E47 - Forecasting and Simulation: Models and Applications - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T15:01:40+00:00Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
https://www.bankofcanada.ca/2012/12/working-paper-2012-41/
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements.2012-12-18T16:32:04+00:00enEstimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy2012-12-18Asset pricingFinancial marketsInterest ratesWorking Paper 2012-41https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-41.pdfEstimating the Policy Rule from Money Market Rates when Target Rate Changes Are LumpyJean-Sébastien FontaineDecember 2012EE4E43E44E47GG1G12G13Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
https://www.bankofcanada.ca/2012/11/working-paper-2012-37/
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.2012-11-14T15:35:41+00:00enForecasting Inflation and the Inflation Risk Premiums Using Nominal Yields2012-11-14Asset pricingEconometric and statistical methodsInflation and pricesInterest ratesWorking Paper 2012-37https://www.bankofcanada.ca/wp-content/uploads/2012/11/wp2012-37.pdfForecasting Inflation and the Inflation Risk Premiums Using Nominal YieldsBruno FeunouJean-Sébastien FontaineNovember 2012EE4E43E47GG1G12Short-Term Forecasting of the Japanese Economy Using Factor Models
https://www.bankofcanada.ca/2012/02/working-paper-2012-7/
While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the recent financial crisis.2012-02-27T11:01:33+00:00enShort-Term Forecasting of the Japanese Economy Using Factor Models2012-02-27Econometric and statistical methodsInternational topicsWorking Paper 2012-07https://www.bankofcanada.ca/wp-content/uploads/2012/02/wp2012-07.pdfShort-Term Forecasting of the Japanese Economy Using Factor ModelsClaudia GodboutMarco J. LombardiFebruary 2012CC5C50C53EE3E37E4E47