E17 - Forecasting and Simulation: Models and Applications

• ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model

  Technical Report No. 100 José Dorich, Michael K. Johnston, Rhys R. Mendes, Stephen Murchison, Yang Zhang

  This report provides a detailed technical description of an updated version of the Terms-of-Trade Economic Model (ToTEM II), which replaced ToTEM (Murchison and Rennison 2006) in June 2011 as the Bank of Canada’s quarterly projection model for Canada.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41
• August 15, 2013

  CSI: A Model for Tracking Short-Term Growth in Canadian Real GDP

  Bank of Canada Review - Summer 2013 André Binette, Jae Chang

  Canada’s Short-Term Indicator (CSI) is a new model that exploits the information content of 32 indicators to produce daily updates to forecasts of quarterly real GDP growth. The model is a data-intensive, judgment-free approach to short-term forecasting. While CSI’s forecasts at the start of the quarter are not very accurate, the model’s accuracy increases appreciably as more information becomes available. CSI is the latest addition to a wide range of models and information sources that the Bank of Canada uses, combined with expert judgment, to produce its short-term forecasts.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53, E, E1, E17, E3, E37

• Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting

  Staff Working Paper 2012-16 Donald Coletti, René Lalonde, Paul Masson, Dirk Muir, Stephen Snudden

  We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important consequences for global commodity prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, International topics, Monetary policy framework JEL Code(s): E, E1, E17, E3, E31, E37, E5, E52, F, F4, F41, Q, Q4, Q43

• Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations

  Staff Working Paper 2008-6 Donald Coletti, René Lalonde, Dirk Muir

  This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, Inflation: costs and benefits, Monetary policy framework JEL Code(s): C, C5, C51, C52, E, E1, E17, E3, E31, E5, E52

• Electronic Transactions as High-Frequency Indicators of Economic Activity

  Staff Working Paper 2007-58 John Galbraith, Greg Tkacz

  Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E1, E17, E2, E27, E6, E66

• ToTEM: The Bank of Canada's New Quarterly Projection Model

  Technical Report No. 97 Stephen Murchison, Andrew Rennison

  The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41

• Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies

  Staff Working Paper 2006-22 Anna Piretti, Charles St-Arnaud

  The authors develop a projection model of the euro area and the United Kingdom. The model consists of two country blocks, endogenous to each other via the foreign demand channel.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E3, E37

• MUSE: The Bank of Canada's New Projection Model of the U.S. Economy

  Technical Report No. 96 Marc-André Gosselin, René Lalonde

  The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation of Canadian economic and financial policy. Thus, the Bank places considerable importance on generating internal forecasts of U.S. economic activity as an input to the Canadian projection.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E2, E27, E3, E37, F, F1, F17

• Forecasting Canadian GDP: Region-Specific versus Countrywide Information

  Staff Working Paper 2005-31 Frédérick Demers, David Dupuis

  The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E1, E17

• Modélisation et prévision du taux de change réel effectif américain

  Staff Working Paper 2003-3 René Lalonde, Patrick Sabourin

  This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3–2002Q1.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Exchange rates, International topics JEL Code(s): E, E1, E17, F, F3, F31, F4, F47