A large Canadian database for macroeconomic analysis

Abstract

This paper provides a large-scale Canadian macroeconomic database and shows its usefulness for empirical macroeconomic analysis. The dataset contains hundreds of Canadian and provincial economic indicators. It is designed to be updated regularly and real-time vintages are publicly available. It relieves users to deal with data changes and methodological revisions. We show four useful features of this dataset for macroeconomic research. First, the factor structure explains a sizeable part of the variation of the dataset and appears as an appropriate means of dimension reduction. Second, the dataset is useful to capture turning points of the Canadian business cycle. Third, it has substantial predictive power when forecasting key macroeconomic indicators. Fourth, the richness of the panel is used to study the effectiveness of monetary policy across regions and sectors.

Macroeconomic uncertainty and the COVID‐19 pandemic: Measure and impacts on the Canadian economy

“… Canadian macroeconomic uncertainty: Provincial measures NOTE: Macroeconomic uncertainty for Canadian provinces, measured using the quarterly version of the Fortin‐Gagnon et al. (forthcoming) database. …”

“…'s (2015) measure is based on monthly frequency data, the comparison is with our monthly frequency measure of Canadian uncertainty, which is obtained by repeating the forecasting exercise using the monthly frequency version of Fortin‐Gagnon et al. (forthcoming). Figure 4 reports the results, displaying the (normalized) three‐months‐ahead measure for both countries.…”

“…'s (2015) method to Fortin‐Gagnon et al. 's (forthcoming) database, produces intuitive and rich information about uncertainty in Canada and shows how it affects different geographical or sectoral subsets of the economy. In addition, it reveals the extent to which the COVID‐19 pandemic has coincided with unprecedented rises in uncertainty.…”

“…'s (2015) method to the database constructed and maintained by Fortin‐Gagnon et al. (forthcoming). This database contains more than 300 time series related to the Canadian economy, is available for both quarterly and monthly frequency and is updated regularly.…”

“…(2015) method to the large database of Fortin‐Gagnon et al. (forthcoming). This measure provides an important historical perspective about Canadian macroeconomic uncertainty and confirms it has reached unprecedented levels since the onset of the pandemic.…”