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A Large Canadian Database for Macroeconomic Analysis

Olivier Fortin-Gagnon, Maxime Leroux, Dalibor Stevanovic () and Stéphane Surprenant

CIRANO Working Papers from CIRANO

Abstract: This paper describes a large-scale Canadian macroeconomic database in monthly frequency. The dataset contains hundreds of Canadian and provincial economic indicators observed from 1981. It is designed to be updated regularly through StatCan database and is publicly available. It relieves users to deal with data changes and methodological revisions. We show five useful features of the dataset for macroeconomic research. First, the factor structure explains a sizeable part of variation in Canadian and provincial aggregate series. Second, the dataset is useful to capture turning points of the Cana-dian business cycle. Third, the dataset has substantial predictive power when forecasting key macroeconomic indicators. Fourth, the panel can be used to construct measures of macroeconomic uncertainty. Fifth, the dataset can serve for structural analysis through the factor-augmented VAR model.

Keywords: Big Data; Factor Model; Forecasting; Structural Analysis (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets and nep-mac
Date: 2018-08-07
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Persistent link: https://EconPapers.repec.org/RePEc:cir:cirwor:2018s-25

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