How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables Staff Working Paper 2007-1 John Galbraith, Greg Tkacz For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C53
Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices Staff Working Paper 2006-39 Jean-Marie Dufour, David Tessier The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators JEL Code(s): C, C1, C12, C15, C3, C32, C5, C51, C53, E, E5, E52
Using Monthly Indicators to Predict Quarterly GDP Staff Working Paper 2006-26 Yi Zheng, James Rossiter The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C2, C22, C5, C53
Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices Staff Working Paper 2006-25 Greg Tkacz, Carolyn A. Wilkins The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Inflation and prices JEL Code(s): C, C5, C53, E, E4
Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies Staff Working Paper 2006-22 Anna Piretti, Charles St-Arnaud The authors develop a projection model of the euro area and the United Kingdom. The model consists of two country blocks, endogenous to each other via the foreign demand channel. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E3, E37
Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion Staff Working Paper 2006-14 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, Sebastien McMahon Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37
MUSE: The Bank of Canada's New Projection Model of the U.S. Economy Technical Report No. 96 Marc-André Gosselin, René Lalonde The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation of Canadian economic and financial policy. Thus, the Bank places considerable importance on generating internal forecasts of U.S. economic activity as an input to the Canadian projection. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E2, E27, E3, E37, F, F1, F17
Forecasting Canadian GDP: Region-Specific versus Countrywide Information Staff Working Paper 2005-31 Frédérick Demers, David Dupuis The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E1, E17
Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires Staff Working Paper 2004-40 Frédérick Demers In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C53
A Forecasting Model for Inventory Investments in Canada Staff Working Paper 2004-39 Marwan Chacra, Maral Kichian The authors present an empirical model to forecast short-run inventory investment behaviour for Canada. Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E2, E22, E6, E62