Stephen Snudden
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View article: When Are Statistical Forecast Gains Economically Relevant? Evidence From Bitcoin Returns
When Are Statistical Forecast Gains Economically Relevant? Evidence From Bitcoin Returns Open
We study how statistical forecast gains for Bitcoin translate into trading profits. Using real‐time out‐of‐sample forecasts from daily bivariate VARs from October 2021 to February 2024, we show that Bitcoin returns are forecastable and tha…
View article: A reappraisal of real‐time forecasts of the real price of oil
A reappraisal of real‐time forecasts of the real price of oil Open
We replicate Baumeister and Kilian's work done in 2012 to reappraise real‐time forecasts of the real price of crude oil against the end‐of‐month no‐change forecast, the equivalent naive benchmark used for asset prices. We find no consisten…
View article: Idiosyncratic asset return and wage risk of US households
Idiosyncratic asset return and wage risk of US households Open
This paper documents the degree of idiosyncratic asset return heterogeneity, serial correlation, and correlation with wage heterogeneity for US households. Novel panel‐data measurements for returns on household assets are proposed. Sizable…
View article: Futures Prices are Useful Predictors of the Spot Price of Crude Oil
Futures Prices are Useful Predictors of the Spot Price of Crude Oil Open
How well do futures prices forecast the spot price of crude oil? Contrary to the established view, futures prices significantly improve upon the accuracy of monthly no-change forecasts. This results from two innovations. First, we document…
View article: Commodities and monetary policy: Implications for inflation and price level targeting
Commodities and monetary policy: Implications for inflation and price level targeting Open
We examine the relative ability of inflation targeting and price level targeting monetary policy rules to minimize inflation variability and business cycle fluctuations in a commodity-exporting country for supply and demand shocks to globa…
View article: Prospects for Global Current Account Rebalancing
Prospects for Global Current Account Rebalancing Open
The authors use the Bank of Canada's version of the Global Economy Model, a multi-country, multi-sector dynamic stochastic general-equilibrium model with an active banking system (the BoC-GEM-FIN), to study the evolution of global current …
View article: Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting
Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting Open
We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important conseq…
View article: The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages
The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages Open
This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada's G…
View article: The New Benchmark for Forecasts of the Real Price of Crude Oil
The New Benchmark for Forecasts of the Real Price of Crude Oil Open
How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought.
View article: The Power of Many: Assessing the Economic Impact of the Global Fiscal Stimulus
The Power of Many: Assessing the Economic Impact of the Global Fiscal Stimulus Open
The Bank of Canada Global Economy Model (BoC-GEM) is used to examine the effect of various types of discretionary fiscal policies on different regions of the globe. The BoC-GEM is a microfounded dynamic stochastic general-equilibrium globa…
View article: Household Return Heterogeneity in the United States
Household Return Heterogeneity in the United States Open
This thesis provides empirical evidence on heterogeneity in returns on wealth among U.S. households. Chapter 1 provides a summary of how return heterogeneity has been theoretically and quantitatively shown to be necessary in explaining wea…
View article: Targeted growth rates for long-horizon crude oil price forecasts
Targeted growth rates for long-horizon crude oil price forecasts Open
This paper proposes growth rate transformations with targeted lag selection in order to improve the long-horizon forecast accuracy. The method targets lower frequencies of the data that correspond to particular forecast horizons, and is ap…
View article: Cyclical fiscal rules for oil-exporting countries
Cyclical fiscal rules for oil-exporting countries Open
Budget-balance tax-gap rules are preferred to other fiscal policy rules to stabilize the macroeconomic volatility and welfare in oil-exporting countries. The output-inflation trade-off is of particular concern for oil exporters relative to…