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Forecasting risks to the Canadian economic outlook at a daily frequency

Azizova, Chinara; Feunou, Bruno; Kyeong, James - 2023

In this paper, we estimate the distribution of future inflation and growth in real gross domestic product (GDP) for the Canadian economy at a daily frequency. To do this, we model the conditional moments (mean, variance, skewness and kurtosis) of inflation and GDP growth as moving averages of...

Persistent link: https://www.econbiz.de/10014343001

Nowcasting Canadian economic activity in an uncertain environment

Chernis, Tony; Sekkel, Rodrigo - 2018

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. Using a...

Persistent link: https://www.econbiz.de/10011894244

A three-frequency dynamic factor model for nowcasting Canadian provincial GDP growth

Chernis, Tony; Cheung, Calista; Velasco, Gabriella - 2017

(GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months … showcase the significant regional heterogeneity that characterizes a large diverse country like Canada. They also provide more …

Persistent link: https://www.econbiz.de/10011661118

Global Real Activity for Canadian Exports : GRACE

Binette, André; Chernis, Tony; De Munnik, Daniel - 2017

Bank of Canada fs current measure of foreign demand has created an impetus to search for an alternative. Based on a dynamic … variables not only from the United States but also for all of Canada's major trading partners. We apply this approach to total …

Persistent link: https://www.econbiz.de/10011586558

What's up with unit non-response in the Bank of Canada's business outlook survey? : the effect of staff tenure

Miller, Sarah; Amirault, David; Martin, Laurent - 2017

Since 1997, the Bank of Canada's regional offices have been conducting the Business Outlook Survey (BOS), a quarterly … of private sector firms representative of the various sectors, firm sizes and regions across Canada. Participation is …

Persistent link: https://www.econbiz.de/10011729404

Deriving longer-term inflation expectations and inflation risk premium measures for Canada

Fenou, Bruno; Tarshi, Zabi - 2024

We present two models for long-term inflation expectations and inflation risk premiums for Canada. First, we estimate … and the term structure of the Government of Canada nominal bond yields. Then we estimate the inflation risk premium by … positive in 2021. Because real return bonds will eventually disappear in Canada, a market-derived indicator for long …

Persistent link: https://www.econbiz.de/10014577849

Fundamental drivers of existing home sales in Canada

Webley, Taylor - 2018

Existing home sales' share of Canada's economic pie has been rising in recent years, and variation around this trend …

Persistent link: https://www.econbiz.de/10011942345

Nowcasting Canadian GDP with density combinations

Chernis, Tony; Webley, Taylor - 2022

Assessing the state of the economy in real time is critical for policy-making, and understanding the risks to those assessments is equally important. Policy-makers are typically provided with point forecasts that contain insufficient information about risks. In contrast, predictive densities...

Persistent link: https://www.econbiz.de/10013193292

The fisher BCPI : the Bank of Canada’s new commodity price index

Kolet, Ilan; MacDonald, Ryan - 2010

The prices of commodities produced in Canada have important implications for the performance of the Canadian economy … of Canada commodity price index (BCPI). Since its inception, the BCPI has been a fixed-weight index of commodity prices …

Persistent link: https://www.econbiz.de/10003981393

Forecasting short-term real GDP growth in the euro area and Japan using unrestricted MIDAS regressions

Leboeuf, Maxime; Morel, Louis - 2014

In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting...

Persistent link: https://www.econbiz.de/10010403330