C5 - Econometric Modeling - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T01:01:11+00:00Targeting Inflation from Below - How Do Inflation Expectations Behave?
https://www.bankofcanada.ca/2014/12/working-paper-2014-52/
Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target.2014-12-04T08:03:39+00:00enTargeting Inflation from Below - How Do Inflation Expectations Behave?2014-12-04Inflation and pricesInflation targetsWorking Paper 2014-52https://www.bankofcanada.ca/wp-content/uploads/2014/12/wp2014-52.pdfTargeting Inflation from Below - How Do Inflation Expectations Behave?Michael EhrmannDecember 2014CC5C53EE3E31E5E52E58Are There Gains from Pooling Real-Time Oil Price Forecasts?
https://www.bankofcanada.ca/2014/10/working-paper-2014-46/
The answer as to whether there are gains from pooling real-time oil price forecasts depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years.2014-10-24T13:07:37+00:00enAre There Gains from Pooling Real-Time Oil Price Forecasts?2014-10-24Econometric and statistical methodsInternational topicsWorking Paper 2014-46https://www.bankofcanada.ca/wp-content/uploads/2014/10/wp2014-46.pdfAre There Gains from Pooling Real-Time Oil Price Forecasts?Christiane BaumeisterLutz KilianThomas K. LeeOctober 2014CC5C53QQ4Q43Integrating Uncertainty and Monetary Policy-Making: A Practitioner’s Perspective
https://www.bankofcanada.ca/2014/10/discussion-paper-2014-6/
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.2014-10-10T10:53:48+00:00enIntegrating Uncertainty and Monetary Policy-Making: A Practitioner’s Perspective2014-10-10Economic modelsFinancial stabilityMonetary policy and uncertaintyMonetary policy communicationsMonetary policy frameworkDiscussion Paper 2014-6https://www.bankofcanada.ca/wp-content/uploads/2014/10/dp2014-6.pdfIntegrating Uncertainty and Monetary Policy-Making: A Practitioner’s PerspectiveStephen S. PolozOctober 2014CC5C50EE3E37E5E6E61What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
https://www.bankofcanada.ca/2014/09/working-paper-2014-42/
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.2014-09-09T07:55:42+00:00enWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?2014-09-09Asset pricingInternational topicsWorking Paper 2014-42https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-42.pdfWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?Ron AlquistGregory BauerAntonio Diez de los RiosSeptember 2014CC5C53GG1G12G13QQ4Q43Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?
https://www.bankofcanada.ca/2014/09/working-paper-2014-40/
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.2014-09-09T07:54:50+00:00enBalance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?2014-09-09Econometric and statistical methodsWorking Paper 2014-40https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-40.pdfBalance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?Rodrigo SekkelSeptember 2014CC5C53Analyzing and Forecasting the Canadian Economy through the LENS Model
https://www.bankofcanada.ca/2014/07/technical-report-102/
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.2014-07-23T13:10:09+00:00enAnalyzing and Forecasting the Canadian Economy through the LENS Model2014-07-23Econometric and statistical methodsEconomic modelsTechnical Report 102https://www.bankofcanada.ca/wp-content/uploads/2014/07/tr102.pdfAnalyzing and Forecasting the Canadian Economy through the LENS ModelOlivier GervaisMarc-André GosselinJuly 2014CC5C53EE1E17E2E27E3E37FF1F17Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions
https://www.bankofcanada.ca/2014/06/discussion-paper-2014-3/
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.2014-06-18T13:06:09+00:00enForecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions2014-06-18Econometric and statistical methodsInternational topicsDiscussion Paper 2014-3https://www.bankofcanada.ca/wp-content/uploads/2014/06/dp2014-3.pdfForecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS RegressionsMaxime LeboeufLouis MorelJune 2014CC5C50C53EE3E37E4E47Consumer Attitudes and the Epidemiology of Inflation Expectations
https://www.bankofcanada.ca/2014/06/working-paper-2014-28/
This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or education, other characteristics such as the households’ financial situation and their purchasing attitudes also matter.2014-06-18T11:51:15+00:00enConsumer Attitudes and the Epidemiology of Inflation Expectations2014-06-18Inflation and pricesWorking Paper 2014-28https://www.bankofcanada.ca/wp-content/uploads/2014/06/wp2014-28.pdfConsumer Attitudes and the Epidemiology of Inflation ExpectationsMichael EhrmannDamjan PfajfarEmiliano SantoroJune 2014CC5C53DD8D84EE3E31Improving Overnight Loan Identification in Payments Systems
https://www.bankofcanada.ca/2014/06/working-paper-2014-25/
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.2014-06-18T11:43:53+00:00enImproving Overnight Loan Identification in Payments Systems2014-06-18Econometric and statistical methodsFinancial marketsInterest ratesPayment clearing and settlement systemsWorking Paper 2014-25https://www.bankofcanada.ca/wp-content/uploads/2014/06/wp2014-25.pdfImproving Overnight Loan Identification in Payments SystemsMark RempelJune 2014CC3C38C5C53EE4E42E44GG1G10The Art and Science of Forecasting the Real Price of Oil
https://www.bankofcanada.ca/wp-content/uploads/2014/05/boc-review-spring14-baumeister.pdf
Forecasts of the price of crude oil play a significant role in the conduct of monetary policy, especially for commodity producers such as Canada. This article presents a range of recently developed forecasting models that, when pooled together, can generate, on average, more accurate forecasts of the price of oil than the oil futures curve. It also illustrates how policy-makers can evaluate the risks associated with the baseline oil price forecast and how they can determine the causes of past oil price fluctuations.2014-05-13T09:49:55+00:00enThe Art and Science of Forecasting the Real Price of Oil2014-05-13