Frédérick Demers

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The Canadian Business Cycle: A Comparison of Models

Staff Working Paper 2007-38 Frédérick Demers, Ryan Macdonald
This paper examines the ability of linear and nonlinear models to replicate features of real Canadian GDP. We evaluate the models using various business-cycle metrics.

Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation

Staff Working Paper 2007-8 Frédérick Demers, Calista Cheung
This paper evaluates the performance of static and dynamic factor models for forecasting Canadian real output growth and core inflation on a quarterly basis. We extract the common component from a large number of macroeconomic indicators, and use the estimates to compute out-of-sample forecasts under a recursive and a rolling scheme with different window sizes.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E37

Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?

Staff Working Paper 2005-44 Frédérick Demers, Annie De Champlain
The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts.

Modelling and Forecasting Housing Investment: The Case of Canada

Staff Working Paper 2005-41 Frédérick Demers
The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described.

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

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