C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:31:32+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 2023CC3C32EE3E31E32Rising US LNG Exports and Global Natural Gas Price Convergence
https://www.bankofcanada.ca/2021/09/staff-discussion-paper-2021-14/
We assess how rising exports of US liquefied natural gas affect the convergence of natural gas prices worldwide. Our results may have implications for the development of future LNG export capacity in Canada.2021-09-10T11:29:41+00:00enRising US LNG Exports and Global Natural Gas Price Convergence2021-09-10International topicsMarket structure and pricingStaff Discussion Paper 2021-14https://www.bankofcanada.ca/wp-content/uploads/2021/09/sdp2021-14.pdfRising US LNG Exports and Global Natural Gas Price ConvergenceRobert IalentiSeptember 2021CC3C32FF1F15KK4K41LL9L95Shaping the future: Policy shocks and the GDP growth distribution
https://www.bankofcanada.ca/2021/05/staff-working-paper-2021-24/
Can central bank and government policies impact the risks around the outlook for GDP growth? We find that fiscal stimulus makes strong GDP growth more likely—even more so when monetary policy is constrained—rather than weak GDP growth less likely. Thus, fiscal stimulus should accelerate the recovery phase of the COVID-19 pandemic.2021-05-25T16:34:53+00:00enShaping the future: Policy shocks and the GDP growth distribution2021-05-25Central bank researchEconometric and statistical methodsFinancial stabilityFiscal policyMonetary policyStaff Working Paper 2021-24https://www.bankofcanada.ca/wp-content/uploads/2021/05/swp2021-24.pdfStaff Working Paper 2021-24Francois-Michel BoireThibaut DupreyAlexander UeberfeldtMay 2021CC3C32C5C53EE5E52E6E62Understanding Trend Inflation Through the Lens of the Goods and Services Sectors
https://www.bankofcanada.ca/2020/11/staff-working-paper-2020-45/
The goods and services sectors have experienced considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics.2020-11-03T13:20:02+00:00enUnderstanding Trend Inflation Through the Lens of the Goods and Services Sectors2020-11-03Econometric and statistical methodsInflation and pricesMonetary policy transmissionStaff Working Paper 2020-45https://www.bankofcanada.ca/wp-content/uploads/2020/11/swp2020-45.pdfStaff Working Paper 2020-45Yunjong EoLuis UzedaBenjamin WongNovember 2020CC1C11C3C32EE3E31E5E52On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity
https://www.bankofcanada.ca/2020/10/staff-working-paper-2020-42/
Banks’ business interactions create a network of relationships that are hidden in the correlations of bank stock returns. But for policy interventions, we need causality to understand how the network changes. Thus, this paper looks for the causal network anticipated by investors.2020-10-16T09:25:08+00:00enOn Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity2020-10-16Econometric and statistical methodsFinancial marketsFinancial stabilityStaff Working Paper 2020-42https://www.bankofcanada.ca/wp-content/uploads/2020/10/swp2020-42.pdfOn Causal Networks of Financial Firms: Structural Identification via Non-parametric HeteroskedasticityRuben HippOctober 2020CC1C3C32C5C58LL1L14