Bruno Feunou - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:27:43+00:00Finding the balance—measuring risks to inflation and to GDP growth
https://www.bankofcanada.ca/2023/12/staff-analytical-note-2023-18/
Using our new quantitative tool, we show how the risks to the inflation and growth outlooks have evolved over the course of 2023.2023-12-19T11:22:43+00:00enFinding the balance—measuring risks to inflation and to GDP growth2023-12-19Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency
https://www.bankofcanada.ca/2023/09/staff-discussion-paper-2023-19/
This paper quantifies tail risks in the outlooks for Canadian inflation and real GDP growth by estimating their conditional distributions at a daily frequency. We show that the tail risk probabilities derived from the conditional distributions accurately reflect realized outcomes during the sample period from 2002 to 2022.2023-09-13T06:00:12+00:00enForecasting Risks to the Canadian Economic Outlook at a Daily Frequency2023-09-13Business fluctuations and cyclesEconometric and statistical methodsStaff Discussion Paper 2023-19https://www.bankofcanada.ca/wp-content/uploads/2023/09/sdp2023-19.pdfForecasting Risks to the Canadian Economic Outlook at a Daily FrequencyChinara AzizovaBruno FeunouJames KyeongSeptember 2023CC3C32C5C58EE4E44GG1G17Generalized Autoregressive Gamma Processes
https://www.bankofcanada.ca/2023/08/staff-working-paper-2023-40/
We introduce generalized autoregressive gamma (GARG) processes, a class of autoregressive and moving-average processes in which each conditional moment dynamic is driven by a different and identifiable moving average of the variable of interest. We show that using GARG processes reduces pricing errors by substantially more than using existing autoregressive gamma processes does.2023-08-02T15:32:16+00:00enGeneralized Autoregressive Gamma Processes2023-08-02Asset pricingEconometric and statistical methodsStaff Working Paper 2023-40https://www.bankofcanada.ca/wp-content/uploads/2023/08/swp2023-40.pdfGeneralized Autoregressive Gamma ProcessesBruno FeunouAugust 2023CC5C58GG1G12Real Exchange Rate Decompositions
https://www.bankofcanada.ca/2022/03/staff-discussion-paper-2022-6/
We break down the exchange rate based on an explicit link between fixed income and currency markets. We isolate a foreign exchange risk premium and show it is the main driver of the exchange rate between the Canadian and US dollars, especially on monetary policy and macroeconomic news announcement days.2022-03-22T09:18:33+00:00enReal Exchange Rate Decompositions2022-03-22Asset pricingExchange ratesInternational financial marketsMonetary policy transmissionStaff Discussion Paper 2022-6https://www.bankofcanada.ca/wp-content/uploads/2022/03/sdp2022-6.pdfStaff Discussion Paper 2022-6Bruno FeunouJean-Sébastien FontaineIngomar KrohnMarch 2022EE4E43FF3F31GG1G12Secular Economic Changes and Bond Yields
https://www.bankofcanada.ca/2021/03/staff-working-paper-2021-14/
We investigate the economic forces behind the secular decline in bond yields. Before the anchoring of inflation in the mid-1990s, nominal shocks drove inflation, output and bond yields. Afterward, the impacts of nominal shocks were much less significant.2021-03-19T12:59:13+00:00enSecular Economic Changes and Bond Yields2021-03-19Asset pricingEconometric and statistical methodsInterest ratesMonetary policy and uncertaintyPotential outputStaff Working Paper 2021-14https://www.bankofcanada.ca/wp-content/uploads/2021/03/swp2021-14.pdfSecular Economic Changes and Bond YieldsBruno FeunouJean-Sébastien FontaineMarch 2021EE4E43GG1G12The Term Structures of Loss and Gain Uncertainty
https://www.bankofcanada.ca/2020/06/staff-working-paper-2020-19/
We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into two components—loss uncertainty and gain uncertainty. We then use these components to evaluate investment.2020-06-05T10:41:44+00:00enThe Term Structures of Loss and Gain Uncertainty2020-06-05Asset pricingEconometric and statistical methodsStaff Working Paper 2020-19https://www.bankofcanada.ca/wp-content/uploads/2020/06/swp2020-19.pdfStaff Working Paper 2020-19Bruno FeunouRicardo Lopez AliouchkinRoméo TedongapLai XuJune 2020GG1G12The Secular Decline of Forecasted Interest Rates
https://www.bankofcanada.ca/2019/01/staff-analytical-note-2019-1/
Canadian interest rates show a secular decline since the 1980s. Long-term survey-based forecasts of interest rates also declined, but less so and were more gradual. Our model-based estimates show an endpoint shifting over time in three phases: a decline between 1990 and 1995, a period of stability between 1996 and 2007, and a further decline since 2008. The current endpoint estimate remains clouded with uncertainty; this is an active area of research.2019-01-11T14:05:40+00:00enThe Secular Decline of Forecasted Interest Rates2019-01-11Does US or Canadian Macro News Drive Canadian Bond Yields?
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-38/
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.2018-12-05T12:00:24+00:00enDoes US or Canadian Macro News Drive Canadian Bond Yields?2018-12-05Markets Look Beyond the Headline
https://www.bankofcanada.ca/2018/11/staff-analytical-note-2018-37/
Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data.2018-11-23T10:35:25+00:00enMarkets Look Beyond the Headline2018-11-23Which Model to Forecast the Target Rate?
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-60/
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.2017-12-20T08:33:46+00:00enWhich Model to Forecast the Target Rate?2017-12-20Financial marketsInterest ratesStaff Working Paper 2017-60https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-60.pdfWhich Model to Forecast the Target Rate?Bruno FeunouJean-Sébastien FontaineJianjian JinDecember 2017EE4E43