Networking the Yield Curve: Implications for Monetary Policy Staff Working Paper 2021-4 Tatjana Dahlhaus, Julia Schaumburg, Tatevik Sekhposyan We study how different monetary policies affect the yield curve and interact. Our study highlights the importance of the spillover structure across the yield curve for policy-making. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates, Monetary policy implementation JEL Code(s): C, C1, C18, C2, C21, C5, C53, E, E4, E43, E44, E5, E52
Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19 Staff Working Paper 2021-2 James Chapman, Ajit Desai We use retail payment data in conjunction with machine learning techniques to predict the effects of COVID-19 on the Canadian economy in near-real time. We find this approach yields a significant increase in forecasting precision over a linear benchmark model. This model can help policy-makers before official data are released. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C53, C55, E, E3, E37, E4, E42, E5, E52
The New Benchmark for Forecasts of the Real Price of Crude Oil Staff Working Paper 2020-39 Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C1, C5, C53, Q, Q4, Q47
The Trend Unemployment Rate in Canada: Searching for the Unobservable Staff Working Paper 2019-13 Dany Brouillette, Marie-Noëlle Robitaille, Laurence Savoie-Chabot, Pierre St-Amant, Bassirou Gueye, Elise Nelson In this paper, we assess several methods that have been used to measure the Canadian trend unemployment rate (TUR). We also consider improvements and extensions to some existing methods. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Labour markets JEL Code(s): C, C5, C52, C53, E, E2, E24, E27
GDP by Industry in Real Time: Are Revisions Well Behaved? Staff Analytical Note 2018-40 Patrick Rizzetto The monthly data for real gross domestic product (GDP) by industry are used extensively in real time both to ground the Bank of Canada’s monitoring of economic activity and in the Bank’s nowcasting tools, making these data one of the most important high-frequency time series for Canadian nowcasting. Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods JEL Code(s): C, C5, C53, C8, C82, E, E0, E01
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
State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models Staff Working Paper 2018-14 Luis Uzeda Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C11, C15, C5, C51, C53
Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation Staff Working Paper 2018-10 Lise Pichette, Marie-Noëlle Robitaille, Mohanad Salameh, Pierre St-Amant We use a new real-time database for Canada to study various output gap measures. This includes recently developed measures based on models incorporating many variables as inputs (and therefore requiring real-time data for many variables). Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Potential output JEL Code(s): C, C5, C53, E, E3, E37
On the Tail Risk Premium in the Oil Market Staff Working Paper 2017-46 Reinhard Ellwanger This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C53, C58, D, D8, D84, E, E4, E44, G, G1, G12, G13, Q, Q4, Q43
A Three‐Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth Staff Discussion Paper 2017-8 Tony Chernis, Gabriella Velasco, Calista Cheung This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months). Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Regional economic developments JEL Code(s): C, C5, C53, E, E3, E32, E37, R, R1, R11