C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T01:25:25+00:00Predictive Density Combination Using a Tree-Based Synthesis Function
https://www.bankofcanada.ca/2023/12/staff-working-paper-2023-61/
This paper studies non-parametric combinations of density forecasts. We introduce a regression tree-based approach that allows combination weights to vary on the features of the densities, time-trends or economic indicators. In two empirical applications, we show the benefits of this approach in terms of improved forecast accuracy and interpretability.2023-12-28T13:20:25+00:00enPredictive Density Combination Using a Tree-Based Synthesis Function2023-12-28Econometric and statistical methodsStaff Working Paper 2023-61https://www.bankofcanada.ca/wp-content/uploads/2023/12/swp2023-61.pdfPredictive Density Combination Using a Tree-Based Synthesis FunctionTony ChernisNiko HauzenbergerFlorian HuberGary KoopJames MitchellDecember 2023CC1C11C3C32C5C53Finding the balance—measuring risks to inflation and to GDP growth
https://www.bankofcanada.ca/2023/12/staff-analytical-note-2023-18/
Using our new quantitative tool, we show how the risks to the inflation and growth outlooks have evolved over the course of 2023.2023-12-19T11:22:43+00:00enFinding the balance—measuring risks to inflation and to GDP growth2023-12-19Making It Real: Bringing Research Models into Central Bank Projections
https://www.bankofcanada.ca/2023/12/staff-discussion-paper-2023-29/
Macroeconomic projections and risk analyses play an important role in guiding monetary policy decisions. Models are integral to this process. This paper discusses how the Bank of Canada brings research models and lessons learned from those models into the central bank projection environment.2023-12-11T11:19:01+00:00enMaking It Real: Bringing Research Models into Central Bank Projections2023-12-11Economic modelsMonetary policyStaff Discussion Paper 2023-29https://www.bankofcanada.ca/wp-content/uploads/2023/12/sdp2023-29.pdfMaking It Real: Bringing Research Models into Central Bank ProjectionsMarc-André GosselinSharon KozickiDecember 2023CC3C32C5C51EE3E37E4E47E5E52Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency
https://www.bankofcanada.ca/2023/09/staff-discussion-paper-2023-19/
This paper quantifies tail risks in the outlooks for Canadian inflation and real GDP growth by estimating their conditional distributions at a daily frequency. We show that the tail risk probabilities derived from the conditional distributions accurately reflect realized outcomes during the sample period from 2002 to 2022.2023-09-13T06:00:12+00:00enForecasting Risks to the Canadian Economic Outlook at a Daily Frequency2023-09-13Business fluctuations and cyclesEconometric and statistical methodsStaff Discussion Paper 2023-19https://www.bankofcanada.ca/wp-content/uploads/2023/09/sdp2023-19.pdfForecasting Risks to the Canadian Economic Outlook at a Daily FrequencyChinara AzizovaBruno FeunouJames KyeongSeptember 2023CC3C32C5C58EE4E44GG1G17Global Demand and Supply Sentiment: Evidence from Earnings Calls
https://www.bankofcanada.ca/2023/06/staff-working-paper-2023-37/
This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model.2023-06-30T11:26:15+00:00enGlobal Demand and Supply Sentiment: Evidence from Earnings Calls2023-06-30Business fluctuations and cyclesCoronavirus disease (COVID-19)Econometric and statistical methodsInflation and pricesInternational topicsStaff Working Paper 2023-37https://www.bankofcanada.ca/wp-content/uploads/2023/06/swp2023-37.pdfGlobal Demand and Supply Sentiment: Evidence from Earnings CallsTemel TaskinFranz Ulrich RuchJune 2023CC1C11C3C32EE3E32GG1G10Supply Drivers of US Inflation Since the COVID-19 Pandemic
https://www.bankofcanada.ca/2023/03/staff-working-paper-2023-19/
This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks.2023-03-31T13:04:01+00:00enSupply Drivers of US Inflation Since the COVID-19 Pandemic2023-03-31Business fluctuations and cyclesEconometric and statistical methodsInflation and pricesStaff Working Paper 2023-19https://www.bankofcanada.ca/wp-content/uploads/2023/03/swp2023-19.pdfStaff Working Paper 2023-19Serdar KabacaKerem TuzcuogluMarch 2023CC3C32EE3E31E32