Rodrigo Sekkel

Principal Researcher

Rodrigo Sekkel is a principal researcher in the monetary policy analysis and research division of the financial markets department. His research interests are empirical macroeconomics and finance, and applied time series.


Rodrigo Sekkel

Principal Researcher
Financial Markets

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Curriculum vitae


Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada

Staff Working Paper 2017-39 Julien Champagne, Rodrigo Sekkel
We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.

A Dynamic Factor Model for Nowcasting Canadian GDP Growth

Staff Working Paper 2017-2 Tony Chernis, Rodrigo Sekkel
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.

The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies

This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across borders.

The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates

We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.

Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Staff Working Paper 2016-5 Soojin Jo, Rodrigo Sekkel
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework.

See More



  • “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, , forthcoming.
  • “Macroeconomic Uncertainty Through the Lens of Professional Forecasters”,
    (with Soojin Jo), Journal of Business and Economics Statistics, forthcoming.
  • “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.

Research Interests

  • Macroeconometrics


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