Philipp Maier - Latest - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T14:54:34+00:00Mixed Frequency Forecasts for Chinese GDP
https://www.bankofcanada.ca/2011/04/working-paper-2011-11/
We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter (‘nowcasts’ and ‘forecasts’, respectively). We use three types of mixed-frequency models, one based on an economic activity indicator (Liu et al., 2007), one based on averaging over indicator models (Stock and Watson, 2004), and a static factor model (Stock and Watson, 2002).2011-04-05T07:44:52+00:00enMixed Frequency Forecasts for Chinese GDP2011-04-05Econometric and statistical methodsInternational topicsWorking Paper 2011-11https://www.bankofcanada.ca/wp-content/uploads/2011/04/wp11-11.pdfMixed Frequency Forecasts for Chinese GDPPhilipp MaierApril 2011CC5C50C53EE3E37E4E47The Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada
https://www.bankofcanada.ca/2011/01/working-paper-2011-2/
Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy.2011-01-28T08:24:21+00:00enThe Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada2011-01-28Business fluctuations and cyclesEconometric and statistical methodsInternational topicsWorking Paper 2011-2https://www.bankofcanada.ca/wp-content/uploads/2011/01/wp11-2.pdfThe Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for CanadaGarima VasishthaPhilipp MaierJanuary 2011CC3C32FF4F41'Lean' versus 'Rich' Data Sets: Forecasting during the Great Moderation and the Great Recession
https://www.bankofcanada.ca/2010/12/working-paper-2010-37/
We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data from national economies (pseudo-real time data).2010-12-23T12:55:41+00:00en'Lean' versus 'Rich' Data Sets: Forecasting during the Great Moderation and the Great Recession2010-12-23Econometric and statistical methodsInternational topicsWorking Paper 2010-37https://www.bankofcanada.ca/wp-content/uploads/2010/12/wp10-37.pdf‘Lean' versus ‘Rich' Data Sets: Forecasting during the Great Moderation and the Great RecessionMarco J. LombardiPhilipp MaierDecember 2010CC5C50C53EE3E37E4E47On the Advantages of Disaggregated Data: Insights from Forecasting the U.S. Economy in a Data-Rich Environment
https://www.bankofcanada.ca/2010/03/working-paper-2010-10/
The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use the latest revision of over 100 U.S. time series over the period 1974-2009 (monthly and quarterly data).2010-03-22T14:49:24+00:00enOn the Advantages of Disaggregated Data: Insights from Forecasting the U.S. Economy in a Data-Rich Environment2010-03-22Econometric and statistical methodsInternational topicsWorking Paper 2010-10https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-10.pdfOn the Advantages of Disaggregated Data: Insights from Forecasting the U.S. Economy in a Data-Rich EnvironmentNikita PerevalovPhilipp MaierMarch 2010CC5C50C53EE3E37E4E47What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates
https://www.bankofcanada.ca/2010/02/working-paper-2010-5/
We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates – Australia, Canada, the euro, Japan, New Zealand and the United Kingdom – over the 1980-2007 period, a dynamic factor model points to two common factors.2010-02-20T10:01:15+00:00enWhat Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates2010-02-20Econometric and statistical methodsExchange ratesWorking Paper 2010-5https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp10-5.pdfWhat Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange RatesJean-Philippe CayenDonald ColettiRené LalondePhilipp MaierFebruary 2010JJ3J31How Changes in Oil Prices Affect the Macroeconomy
https://www.bankofcanada.ca/2009/12/working-paper-2009-33/
We estimate a New Keynesian general-equilibrium open economy model to examine how changes in oil prices affect the macroeconomy. Our model allows oil price changes to be transmitted through temporary demand and supply channels (affecting the output gap), as well as through persistent supply side effects (affecting trend growth).2009-12-15T14:47:31+00:00enHow Changes in Oil Prices Affect the Macroeconomy2009-12-15Economic modelsInterest ratesMonetary policy transmissionPotential outputProductivityWorking Paper 2009-33 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-33.pdfHow Changes in Oil Prices Affect the MacroeconomyBrian DePrattoCarlos De ResendePhilipp MaierDecember 2009FF4F41QQ4Q43Emerging Asia's Impact on Food and Oil Prices: A Model-Based Analysis
https://www.bankofcanada.ca/2009/01/discussion-paper-2009-3/
The authors explore the usefulness of macroeconomic models in analyzing global economic developments by examining movements in commodity prices between July 2007 and July 2008. They use the Bank of Canada's version of the Global Economy Model and investigate the longer-term outlook for commodity prices by constructing two different, globally consistent, scenarios for emerging Asia.2009-01-29T11:25:20+00:00enEmerging Asia's Impact on Food and Oil Prices: A Model-Based Analysis2009-01-29International topicsRecent economic and financial developmentsDiscussion Paper 2009-3https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp09-3.pdfEmerging Asia’s Impact on Food and Oil Prices: A Model-Based AnalysisRené LalondePhilipp MaierDirk MuirJanuary 2009EE3E30E5E50E58E6E60Good Policies or Good Fortune: What Drove the Compression in Emerging- Market Spreads?
https://www.bankofcanada.ca/wp-content/uploads/2012/01/fsr-1208-maier.pdf
2008-12-21T10:42:38+00:00enGood Policies or Good Fortune: What Drove the Compression in Emerging- Market Spreads?2008-12-21Conference Summary: International Experience with the Conduct of Monetary Policy under Inflation Targeting
https://www.bankofcanada.ca/wp-content/uploads/2010/06/maier.pdf
Central bankers from inflation-targeting and non-inflation-targeting countries around the world and several distinguished scholars assembled at the Bank of Canada in July 2008 to review the international experience in some detail. This article highlights topics covered in the special lectures and sessions, including how inflation targeting can manage external shocks, various ways in which monetary policy decisions are taken, and the issues of transparency and communications. It also reports on the discussion in the closing panel, which considered options for the future of inflation targeting.2008-11-11T13:48:28+00:00enConference Summary: International Experience with the Conduct of Monetary Policy under Inflation Targeting2008-11-11The Canadian Dollar and Commodity Prices: Has the Relationship Changed over Time?
https://www.bankofcanada.ca/2008/10/discussion-paper-2008-15/
The authors examine the impact of the recent run-up in energy and non-energy commodity prices on the Canadian dollar. Using the Bank of Canada's exchange rate equation, they find that the differences between the actual value of the Canadian exchange rate and the simulated values observed in 2007 are not historically large. Still, given that […]2008-10-25T14:45:12+00:00enThe Canadian Dollar and Commodity Prices: Has the Relationship Changed over Time?2008-10-25Exchange ratesDiscussion Paper 2008-15https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp08-15.pdfThe Canadian Dollar and Commodity Prices: Has the Relationship Changed over Time?Philipp MaierBrian DePrattoOctober 2008FF3F31