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The Fisher BCPI: The Bank of Canada’s New Commodity Price Index

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  • Ilan Kolet
  • Ryan Mcdonald
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    Abstract

    The prices of commodities produced in Canada have important implications for the performance of the Canadian economy and the conduct of monetary policy. The authors explain an important change to the methodology used to construct the Bank of Canada commodity price index (BCPI). Since its inception, the BCPI has been a fixed-weight index of commodity prices, with weights that were updated roughly once a decade. Such indexes are subject to bias, because output shares change over time. In this paper, the authors use the chain Fisher index method to update the production weights on an annual basis, and expand the BCPI to include a broader set of commodities. They find that the new index, called the Fisher BCPI, is more comprehensive, flexible, and accurate than the fixed-weight index.

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    File URL: http://www.bankofcanada.ca/en/res/dp/2010/dp10-6.pdf
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    Bibliographic Info

    Paper provided by Bank of Canada in its series Discussion Papers with number 10-6.

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    Length: 31 pages
    Date of creation: 2010
    Date of revision:
    Handle: RePEc:bca:bocadp:10-6

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    Keywords: Inflation and prices; Econometric and statistical methods;

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