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A large Canadian database for macroeconomic analysis
Author(s) -
FortinGag Olivier,
Leroux Maxime,
Stevanovic Dalibor,
Surprenant Stéphane
Publication year - 2022
Publication title -
canadian journal of economics/revue canadienne d'économique
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.773
H-Index - 69
eISSN - 1540-5982
pISSN - 0008-4085
DOI - 10.1111/caje.12618
Subject(s) - business cycle , set (abstract data type) , dimension (graph theory) , economics , data set , econometrics , panel data , predictive power , macroeconomics , database , computer science , philosophy , programming language , mathematics , epistemology , artificial intelligence , pure mathematics
This paper provides a large‐scale Canadian macroeconomic database and shows its usefulness for empirical macroeconomic analysis. The data set 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 data set for macroeconomic research. First, the factor structure explains a sizeable part of the variation of the data set and appears as an appropriate means of dimension reduction. Second, the data set 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.