Rodrigo Sekkel is Senior Research Advisor in the Canadian Economic Analysis department. His research interests are empirical macroeconomics and finance. Specific topics include forecasting, identification of the dynamic effects of monetary policy, and macroeconomic volatility. Rodrigo received his PhD in economics from Johns Hopkins University.
We construct a dataset on Federal Reserve and Bank of Canada non-rate announcement events to provide novel insights into how foreign and domestic monetary policy communications affect the financial markets of open economies. We find that Fed non-rate communications have a stronger impact on long-term interest rates and stock futures, while Bank of Canada communications are relatively more important for short-term interest rates and the exchange rate.
Using almost two decades of detailed high-frequency data, we show how Canadian interest rates, the CAD/USD spot exchange rate, and stock market returns react to both US and domestic macro announcements. We find that Canadian macroeconomic announcements invoke greater responses in short-term yields, whereas US macroeconomic announcements play an increasingly important role in the yield movements of longer-term assets.
We analyze the dynamic and heterogeneous responses of small-business loan performance to a monetary-policy shock using loan-level data in Canada. We find evidence of monetary policy transmission through the cash-flow channel and the aggregate demand channel as well as some, though limited, impact of collateral to discipline loan repayment.
We explain how the Bank of Canada’s policy models capture the trade-off between output and inflation in Canada. We provide new estimates of the trade-off and contrast them with those in the Bank’s macroeconomic models.
Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies.
We review the literature on central bank forecasting with a special focus on the Federal Reserve, European Central Bank, Bank of England and Bank of Canada.
“Central Bank Forecasting: a Survey”, (with Carola Binder), Journal of Economic Surveys, forthcoming.
“Introducing the Bank of Canada Staff Economic Projections Database”, (with Julien Champagne and Guillaume Poulin-Bellisle), Journal of Applied Econometrics, 35, no. 1 (2020), 114-129.
“The Real-Time Properties of the Bank of Canada's Staff Output Gap Estimates”, (with Julien Champagne and Guillaume Poulin-Bellisle), Journal of Money, Credit and Banking, 50, no. 6 (2018): 1167-1188.
“The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies”. (with Gregory Bauer, Gurnain Pasricha and Yaz Terajima), Canadian Public Policy, 44, no. 2 (2018): 81-99.
“Macroeconomic Uncertainty Through the Lens of Professional Forecasters”, (with Soojin Jo), Journal of Business & Economic Statistics, (2017): 1-11.
“Model Confidence Sets and Forecast Combination”, (with Jon Samuels), International Journal of Forecasting, 33, no. 1 (2017): 48-60.
“A Dynamic Factor Model for Nowcasting Canadian GDP Growth”, (with Tony Chernis), Empirical Economics , (2017): 1-18.
“Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?”. International Journal of Forecasting , 31, no. 2 (2015): 263-275.
“International Spillovers of Policy Uncertainty”, (with Stefan Klößner), Economics Letters , 124, no. 3 (2014): 508-512.
“International Evidence on Bond Risk Premia”, Journal of Banking & Finance, 35, no. 1 (2011): 174-181.
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