Roobina Keshishbanoosy Pierre St-Amant Devin Ball Ivan Medovikov (Bank of Canada)
Abstract
Model-based forecasts of important economic variables are part of the range of information considered for monetary policy decision making. Since some of the data underpinning these forecasts can be revised over time as new information is released, having access to the data that are available when decisions are made can have a significant impact on assessments of forecasting models. A database of published information for a set of money and credit variables has been developed at the Bank of Canada. This real-time database, which will make available estimates of money and credit data that have been published at different times, is expected to be of great help to researchers developing models based on money and credit data. The authors describe the contents of the new database and discuss patterns in data revisions. While they find that most revisions are unbiased, they provide evidence that revisions to some of the money and credit aggregates are biased. In particular, revisions to long-term business credit and total business credit tend to show an upward bias over longer periods. The authors argue that this may be because there tends to be a delay in factoring the effects of financial innovations into time series. Practitionners should consider this when interpreting developments in business credit.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.