In this paper, we estimate the distribution of future inflation and growth in real gross domestic product (GDP) for the Canadian economy at a daily frequency. To do this, we model the conditional moments (mean, variance, skewness and kurtosis) of inflation and GDP growth as moving averages of...

Proxies for race are commonly used in settings where race cannot be observed directly. In the context of small business lending, we examine the standard race prediction algorithm (BISG), which regulators use to assess compliance with fair lending laws. The algorithm relies on an individual’s...

A significant amount of research has been conducted regarding the resilience of the regions and the factors that contribute to allow them to face challenges, crises, or disasters. The rise of promising sectors like Machine learning (ML) and Artificial Intelligence (AI) can enhance this research...

Density forecasts of euro area inflation are a fundamental input for a medium-term oriented central bank, such as the European Central Bank (ECB). We show that a quantile regression forest, capturing a general non-linear relationship between euro area (headline and core) inflation and a large...

We describe a strategy applicable to the investment part of the M6 Forecasting Competition, which maximizes the probability of securing at least the top q-th rank. This portfolio strategy can attain a comparable probability of winning as a participant capable of consistently generating...

Classic artificial intelligence (Q-learning) algorithms have been capable of consistently learning supra-competitive pricing strategies in infinitely repeated Nash-Bertrand pricing games without human communication. Such algorithms have been able to converge due to the temporal correlation of...

We propose Hybrid Shrink (HS), a novel model for combining forecasts that merges forecast selection, weighting, and shrinkage concepts by shrinking forecasters’ weights to average weights, i.e., toward subset selection, or to zero. HS learns the forecast shrinkage direction by minimizing the...

The expectations-augmented Phillips curve (PC) is a cornerstone of many macroeconomic models. We consider the extent to which professional forecasters' inflation and unemployment rate forecasts are `theory consistent', and find much heterogeneity. Perceptions about the responsiveness of...