Title: Changes in predictability of the Canadian economy: Evidence from the Bank of Canada staff's forecast
Authors: Rodrigo Sekkel - Bank of Canada (Canada) [presenting]
Julien Champagne - Bank of Canada (Canada)
Guillaume Poulin-Bellisle - Bank of Canada (Canada)
Abstract: An evaluation of the Bank of Canada staff's forecasts for real GDP growth and CPI inflation since 1982 is provided by using a novel database of real-time data and forecasts. We compare the staff's forecasts with commonly-used time series models estimated with real-time data, and study changes in predictability of the Canadian economy following the announcement of the inflation targeting regime in 1991. While a large literature has examined the forecasting performance of the U.S. Federal Reserve staff, few papers have focused on small open economies. Our evidence is particularly interesting, as it includes over 30 years of staff's forecasts, two severe recessions and different monetary policy regimes.