Bio

Luis Uzeda is a Principal Researcher of the Labour and Inflation Team in the Canadian Economic Analysis Department. His research interests are in Applied Macroeconomics, Bayesian Econometrics and Time Series Analysis. Prior to joining the Bank, Luis held positions in the Research Departments of the Reserve Bank of Australia and the Reserve Bank of New Zealand. He holds a Ph.D. in Economics from the Australian National University.

Research Field(s): Applied Econometrics Bayesian Methods Time Series

Staff discussion papers

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Staff working papers

Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference

Staff Working Paper 2025-14 Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak
We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Fiscal policy JEL Code(s): C, C1, C11, C12, C3, C32, E, E6, E62

Sectoral Uncertainty

Staff Working Paper 2022-38 Efrem Castelnuovo, Kerem Tuzcuoglu, Luis Uzeda
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary.
Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy and uncertainty JEL Code(s): C, C5, C51, C55, E, E3, E32, E4, E44

Understanding Trend Inflation Through the Lens of the Goods and Services Sectors

Staff Working Paper 2020-45 Yunjong Eo, Luis Uzeda, Benjamin Wong
The goods and services sectors have experienced considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52

Endogenous Time Variation in Vector Autoregressions

Staff Working Paper 2020-16 Danilo Leiva-Leon, Luis Uzeda
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52

State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models

Staff Working Paper 2018-14 Luis Uzeda
Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C11, C15, C5, C51, C53

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Journal publications

  • “Sectoral Uncertainty : A Hierarchical-Volatility Approach” (with Kerem Tuzcuoglu et Efrem Castelnuovo), Journal of Business and Economic Statistics (2025)
  • “Understanding Trend Inflation Through the Lens of the Goods and Services Sectors” (with Yunjong Eo and Benjamin Wong), Journal of Applied Econometrics (2023)
  • “State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models”, Advances in Econometrics (Essays in Honor of Fabio Canova) (2022)
  • “Endogenous Time Variation in Vector Autoregressions” (with Danilo Leiva-León), Review of Economics and Statistics (2022) 
  • “Detection of Anticipated Structural Changes in a Rational Expectations Environment” (with Callum Jones), Applied Economics Letters (2013)