Quantile VARs and Macroeconomic Risk Forecasting Staff Working Paper 2025-4 Stéphane Surprenant This paper provides an extensive evaluation of the performance of quantile vector autoregression (QVAR) to forecast macroeconomic risk. Generally, QVAR outperforms standard benchmark models. Moreover, QVAR and QVAR augmented with factors perform equally well. Both are adequate for modeling macroeconomic risks. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): C, C5, C53, C55, E, E3, E37
January 17, 2025 Bank of Canada releases review of exceptional policy actions taken during the pandemic Media Relations Ottawa, Ontario The Bank of Canada’s exceptional policy actions during the COVID-19 pandemic provided important support for the economy during the unprecedented shock, says a review published today. Content Type(s): Press, Press releases
January 17, 2025 Release: Review of Bank of Canada’s exceptional policy actions during the COVID-19 pandemic 11:00 (ET) The review examines the exceptional policy actions undertaken in response to the COVID-19 pandemic and highlights lessons that will shape the Bank’s response in future crises. The Bank will also publish an assessment of the review by a panel of independent external experts as well as a response from the Bank’s Governing Council. Content Type(s): Upcoming events
January 17, 2025 Release of the Bank of Canada’s review of exceptional pandemic measures On Friday, January 17, 2025, the Bank of Canada will publish its report on the exceptional policy actions undertaken in response to the COVID-19 pandemic. The documents will also include a review by an external panel of experts, and a response from the Bank’s Governing Council. Content Type(s): Press, Media advisories
January 17, 2025 Review of the Bank of Canada’s Exceptional Policy Actions During the Pandemic: Executive summary This review looks at the effectiveness of the Bank’s exceptional policy actions during the pandemic. It also draws several lessons that will help shape future decisions should these tools be needed again. Content Type(s): Background materials
Tech Reluctance: Fostering Empathy for Canadians Facing Challenges with Digital Systems Staff Discussion Paper 2025-2 Sebastian Hernandez, Helena Wang, Badr Omrane, Vera Roberts, David Pereyra We find that individuals who require help performing banking tasks or who are reluctant to adopt technology avoid digital payment systems they expect to lack usability. Addressing these issues through standard accessibility practices, live assistance and thoughtful interface design can enhance user interaction and trust. Content Type(s): Staff research, Staff discussion papers Topic(s): Accessibility, Bank notes, Central bank research, Digital currencies and fintech, Digitalization, Financial services JEL Code(s): A, A1, A14, C, C9, C90, D, D8, D83, O, O3, O33, Y, Y8, Y80
Differentiable, Filter Free Bayesian Estimation of DSGE Models Using Mixture Density Networks Staff Working Paper 2025-3 Chris Naubert I develop a method for Bayesian estimation of globally solved, non-linear macroeconomic models. The method uses a mixture density network to approximate the initial state distribution. The mixture density network results in more reliable posterior inference compared with the case when the initial states are set to their steady-state values. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C6, C61, C63, E, E3, E37, E4, E47