Introducing the Bank of Canada staff economic projections database

Champagne, Julien; Poulin-Bellisle, Guillaume; Sekkel, Rodrigo

doi:10.1002/jae.2744

Cited by 7 publications

(8 citation statements)

References 46 publications

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“…Similarly, the Eurosystem/ECB staff macroeconomic projections of inflation are unbiased over the full sample, but inflation was inflation was persistently underpredicted before the financial crisis, and overpredicted after 2013 (Granziera et al, 2021;Kontogeorgos & Lambrias, 2022). Champagne et al (2020) applies Rossi and Sekhposyan (2016) test and find that for GDP growth, the test shows a significant and persistent breakdown in unbiasedness in the mid-1990s, while for CPI inflation the test points to a small bias in the early 1990s.…”

Section: Recent Advancementsmentioning

confidence: 92%

“…Using data from 1999 to 2013, Hubert (2015a) studies the relative forecasting performance of the central banks of Sweden, the United Kingdom, Canada, Switzerland, and Japan, and finds that only in Sweden are the central bank forecasts more accurate than private forecasts. Champagne et al (2020) find an advantage of Bank of Canada staff forecasts over the ones from private forecasters, especially for GDP growth forecasts, from 1994 to 2015. Similar to the U.S. case, the BoC staff economic projections of inflation and GDP growth have smaller forecast errors after the 1991 adoption of inflation targeting (Champagne et al, 2020).…”

Section: Probing the Informational Advantage Of Central Banksmentioning

confidence: 99%

“…Champagne et al (2020) find an advantage of Bank of Canada staff forecasts over the ones from private forecasters, especially for GDP growth forecasts, from 1994 to 2015. Similar to the U.S. case, the BoC staff economic projections of inflation and GDP growth have smaller forecast errors after the 1991 adoption of inflation targeting (Champagne et al, 2020). Binette and Tchebotarev (2017) also finds that the BoC MPR forecasts for GDP growth since 1997 are superior to professional forecasters.…”

Section: Probing the Informational Advantage Of Central Banksmentioning

confidence: 99%

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Central bank forecasting: A survey

Binder

Sekkel

2023

Journal of Economic Surveys

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Central banks' forecasts are important monetary policy inputs and tools for central bank communication. We survey the literature on forecasting at the Federal Reserve, European Central Bank, Bank of England, and Bank of Canada, focusing especially on recent developments. After describing these central banks' forecasting frameworks, we discuss the literature on central bank forecast evaluation and new tests of unbiasedness and efficiency. We also discuss evidence of central banks' informational advantage over private sector forecasters, which appears to have weakened over time, and how central bank forecasts may affect private sector expectations even in the absence of an informational advantage. We discuss how the Great Recession led central banks to evaluate their forecasting frameworks, how the Covid‐19 pandemic has further challenged central bank forecasting, and directions for future research.

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Section: Recent Advancementsmentioning

confidence: 92%

Section: Probing the Informational Advantage Of Central Banksmentioning

confidence: 99%

Section: Probing the Informational Advantage Of Central Banksmentioning

confidence: 99%

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Central bank forecasting: A survey

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2023

Journal of Economic Surveys

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“…More recently, Sties (2017) has built a much smaller monthly data set containing mostly financial series and few real activity indicators. Stephen Gordon has also been updating some relevant Canadian indicators, while the Bank of Canada released its Staff Economic Projections database, as documented in Champagne et al (2018, 2019). Our data selection is inspired by McCracken and Ng (2016) when it comes to major groups of economic variables.…”

Section: Introductionmentioning

confidence: 99%

A large Canadian database for macroeconomic analysis

Fortin-Gagnon¹,

Leroux²,

Stevanović³

et al. 2022

Canadian J of Economics

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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.

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“…In recent years, Pástor and Stambaugh (2003), Moskowitz et al (2012), and introduced liquidity and momentum factors. The MCS has been applied extensively to univariate macroeconomic models, see Samuels and Sekkel (2017), Aslanidis et al (2018), and Champagne et al (2020).…”

Section: Introductionmentioning

confidence: 99%

Three Essays in Econometrics

Richard¹

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In this thesis, I contribute to the literature on multiple comparisons and specification testing for multivariate models, through the lens of model selection procedures in asset pricing.In the first chapter, I provide a model selection procedure for multivariate models, generalizing the model confidence set (MCS) procedure to systems of N > 1 dependent variables. A (1 − α) level MCS collects the set of models with equal predictive ability, based on a sequential elimination procedure that relies on an equivalence test.I introduce supremum-type t and Hotelling-type T 2 statistics which account for correlation between loss differentials. I assess the performance of 14 candidate asset pricing models using monthly data for the period 1972-2013. I find that for out-of-sample tests, only a single model is ever selected by the procedure, but the MCS often includes multiple models for in-sample tests. Overall, out-of-sample tests and a larger number of more heterogenous test assets provide more information to disentangle models. The procedure shows good size and power properties in simulations.I thank my committee members, Ba Chu, Maral Kichian, and Matthew Webb for the insightful discussions and feedback they have provided. I also thank the faculty members and the administrative staff at the Economics department, for their support and encouragement throughout my PhD. Louis-Philippe Beland and Konstantinos Metaxoglou deserve a special mention for their tremendous help during the job market season.Finally, I would like to thank my wife, Sappaya, without whose endless support and patience completing my PhD would not have been possible.

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Introducing the Bank of Canada staff economic projections database

Cited by 7 publications

References 46 publications

Central bank forecasting: A survey

Central bank forecasting: A survey

A large Canadian database for macroeconomic analysis

Three Essays in Econometrics

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