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
August 15, 2013 CSI: A Model for Tracking Short-Term Growth in Canadian Real GDP Bank of Canada Review - Summer 2013 André Binette, Jae Chang 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 Bank of Canada Review - Summer 2013 Eleonora Granziera, Corinne Luu, Pierre St-Amant 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 Bank of Canada Review - Summer 2013 Russell Barnett, Pierre Guérin 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
Is There a Quality Bias in the Canadian CPI? Evidence from Micro Data Staff Working Paper 2013-24 Oleksiy Kryvtsov Rising consumer prices may reflect shifts by consumers to new higher-priced products, mostly for durable and semi-durable goods. I apply Bils’ (2009) methodology to newly available Canadian consumer price data for non-shelter goods and services to estimate how price increases can be divided between quality growth and price inflation. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Potential output JEL Code(s): E, E3, E31, M, M1, M11, O, O4, O47
Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults Staff Working Paper 2013-19 M. Hashem Pesaran, TengTeng Xu This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial institutions JEL Code(s): E, E3, E32, E4, E44, G, G2, G21
What Central Bankers Need to Know about Forecasting Oil Prices Staff Working Paper 2013-15 Christiane Baumeister, Lutz Kilian Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions. 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
Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules Staff Working Paper 2013-8 Carlos De Resende, Ali Dib, René Lalonde, Nikita Perevalov Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial institutions, Financial stability, International topics JEL Code(s): E, E3, E32, E4, E44, E5, G, G1, G2
Market Structure and Cost Pass-Through in Retail Staff Working Paper 2013-5 Gee Hee Hong, Nicholas Li We examine the extent to which vertical and horizontal market structure can together explain incomplete retail pass-through. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E30, E31, L, L1, L11, L16
Financial Development and the Volatility of Income Staff Working Paper 2013-4 Tiago Pinheiro, Francisco Rivadeneyra, Marc Teignier This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial stability JEL Code(s): E, E3, E32, E6, E60