C3 - Multiple or Simultaneous Equation Models; Multiple Variables

• Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts

  Staff Working Paper 2018-52 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel

  We present a novel database of real-time data and forecasts from the Bank of Canada’s staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with real-time data and with forecasts from other professional forecasters and provide standard bias tests.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Inflation targets, Monetary policy JEL Code(s): C, C3, C32, E, E1, E17, E3, E37

• Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

  Staff Analytical Note 2018-34 Andrew Lee-Poy

  In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18

• Disaggregating Household Sensitivity to Monetary Policy by Expenditure Category

  Staff Analytical Note 2018-32 Tony Chernis, Corinne Luu

  Because the Bank of Canada has started withdrawing monetary stimulus, monitoring the transmission of these changes to monetary policy will be important. Subcomponents of consumption and housing will likely respond differently to a monetary policy tightening, both in terms of the aggregate effect and timing.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Domestic demand and components, Econometric and statistical methods, Housing, Interest rates, Monetary policy transmission, Recent economic and financial developments JEL Code(s): C, C3, C32, E, E2, E21, E22, E4, E43, E47, E5, E52