A Large Canadian Database for Macroeconomic Analysis

Olivier Fortin-Gagnon, Maxime Leroux, Dalibor Stevanovic and Stephane Surprenant
Additional contact information
Olivier Fortin-Gagnon: Groupe Desjardins
Maxime Leroux: University of Quebec in Montreal
Stephane Surprenant: University of Quebec in Montreal

No 20-07, Working Papers from Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management

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.

Keywords: Big Data; Factor Model; Forecasting; Structural Analysis. (search for similar items in EconPapers)
Pages: 54 pages
Date: 2020-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published, Canadian Journal of Economics/Revue canadienne d'économique

Downloads: (external link)
https://chairemacro.esg.uqam.ca/wp-content/uploads ... _Draft_March2021.pdf (application/pdf)

Related works:
Journal Article: A large Canadian database for macroeconomic analysis (2022)
Working Paper: A Large Canadian Database for Macroeconomic Analysis (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bbh:wpaper:20-07

Access Statistics for this paper

More papers in Working Papers from Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management Contact information at EDIRC.
Bibliographic data for series maintained by Dalibor Stevanovic and Alain Guay ().