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3035 Results

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

Evaluating the portfolio balance effects of the Government of Canada Bond Purchase Program on the Canadian yield curve

Staff Analytical Note 2024-22 Antonio Diez de los Rios
The Bank of Canada’s Government of Canada Bond Purchase Program, launched in response to the COVID-19 pandemic, lowered the weighted average maturity of the Government of Canada’s debt by approximately 1.4 years. This in turn reduced Canadian 10-year and 5-year zero-coupon yields by 84 and 52 basis points, respectively.

The BoC-BoE Sovereign Default Database Revisited: What’s New in 2018?

Staff Working Paper 2018-30 David Beers, Jamshid Mavalwalla
Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website that now is updated in partnership with the Bank of England.

Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate

Staff Working Paper 2004-43 Ian Christensen, Christopher Reid, Frédéric Dion
According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations.

On the Nexus of Monetary Policy and Financial Stability: Effectiveness of Macroprudential Tools in Building Resilience and Mitigating Financial Imbalances

Staff Discussion Paper 2016-11 H. Evren Damar, Miguel Molico
This paper reviews the Canadian and international evidence of the effectiveness of macroprudential policy measures in building resilience and mitigating financial imbalances. The analysis concludes that these measures have broadly achieved their goal of increasing the overall resilience of the financial system to the buildup of imbalances and increasing the financial system’s ability to withstand adverse shocks.

Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces

Staff Working Paper 2015-28 Farrukh Suvankulov
A significant body of empirical studies demonstrates sizable national border effects in foreign trade of Canadian provinces throughout the 1980s and 1990s. This paper revisits and expands the scope of the border effects analysis by estimating the border effect in trade with U.S. states as well as countries in the European Union (EU) and the G 20 using more recent data from 2001–10.
Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F1, F14, F15

Why Fixed Costs Matter for Proof-of-Work Based Cryptocurrencies

Staff Working Paper 2020-27 Rodney J. Garratt, Maarten van Oordt
Can Bitcoin survive? Some say it will become vulnerable to attacks as the rewards for processing Bitcoin transactions continue to decline. The economics of fixed costs suggest the specialized hardware used to mine Bitcoin may be key to its survival.
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