Rodrigo Sekkel

rodrigo-sekkel

Senior Analyst

Rodrigo Sekkel is a Senior Analyst of the Current Analysis division of the Canadian Economic Analysis Department. He is an applied macroeconometrician, and holds a PhD from Johns Hopkins University, Baltimore.

Contact

Rodrigo Sekkel

Senior Analyst
Financial Markets

Bank of Canada
234 Laurier Avenue West
Ottawa, ON, K1A 0G9

Curriculum vitae

Latest

The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates

Staff Working Paper 2016-28 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel
We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Central bank research, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C38, E, E1, E17, E3, E32

Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Staff Working Paper 2016-5 Soojin Jo, Rodrigo Sekkel
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C38, E, E1, E17, E3, E32

International Spillovers of Policy Uncertainty

Staff Working Paper 2014-57 Stefan Klößner, Rodrigo Sekkel
Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, D, D8, D80, F, F4, F42

Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?

Staff Working Paper 2014-40 Rodrigo Sekkel
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53

Forecasting with Many Models: Model Confidence Sets and Forecast Combination

Staff Working Paper 2013-11 Jon D. Samuels, Rodrigo Sekkel
A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53

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Other

Other Publications

  • “International Evidence on Bond Risk Premia.”
    Journal of Banking & Finance 35 (1): 174–81, 2011.
  • The Economic Determinants of the Brazilian Term Structure of Interest Rates
    Applied Economics, vol.42, 1, 2010. With D. Alves.

Work in Progress

  • Forecasting with Many Models: Model Confidence Sets and Forecast Combinations"
    (with Jon Samuels). Revise and Resubmit.
  • Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?"
    Revise and Resubmit.
  • Estimating Macroeconomic Uncertainty using Surveys"
    (with Soojin Jo and Monica Jain), work in progress.

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Research Interests

  • Macroeconometrics

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