This paper develops an index of financial stress for the Canadian financial system. It is a
continuous variable with a spectrum of values, where extreme values are called financial …

The authors develop an index of financial stress for the Canadian financial system. Stress is
defined as the force exerted on economic agents by uncertainty and changing expectations …

This paper uses a meta‐analysis to survey existing factor forecast applications for output
and inflation and assesses what causes large factor models to perform better or more poorly …

Financial Conditions Indexes for Canada Page 1 Bank of Canada Banque du Canada Working
Paper 2004-22 / Document de travail 2004-22 Financial Conditions Indexes for Canada by …

A survey of models used for forecasting exchange rates and inflation reveals that the factor‐
based and time‐varying parameter or state space models generate superior forecasts …

In this paper we apply factor models proposed by Stock and Watson [Stock, JH, Watson,
MW, 1999. Forecasting inflation. Journal of Monetary Economics 44 (2), 293–335.] as well …

We employ a 10-variable dynamic structural general equilibrium model to forecast the US
real house price index as well as its downturn in 2006: Q2. We also examine various …

This paper provides a large‐scale Canadian macroeconomic database and shows its
usefulness for empirical macroeconomic analysis. The data set contains hundreds of …

This paper uses large Factor Models (FMs), which accommodate a large cross-section of
macroeconomic time series for forecasting the per capita growth rate, inflation, and the …

We assess the marginal predictive content of a large international dataset for forecasting
GDP in New Zealand, an archetypal small open economy. We apply “data-rich” factor and …