Rodrigo Sekkel

Director

Bio

Rodrigo Sekkel is the director in the Monetary Policy and Financial Studies division of 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.


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Staff Analytical Notes

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.

Staff Discussion Papers

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

Staff Working Papers

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.

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.

International Spillovers of Policy Uncertainty

Staff Working Paper 2014-57 Stefan Klößner, Rodrigo Sekkel
Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, D, D8, D80, F, F4, F42

Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?

Staff Working Paper 2014-40 Rodrigo Sekkel
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53

Forecasting with Many Models: Model Confidence Sets and Forecast Combination

Staff Working Paper 2013-11 Jon D. Samuels, Rodrigo Sekkel
A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53

Journal Publications

Publications

  • “Introducing the Bank of Canada Staff Economic Projections Database”,
    (with Julien Champagne and Guillaume Poulin-Bellisle), Journal of Applied Econometrics, forthcoming.
  • Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada”,
    (with Julien Champagne), Journal of Monetary Economics, (2018), 99, 72-87.
  • “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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