Introducing the Bank of Canada staff economic projections database

Abstract

SummaryWe present a new, publicly available database of real‐time data and forecasts from the Bank of Canada's staff economic projections, which will be updated on an annual basis. We describe the data construct, its variables, coverage, and frequency. We then provide a forecast evaluation for gross domestic product (GDP) growth, consumer price index (CPI) inflation and the policy rate since 1982: We compare the staff's forecasts with those from commonly used time series models estimated with the real‐time data, and with forecasts from other professional forecasters, and provide standard bias tests. Finally, we study changes in predictability of the Canadian economy following the announcement of the inflation‐targeting regime in 1991. Our data set is unprecedented outside the USA, and our evidence is particularly interesting, as it covers over 30 years of staff forecasts, two severe recessions, and different monetary policy regimes.