E37 - Forecasting and Simulation: Models and Applications

• Integrating Uncertainty and Monetary Policy-Making: A Practitioner’s Perspective

  Staff Discussion Paper 2014-6 Stephen S. Poloz

  This paper discusses how central banking is evolving in light of recent experience, with particular emphasis on the incorporation of uncertainty into policy decision-making.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Financial stability, Monetary policy and uncertainty, Monetary policy communications, Monetary policy framework JEL Code(s): C, C5, C50, E, E3, E37, E5, E6, E61

• Predicting Financial Stress Events: A Signal Extraction Approach

  Staff Working Paper 2014-37 Ian Christensen, Fuchun Li

  The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C14, C4, E, E3, E37, E4, E47, F, F3, F36, F37, G, G0, G01, G1, G17

• Analyzing and Forecasting the Canadian Economy through the LENS Model

  Technical Report No. 102 Olivier Gervais, Marc-André Gosselin

  The authors describe the key features of a new large-scale Canadian macroeconomic forecasting model developed over the past two years at the Bank of Canada.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E2, E27, E3, E37, F, F1, F17

• Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions

  Staff Discussion Paper 2014-3 Maxime Leboeuf, Louis Morel

  In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting short-term real GDP growth.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47