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. Specific topics include forecasting in a data-rich environment, identification of the dynamic effects of monetary policy, and macroeconomic volatility.


Rodrigo Sekkel

Principal Researcher
Financial Markets
Monetary Policy Analysis and Research

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

Curriculum vitae


Does US or Canadian Macro News Drive Canadian Bond Yields?

Staff Analytical Note 2018-38 Bruno Feunou, Rodrigo Sekkel, Morvan Nongni Donfack
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.

Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts

We present a novel database of real-time data and forecasts from the Bank of Canada’s staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with real-time data and with forecasts from other professional forecasters and provide standard bias tests.

Nowcasting Canadian Economic Activity in an Uncertain Environment

Staff Discussion Paper 2018-9 Tony Chernis, Rodrigo Sekkel
This paper studies short-term forecasting of Canadian real GDP and its expenditure components using combinations of nowcasts from different models. Starting with a medium-sized data set, we use a suite of common nowcasting tools for quarterly real GDP and its expenditure components.
Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53, E, E3, E37, E5, E52

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.

See More



  • Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada”,
    (with Julien Champagne), Journal of Monetary Economics, forthcoming.
  • “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.
  • “The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies”.
    (with Gregory Bauer, Gurnain Pasricha and Yaz Terajima), Canadian Public Policy, forthcoming.
  • “Macroeconomic Uncertainty Through the Lens of Professional Forecasters”,
    (with Soojin Jo),Journal of Business & Economic Statistics, 2017, DOI: 1080/07350015.2017.1356729.
  • “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.


  • Ph.D., Johns Hopkins University
  • M.A., Universidade de São Paulo
  • B.A., Universidade de São Paulo


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