Forecasting with Many Models: Model Confidence Sets and Forecast Combination Staff Working Paper 2013-11 Jon D. Samuels, Rodrigo Sekkel A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53
Why Do Central Banks Smooth Interest Rates? Staff Working Paper 2001-17 Gabriel Srour It is commonly observed that central banks respond gradually to economic shocks, moving the interest rate in small discrete steps in the same direction over an extended period of time. This paper examines the empirical evidence regarding central banks' smoothing of interest rates, paying particular attention to the case of Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy implementation JEL Code(s): E, E5
Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods Staff Working Paper 2001-12 Fuchun Li, Greg Tkacz This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C5, C53, E, E2, E27
Estimating DSGE-Model-Consistent Trends for Use in Forecasting Staff Working Paper 2009-35 Jean-Philippe Cayen, Marc-André Gosselin, Sharon Kozicki The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E5, E52
Financial Conditions Indexes for Canada Staff Working Paper 2004-22 Céline Gauthier, Christopher Graham, Ying Liu The authors construct three financial conditions indexes (FCIs) for Canada based on three approaches: an IS-curve-based model, generalized impulse-response functions, and factor analysis. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary and financial indicators, Monetary conditions index JEL Code(s): E, E4, E44, E5, E52
Does Financial Structure Matter for the Information Content of Financial Indicators? Staff Working Paper 2005-33 Ramdane Djoudad, Jack Selody, Carolyn A. Wilkins Of particular concern to monetary policy-makers is the considerable unreliability of financial variables for predicting GDP growth and inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Inflation and prices, Interest rates, Monetary aggregates JEL Code(s): E, E3, E31, E32
International Equity Flows and Returns: A Quantitative Equilibrium Approach Staff Working Paper 2004-42 Rui Albuquerque, Martin Schneider, Gregory Bauer The authors model trading by foreign and domestic investors in developed-country equity markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15
February 23, 2021 Canada’s labour market: rebound, recuperation and restructuring Remarks (delivered virtually) Tiff Macklem Edmonton Chamber of Commerce and Calgary Chamber of Commerce Calgary, Alberta, Edmonton, Alberta Governor Tiff Macklem talks about the COVID-19 pandemic and major economic forces are affecting the labour market, and the need for all groups to benefits from the recovery. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Coronavirus disease (COVID-19), Labour markets, Monetary policy, Potential output, Recent economic and financial developments
Assessment of the Effects of Macroprudential Tightening in Canada Staff Analytical Note 2016-12 Martin Kuncl During the period of 2008 to 2012, the rules for government-backed mortgage insurance were tightened on four occasions. In this note, we estimate the effects through a simple econometric exercise using a vector error-correction model (VECM). Content Type(s): Staff research, Staff analytical notes Research Topic(s): Credit and credit aggregates, Financial system regulation and policies, Housing JEL Code(s): C, C3, C32, E, E6, E65, G, G2, G28
September 15, 2008 Offshoring and Its Effects on the Labour Market and Productivity: A Survey of Recent Literature Bank of Canada Review - Autumn 2008 James Rossiter, Yi Zheng, Calista Cheung Offshoring has become an increasingly prominent aspect of the globalization process. Evidence over the past two decades suggests that offshoring has not exerted a noticeable impact on overall employment and earnings growth in advanced economies, but it has likely contributed to shifting the demand for labour towards higher-skilled jobs. There appear to be some positive effects of offshoring on productivity, but such effects differ by country. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): International topics, Labour markets, Productivity