Introducing the Bank of Canada Staff Economic Projections Database.
(with Rodrigo Sekkel and Guillaume Poulin-Bellisle). 2020. Journal of Applied Econometrics, Volume 35, Issue 1, p. 114-129.
Abstract:
We present a new, publicly-available database of real-time data and forecasts from the Bank of Canada's staff economic projections which will be updated on an annual basis. We describe the data construct, its variables, coverage and frequency. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with real-time data and with forecasts from other professional forecasters and provide standard bias tests. Finally, we study changes in the predictability of the Canadian economy following the announcement of the inflation-targeting regime in 1991. Our database is unprecedented outside the United States, and our evidence is particularly interesting, as it covers over 30 years of staff forecasts, two severe recessions and different monetary policy regimes.
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