E37 - Forecasting and Simulation: Models and Applications

• Perceived Inflation Persistence

  Staff Working Paper 2013-43 Monica Jain

  The Survey of Professional Forecasters (SPF) has had vast influence on research related to better understanding expectation formation and the behaviour of macroeconomic agents. Inflation expectations, in particular, have received a great deal of attention, since they play a crucial role in determining real interest rates, the expectations-augmented Phillips curve and monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): E, E3, E31, E37
• 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