C3 - Multiple or Simultaneous Equation Models; Multiple Variables

• Predictive Density Combination Using a Tree-Based Synthesis Function

  Staff Working Paper 2023-61 Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop, James Mitchell

  This paper studies non-parametric combinations of density forecasts. We introduce a regression tree-based approach that allows combination weights to vary on the features of the densities, time-trends or economic indicators. In two empirical applications, we show the benefits of this approach in terms of improved forecast accuracy and interpretability.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C11, C3, C32, C5, C53

• Finding the balance—measuring risks to inflation and to GDP growth

  Staff Analytical Note 2023-18 Bruno Feunou, James Kyeong

  Using our new quantitative tool, we show how the risks to the inflation and growth outlooks have evolved over the course of 2023.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C58, E, E4, E44, G, G1, G17

• Making It Real: Bringing Research Models into Central Bank Projections

  Staff Discussion Paper 2023-29 Marc-André Gosselin, Sharon Kozicki

  Macroeconomic projections and risk analyses play an important role in guiding monetary policy decisions. Models are integral to this process. This paper discusses how the Bank of Canada brings research models and lessons learned from those models into the central bank projection environment.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Monetary policy JEL Code(s): C, C3, C32, C5, C51, E, E3, E37, E4, E47, E5, E52

• Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency

  Staff Discussion Paper 2023-19 Chinara Azizova, Bruno Feunou, James Kyeong

  This paper quantifies tail risks in the outlooks for Canadian inflation and real GDP growth by estimating their conditional distributions at a daily frequency. We show that the tail risk probabilities derived from the conditional distributions accurately reflect realized outcomes during the sample period from 2002 to 2022.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C58, E, E4, E44, G, G1, G17

• Global Demand and Supply Sentiment: Evidence from Earnings Calls

  Staff Working Paper 2023-37 Temel Taskin, Franz Ulrich Ruch

  This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Econometric and statistical methods, Inflation and prices, International topics JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, G, G1, G10

• What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?

  Staff Discussion Paper 2023-13 Marc-André Gosselin, Temel Taskin

  We construct new indicators of demand and supply for the Canadian economy by using natural language processing techniques to analyze earnings calls of publicly listed firms. Our results indicate that the new indicators could help central banks identify inflationary pressures in real time.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Domestic demand and components, Econometric and statistical methods, Inflation and prices, Potential output JEL Code(s): C, C1, C3, E, E3, E5

• Supply Drivers of US Inflation Since the COVID-19 Pandemic

  Staff Working Paper 2023-19 Serdar Kabaca, Kerem Tuzcuoglu

  This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31, E32