E37 - Forecasting and Simulation: Models and Applications

• Evaluating Real GDP Growth Forecasts in the Bank of Canada Monetary Policy Report

  Staff Analytical Note 2017-21 André Binette, Dmitri Tchebotarev

  This paper examines the quality of projections of real GDP growth taken from the Bank of Canada Monetary Policy Report (MPR) since they were first published in 1997. Over the last decade, it has become common practice among the central banking community to discuss forecast performance publicly.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy JEL Code(s): C, C5, C52, E, E3, E32, E37, E5, E52

• A Structural Interpretation of the Recent Weakness in Business Investment

  Staff Analytical Note 2017-7 Russell Barnett, Rhys R. Mendes

  Since 2012, business investment growth has slowed considerably in advanced economies, averaging a little less than 2 per cent versus the 4 per cent growth rates experienced in the period leading up to crisis. Several recent studies have attributed a large part of the weakness in business investment to cyclical factors, including soft aggregate demand, and, to a lesser degree, heightened uncertainty and tighter financial conditions.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Domestic demand and components, Recent economic and financial developments JEL Code(s): E, E2, E22, E3, E37

• A Three‐Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth

  Staff Discussion Paper 2017-8 Tony Chernis, Gabriella Velasco, Calista Cheung

  This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months).

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Regional economic developments JEL Code(s): C, C5, C53, E, E3, E32, E37, R, R1, R11

• April 2017 Annual Reassessment of Potential Output Growth in Canada

  Staff Analytical Note 2017-5 Andrew Agopsowicz, Bassirou Gueye, Natalia Kyui, Youngmin Park, Mohanad Salameh, Ben Tomlin

  This note summarizes the Bank of Canada’s annual reassessment of potential output growth, conducted for the April 2017 Monetary Policy Report. Potential output growth is projected to increase from 1.3 per cent in 2017 to 1.6 per cent by 2020.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Labour markets, Potential output, Productivity JEL Code(s): E, E0, E00, E2, E22, E23, E24, E3, E37, E6

• Assessing the Business Outlook Survey Indicator Using Real-Time Data

  Staff Discussion Paper 2017-5 Lise Pichette, Marie-Noëlle Robitaille

  Every quarter, the Bank of Canada conducts quarterly consultations with businesses across Canada, referred to as the Business Outlook Survey (BOS). A principal-component analysis conducted by Pichette and Rennison (2011) led to the development of the BOS indicator, which summarizes survey results and is used by the Bank as a gauge of overall business sentiment.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Regional economic developments JEL Code(s): C, C5, C53, C8, C82, E, E3, E37

• A Dynamic Factor Model for Nowcasting Canadian GDP Growth

  Staff Working Paper 2017-2 Tony Chernis, Rodrigo Sekkel

  This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C38, C5, C53, E, E3, E37