C3 - Multiple or Simultaneous Equation Models; Multiple Variables - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T15:37:06+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 2023CC1C11C3C32EE3E32GG1G10What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?
https://www.bankofcanada.ca/2023/06/staff-discussion-paper-2023-13/
We construct new indicators of demand and supply for the Canadian economy by using natural language processing techniques to analyze earnings calls of publicly listed firms. Our results indicate that the new indicators could help central banks identify inflationary pressures in real time.2023-06-29T11:49:36+00:00enWhat Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?2023-06-29Central bank researchDomestic demand and componentsEconometric and statistical methodsInflation and pricesPotential outputStaff Discussion Paper 2023-13https://www.bankofcanada.ca/wp-content/uploads/2023/06/sdp2023-13.pdfWhat Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?Marc-André GosselinTemel TaskinJune 2023CC1C3EE3E5Supply 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 2023CC3C32EE3E31E32Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models
https://www.bankofcanada.ca/2022/07/staff-working-paper-2022-31/
We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models.2022-07-04T11:20:56+00:00enComparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models2022-07-04Credit risk managementEconometric and statistical methodsStaff Working Paper 2022-31https://www.bankofcanada.ca/wp-content/uploads/2022/07/swp2022-31.pdfComparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response ModelsXiangjin ShenIskander KaribzhanovHiroki TsurumiShiliang LiJuly 2022CC1C14C3C35C5C51C6C63DD1Quantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System
https://www.bankofcanada.ca/2021/12/staff-working-paper-2021-64/
Canada is undertaking a major initiative to modernize its payments ecosystem. The modernized ecosystem is expected to bring significant benefits to Canadian financial markets and the overall economy. We develop an empirical framework to quantify the economic benefits of modernizing the payment system in Canada.2021-12-17T16:20:19+00:00enQuantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System2021-12-17Financial institutionsFinancial system regulation and policiesPayment clearing and settlement systemsStaff Working Paper 2021-64https://www.bankofcanada.ca/wp-content/uploads/2021/12/swp2021-64.pdfStaff Working Paper 2021-64Neville ArjaniFuchun LiZhentong LuDecember 2021CC3EE4E42GG1G2G28Rising 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 2021CC3C32FF1F15KK4K41LL9L95