F47 - Forecasting and Simulation: Models and Applications - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T13:28:32+00:00IMPACT: The Bank of Canada’s International Model for Projecting Activity
https://www.bankofcanada.ca/2020/03/technical-report-116/
We present the structure and features of the International Model for Projecting Activity (IMPACT), a global semi-structural model used to conduct projections and policy analysis at the Bank of Canada. Major blocks of the model are developed based on the rational error correction framework of Kozicki and Tinsley (1999), which allows the model to strike a balance between theoretical structure and empirical performance.2020-03-06T11:09:46+00:00enIMPACT: The Bank of Canada’s International Model for Projecting Activity2020-03-06Business fluctuations and cyclesEconometric and statistical methodsEconomic modelsInternational topicsTechnical Report 116https://www.bankofcanada.ca/wp-content/uploads/2020/03/tr116.pdfTechnical Report 116Patrick BlagraveClaudia GodboutJustin-Damien GuénetteRené LalondeNikita PerevalovMarch 2020CC6C68EE2E27E3E37FF0F01F3F32F4F47Implementing Cross-Border Interbank Lending in BoC-GEM-FIN
https://www.bankofcanada.ca/2016/09/staff-discussion-paper-2016-19/
BIS interbank lending data show that the Great Recession generated large and persistent changes in the international interbank lending positions of various countries. The main objective of this study is to understand the role of changes in international interbank credit flows in transmitting shocks across borders.2016-09-14T15:02:40+00:00enImplementing Cross-Border Interbank Lending in BoC-GEM-FIN2016-09-14Business fluctuations and cyclesEconomic modelsInternational topicsStaff Discussion Paper 2016-19https://www.bankofcanada.ca/wp-content/uploads/2016/09/sdp2016-19.pdfImplementing Cross-Border Interbank Lending in BoC-GEM-FINMalik ShukayevArgyn ToktamyssovSeptember 2016EE2E27E3E37FF4F47Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability
https://www.bankofcanada.ca/2011/10/discussion-paper-2011-8/
When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate.2011-10-07T10:06:16+00:00enExchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability2011-10-07Exchange ratesInternational topicsDiscussion Paper 2011-8https://www.bankofcanada.ca/wp-content/uploads/2011/10/dp2011-08.pdfExchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon PredictabilityWei DongDeokwoo NamOctober 2011FF3F31F4F47Nowcasting the Global Economy
https://www.bankofcanada.ca/2010/09/discussion-paper-2010-12/
Forecasts of global economic activity and inflation are important inputs when conducting monetary policy in small open economies such as Canada. As part of the Bank of Canada's broad agenda to augment its short-term forecasting tools, the author constructs simple mixed-frequency forecasting equations for quarterly global output, imports, and inflation using the monthly global Purchasing Managers Index (PMI).2010-09-17T12:28:59+00:00enNowcasting the Global Economy2010-09-17Economic modelsInternational topicsDiscussion paper 2010-12https://www.bankofcanada.ca/wp-content/uploads/2010/09/dp10-12.pdfNowcasting the Global EconomyJames RossiterSeptember 2010EE3E37FF4F47Le pouvoir de prévision des indices PMI
https://www.bankofcanada.ca/2010/04/discussion-paper-2010-3/
The forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy.2010-04-18T13:40:01+00:00frLe pouvoir de prévision des indices PMI2010-04-18Business fluctuations and cyclesInternational topicsDocument d'analyse 2010-3 https://www.bankofcanada.ca/wp-content/uploads/2010/05/dp10-3.pdfLe pouvoir de prévision des indices PMI Claudia GodboutJocelyn JacobApril 2010EE3E37FF4F47A Wave of Protectionism? An Analysis of Economic and Political Considerations
https://www.bankofcanada.ca/2008/01/working-paper-2008-2/
In light of the U.S. current account deficit, pressure is high on Asian countries to revalue their currencies. The calls from some U.S. policymakers for tariffs on imports from China has sparked fears that this could trigger a world-wide surge in protectionism.2008-01-22T15:08:49+00:00enA Wave of Protectionism? An Analysis of Economic and Political Considerations2008-01-22International topicsRecent economic and financial developmentsRegional economic developmentsWorking Paper 2008-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-2.pdfA Wave of Protectionism? An Analysis of Economic and Political ConsiderationsPhilipp MaierJanuary 2008EE6E66FF3F32F4F47The Bank of Canada's Version of the Global Economy Model (BoC-GEM)
https://www.bankofcanada.ca/2007/09/technical-report-no98/
The Bank of Canada's version of the Global Economy Model (BoC-GEM) is derived from the model created at the International Monetary Fund by Douglas Laxton (IMF) and Paolo Pesenti (Federal Reserve Bank of New York and National Bureau of Economic Research).2007-09-09T11:58:25+00:00enThe Bank of Canada's Version of the Global Economy Model (BoC-GEM)2007-09-09Business fluctuations and cyclesEconomic modelsInternational topicsTechnical Report 98 https://www.bankofcanada.ca/wp-content/uploads/2009/12/tr98.pdfThe Bank of Canada's Version of the Global Economy Model (BoC-GEM)René LalondeDirk MuirSeptember 2007CC6C68EE2E27E3E37FF3F32F4F47Oil Price Movements and the Global Economy: A Model-Based Assessment
https://www.bankofcanada.ca/2007/05/working-paper-2007-34/
We develop a five-region version (Canada, an oil exporter, the United States, emerging Asia and Japan plus the euro area) of the Global Economy Model (GEM) encompassing production and trade of crude oil, and use it to study the international transmission mechanism of shocks that drive oil prices.2007-05-04T12:23:07+00:00enOil Price Movements and the Global Economy: A Model-Based Assessment2007-05-04Economic modelsInflation and pricesInternational topicsWorking Paper 2007-34 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-34.pdfOil Price Movements and the Global Economy: A Model-Based AssessmentSelim ElekdagRené LalondeDouglas LaxtonDirk MuirPaolo PesentiMay 2007EE6E66FF3F32F4F47Y a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?
https://www.bankofcanada.ca/2005/03/working-paper-2005-5/
This study on overinvestment differs from the existing literature in that investment in machinery and equipment is modelled as a structural vector autoregression with identification achieved by imposing long-run restrictions, as in Blanchard and Quah (1989).2005-03-01T11:44:49+00:00frY a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?2005-03-01Domestic demand and componentsWorking Paper 2005-5https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp05-5.pdfY a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?Sylvain MartelMarch 2005CC3C32EE3E37FF4F47Modélisation « PAC » du secteur extérieur de l'économie américaine
https://www.bankofcanada.ca/2004/02/working-paper-2004-3/
In this paper, the authors use polynomial adjustment cost (PAC) models to analyze and forecast the main components of the U.S. trade sector.2004-02-01T10:49:07+00:00frModélisation « PAC » du secteur extérieur de l'économie américaine2004-02-01Domestic demand and componentsEconometric and statistical methodsInternational topicsWorking Paper 2004-3https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-3.pdfModélisation « PAC » du secteur extérieur de l’économie américaineMarc-André GosselinRené LalondeFebruary 2004CC3C32EE3E37FF4F47