June 30, 2015 Research Update - June 2015 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data Staff Working Paper 2015-24 Pierre Guérin, Danilo Leiva-Leon This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E3, E32, E37
Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies Staff Working Paper 2015-23 Juncal Cunado, Soojin Jo, Fernando Perez de Gracia This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): E, E3, E32, O, O5, O53, Q, Q4, Q43
June 26, 2015 Weekly Financial Statistics - 26 June 2015 Content Type(s): Publications, Historical: Weekly Financial Statistics
Sheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004 Staff Working Paper 2015-22 Geoffrey R. Dunbar, Chunling Fu We use data from the Survey of Financial Security and the Survey of Household Spending to estimate the incidence and extent of income under-reporting in Canada in 1998 and 2004. We estimate that the proportion of households under-reporting income is roughly 35 to 50 per cent in both years. Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): H, H2, H26, I, I3, I32, K, K4, K42
June 25, 2015 Banking and Financial Statistics - June 2015 Content Type(s): Publications, Historical: Banking and Financial Statistics