Bio

Joshua Brault is a Senior Data Scientist at the Bank of Canada. His primary research interests are at the intersection of data and macroeconomic models including business cycles, monetary policy, and quantitative methods. Joshua Brault received his Ph.D. in Economics from Carleton University followed by a post-doctoral fellowship at the Université du Québec à Montréal.

Research Field(s): Business Cycles Data Science Quantitative Macroeconomics

Staff working papers

Parallel Tempering for DSGE Estimation

Staff Working Paper 2024-13 Joshua Brault
I develop a population-based Markov chain Monte Carlo algorithm known as parallel tempering to estimate dynamic stochastic general equilibrium models. Parallel tempering approximates the posterior distribution of interest using a family of Markov chains with tempered posteriors.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C1, C11, C15, E, E1, E10

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Journal publications

Refereed journals

  • “Zooming in: The role of granular data in central banking” (with Maryam Haghighi and Bruno Tissot), Journal of Digital Banking, 2025, 10(2).
  • “Large firms and the Cyclicality of US Labour Productivity” (with Hashmat Khan), Journal of Macroeconomics, 2024, 82.
  • “The real interest rate channel is structural in contemporary New-Keynesian models: A Note”
    (with Hashmat Khan), Journal of Money, Credit and Banking, forthcoming.
  • “The Shifts in Lead-Lag Properties of the US Business Cycle” (with Hashmat Khan), Economic Inquiry, 2020, 58(1).

Non-refereed journals

  • “Granular data: new horizons and challenges for central banks'” (with Maryam Haghighi and Bruno Tissot), IFC Bulletin, 2024, 61.
  • “Unit labour cost, wages and labour productivity in Canada: A bottom-up analysis” (with Maryam Haghighi, Masoud Nasari, and Hashmat Khan), IFC Bulletin, 2024, 61.