C52 - Model Evaluation, Validation, and Selection - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T09:42:08+00:00A Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis Models
https://www.bankofcanada.ca/2023/10/staff-discussion-paper-2023-23/
The fourth generation of Bank of Canada projection and policy analysis models seeks to improve our understanding of inflation dynamics, the supply side of the economy and the underlying risks faced by policy-makers coming from uncertainty about how the economy functions.2023-10-12T14:56:09+00:00enA Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis Models2023-10-12Economic modelsInflation and pricesLabour marketsMonetary policy and uncertaintyStaff Discussion Paper 2023-23https://www.bankofcanada.ca/wp-content/uploads/2023/10/sdp2023-23.pdfA Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis ModelsDonald ColettiOctober 2023CC5C50C51C52C53C54C55Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis
https://www.bankofcanada.ca/2023/08/staff-working-paper-2023-45/
I show how to combine large numbers of forecasts using several approaches within the framework of a Bayesian predictive synthesis. I find techniques that choose and combine a handful of forecasts, known as global-local shrinkage priors, perform best.2023-08-21T11:45:16+00:00enCombining Large Numbers of Density Predictions with Bayesian Predictive Synthesis2023-08-21Econometric and statistical methodsStaff Working Paper 2023-45https://www.bankofcanada.ca/wp-content/uploads/2023/08/swp2023-45.pdfStaff Working Paper 2023-45Tony ChernisAugust 2023CC1C11C5C52C53EE3E37Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model
https://www.bankofcanada.ca/2022/10/technical-report-122/
We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.2022-10-03T16:29:10+00:00enForecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model2022-10-03Economic modelsFinancial institutionsFinancial stabilityFinancial system regulation and policiesTechnical Report 2022-122https://www.bankofcanada.ca/wp-content/uploads/2022/10/tr122.pdfTechnical Report 2022-122Gabriel BruneauThibaut DupreyRuben HippOctober 2022CC2C22C5C52C53GG1G17G2G21G28Calculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models
https://www.bankofcanada.ca/2022/09/staff-discussion-paper-2022-19/
This paper derives a calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. Computing effective degrees of freedom shows that the complexity cost of a forecast combination is driven by the parameters in the weighting scheme and the weighted average of parameters in the auxiliary models.2022-09-20T11:00:03+00:00enCalculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models2022-09-20Econometric and statistical methodsStaff Discussion Paper 2022-19https://www.bankofcanada.ca/wp-content/uploads/2022/09/sdp2022-19.pdfCalculating Effective Degrees of Freedom for Forecast Combinations and Ensemble ModelsJames YounkerSeptember 2022CC0C01C02C1C13C5C50C51C52C53Nowcasting Canadian GDP with Density Combinations
https://www.bankofcanada.ca/2022/05/staff-discussion-paper-2022-12/
We present a tool for creating density nowcasts for Canadian real GDP growth. We demonstrate that the combined densities are a reliable and accurate tool for assessing the state of the economy and risks to the outlook.2022-05-09T15:44:55+00:00enNowcasting Canadian GDP with Density Combinations2022-05-09Econometric and statistical methodsStaff Discussion Paper 2022-12https://www.bankofcanada.ca/wp-content/uploads/2022/05/sdp2022-12.pdfTony ChernisTaylor WebleyMay 2022CC5C52C53EE3E7Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers
https://www.bankofcanada.ca/2021/08/staff-working-paper-2021-37/
Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links.2021-08-05T08:55:46+00:00enEstimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers2021-08-05Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2021-37https://www.bankofcanada.ca/wp-content/uploads/2021/08/swp2021-37.pdfStaff Working Paper 2021-37Felix BrunnerRuben HippAugust 2021CC2C22C5C52EE2E23E27Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning
https://www.bankofcanada.ca/2020/08/staff-working-paper-2020-33/
Using the Bank of Canada's Currency Information Management Strategy, we analyze the network structure traced by a bank note’s travel in circulation and find that the denomination of the bank note is important in our potential understanding of the demand and use of cash.2020-08-19T08:55:16+00:00enSurvival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning2020-08-19Bank notesEconometric and statistical methodsPayment clearing and settlement systemsStaff Working Paper 2020-33https://www.bankofcanada.ca/wp-content/uploads/2020/08/swp2020-33.pdfStaff Working Paper 2020-33Diego RojasJuan EstradaKim HuynhDavid T. Jacho-ChávezAugust 2020CC5C52C6C65C8C81EE4E42E5E51The Trend Unemployment Rate in Canada: Searching for the Unobservable
https://www.bankofcanada.ca/2019/03/staff-working-paper-2019-13/
In this paper, we assess several methods that have been used to measure the Canadian trend unemployment rate (TUR). We also consider improvements and extensions to some existing methods.2019-03-29T16:16:07+00:00enThe Trend Unemployment Rate in Canada: Searching for the Unobservable2019-03-29Business fluctuations and cyclesEconomic modelsInflation and pricesLabour marketsStaff Working Paper 2019-13https://www.bankofcanada.ca/wp-content/uploads/2019/03/swp2019-13.pdfThe Trend Unemployment Rate in Canada: Searching for the UnobservableDany BrouilletteMarie-Noëlle RobitailleLaurence Savoie-ChabotPierre St-AmantBassirou GueyeElise NelsonMarch 2019CC5C52C53EE2E24E27Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches
https://www.bankofcanada.ca/2018/10/staff-analytical-note-2018-34/
In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.2018-10-26T12:28:48+00:00enCharacterizing the Canadian Financial Cycle with Frequency Filtering Approaches2018-10-26Evaluating Real GDP Growth Forecasts in the Bank of Canada Monetary Policy Report
https://www.bankofcanada.ca/2017/11/staff-analytical-note-2017-21/
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.2017-11-22T11:04:54+00:00enEvaluating Real GDP Growth Forecasts in the Bank of Canada Monetary Policy Report2017-11-22