bank of Canada’s Support of Key Financial Markets During the COVID-19 Crisis

Staff Discussion Paper 2023-9 Joshua Fernandes, Michael Mueller
The COVID-19 pandemic placed unprecedented strain on the global financial system. We describe how the Bank of Canada responded to the rapidly deteriorating liquidity in core Canadian fixed-income markets.
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