Rodrigo Sekkel - Bank Publications - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T18:52:47+00:00Central Bank Forecasting: A Survey
https://www.bankofcanada.ca/2023/03/staff-working-paper-2023-18/
We review the literature on central bank forecasting with a special focus on the Federal Reserve, European Central Bank, Bank of England and Bank of Canada.2023-03-31T08:24:55+00:00enCentral Bank Forecasting: A Survey2023-03-31Monetary policyStaff Working Paper 2023-18https://www.bankofcanada.ca/wp-content/uploads/2023/03/swp2023-18.pdfStaff Working Paper 2023-18Carola Conces BinderRodrigo SekkelMarch 2023EE4E47E5E52E58Uncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature
https://www.bankofcanada.ca/2022/04/staff-discussion-paper-2022-9/
Central banks face considerable uncertainty when conducting monetary policy. The COVID-19 pandemic brought this issue back to the forefront of policy discussions. We draw from academic literature to review key sources of uncertainty and how they affect the conduct of monetary policy.2022-04-18T08:28:26+00:00enUncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature2022-04-18Central bank researchMonetary policy and uncertaintyPotential outputStaff Discussion Paper 2022-9https://www.bankofcanada.ca/wp-content/uploads/2022/04/sdp2022-9.pdfUncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic LiteratureMatteo CacciatoreDmitry MatveevRodrigo SekkelApril 2022EE3E5The neutral rate in Canada: 2020 update
https://www.bankofcanada.ca/2020/10/staff-analytical-note-2020-24/
The neutral rate of interest is important for central banks because it helps measure the stance of monetary policy. We present updated estimates of the neutral rate in Canada using the most recent data. We expect the COVID-19 pandemic to significantly affect the fundamental drivers of the Canadian neutral rate.2020-10-22T07:11:26+00:00enThe neutral rate in Canada: 2020 update2020-10-22Does US or Canadian Macro News Drive Canadian Bond Yields?
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-38/
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.2018-12-05T12:00:24+00:00enDoes US or Canadian Macro News Drive Canadian Bond Yields?2018-12-05Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts
https://www.bankofcanada.ca/2018/10/staff-working-paper-2018-52/
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.2018-10-31T11:58:14+00:00enEvaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts2018-10-31Econometric and statistical methodsEconomic modelsInflation targetsMonetary policyStaff Working Paper 2018-52https://www.bankofcanada.ca/wp-content/uploads/2018/10/swp2018-52.pdfEvaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and ForecastsJulien ChampagneGuillaume Poulin-BellisleRodrigo SekkelNovember 2018CC3C32EE1E17E3E37Nowcasting Canadian Economic Activity in an Uncertain Environment
https://www.bankofcanada.ca/2018/08/staff-discussion-paper-2018-9/
This paper studies short-term forecasting of Canadian real GDP and its expenditure components using combinations of nowcasts from different models. Starting with a medium-sized data set, we use a suite of common nowcasting tools for quarterly real GDP and its expenditure components.2018-08-16T10:19:35+00:00enNowcasting Canadian Economic Activity in an Uncertain Environment2018-08-16Econometric and statistical methodsStaff Discussion Paper 2018-9https://www.bankofcanada.ca/wp-content/uploads/2018/08/sdp2018-9.pdfNowcasting Canadian Economic Activity in an Uncertain EnvironmentTony ChernisRodrigo SekkelAugust 2018CC5C53EE3E37E5E52Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada
https://www.bankofcanada.ca/2017/09/staff-working-paper-2017-39/
We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.2017-09-25T15:54:42+00:00enChanges in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada2017-09-25Business fluctuations and cyclesCentral bank researchEconometric and statistical methodsExchange rate regimesInflation and pricesInflation targetsInterest ratesMonetary policyMonetary policy frameworkStaff Working Paper 2017-39https://www.bankofcanada.ca/wp-content/uploads/2017/09/swp2017-39.pdfChanges in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from CanadaJulien ChampagneRodrigo SekkelSeptember 2017EE3E31E32E4E43E5E52E58A Dynamic Factor Model for Nowcasting Canadian GDP Growth
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-2/
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.2017-02-02T13:04:19+00:00enA Dynamic Factor Model for Nowcasting Canadian GDP Growth2017-02-02Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2017-2https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-2.pdfA Dynamic Factor Model for Nowcasting Canadian GDP GrowthTony ChernisRodrigo SekkelFebruary 2017CC3C32C38C5C53EE3E37The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies
https://www.bankofcanada.ca/2016/08/staff-working-paper-2016-38/
This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across borders.2016-08-12T12:39:29+00:00enThe Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies2016-08-12Financial stabilityHousingInternational financial marketsMonetary policy frameworkStaff Working Paper 2016-38https://www.bankofcanada.ca/wp-content/uploads/2016/08/swp2016-38.pdfThe Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open EconomiesGregory BauerGurnain PasrichaRodrigo SekkelYaz TerajimaAugust 2016EE4E42E43E44E5E52FF4F41The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates
https://www.bankofcanada.ca/2016/06/staff-working-paper-2016-28/
We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.2016-06-24T12:14:48+00:00enThe Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates2016-06-24Central bank researchEconometric and statistical methodsPotential outputStaff Working Paper 2016-28https://www.bankofcanada.ca/wp-content/uploads/2016/06/swp2016-28.pdfThe Real-Time Properties of the Bank of Canada’s Staff Output Gap EstimatesJulien ChampagneGuillaume Poulin-BellisleRodrigo SekkelJune 2016CC3C38EE1E17E3E32