Stephen Snudden

How much variation is there in the return to household assets in the US? @SnuddenStephen, in a paper out in @InquiryWEAI, using a panel dataset and a novel measure of household returns, finds both permanent and transitory idiosyncratic return heterogeneity.

LCERPA working paper MVP @SnuddenStephen continues his hot streak, with another new paper in our series! In his latest release, he finds that structural innovations estimated from data which are summed or averaged over time are biased and predictable.

Next, Stephen and Martin construct a large dataset of daily exchange rates for all countries to show that the higher frequency data can improve forecasting accuracy. They also provide some empirical evidence of the spurious predictability issues raised in their other paper!

@LCERPA_EconWLU @SnuddenStephen has been busy, with two new working papers in our series. First, co-authored with Martin McCarthy (@RBAInfo), he finds that aggregating time periods when forecasting is not innocuous; instead, this could lead to spurious predictability!

🚨 Another Thursday, another new LCERPA working paper by @SnuddenStephen: "Idiosyncratic Asset Return and Wage Risk of US Households”.

🚨new LCERPA working paper alert! @SnuddenStephen and coauthors tackle whether futures prices predict the real price of primary commodities🌍 #EconTwitter #CommodityMarkets #Forecasting

Suppose the BoC committed to a rate path such that mortgage rates stay constant, and inflation expectations happen to normalize quickly. Real rates would reverse their fall and return to pre-GFC levels. Maybe room to maneuver… but Q is how it will weight its survey expectations?

Interest rates are up – but inflation expectations are key to gauge the stance of Canada's monetary policy. Examine the real rates on 5-year mortgages. Are we shifting to contraction, or just easing out of an extraordinary expansion? What's your take? #MonetaryPolicy #cdnecon

“We know high inflation is hard on Canadians. Higher interest rates have helped to slow demand and inflation has come down significantly. But the job isn't done.” - Rhys Mendes, @bankofcanada. More on the 2024 Economic Outlook: ow.ly/WxjB50QIiRq | @LCERPA_EconWLU

New working paper by @SnuddenStephen, Amor Aniss Benmoussa, and Reinhard Ellwanger studies model-based forecasts of the real price of crude oil. lcerpa.org/files/LCERPA_2…… @LazaridisSchool @LaurierResearch

New working paper by @SnuddenStephen, Reinhard Ellwanger, and Lenin Arango-Castillo studies forecasts of temporally aggregated data. Constructing forecasts with aggregated data is inefficient. lcerpa.org/files/LCERPA_2……… @LazaridisSchool @LaurierResearch

@trevortombe Only 3.5% higher if you consider the performance over the last decade.

It's also worth noting (I make this point regularly) that even as inflation normalizes, price levels remain higher than they otherwise would have been. This makes the affordability challenge top of mind -- and may remain so for years if/until earnings catch up.

Today's data: inflation!! 📈 Consumer prices were 3.4% higher in December than one year earlier. That's up from 3.1% in November. www150.statcan.gc.ca/n1/daily-quoti… I'll explore some of what's going on. #cdnecon #cdnpoli 🧵

@trevortombe Very interesting. Is there any chance this can be done by gender?

To end: as inflation returns to normal, it may be increasingly relevant to recognize people experience price changes differently depending on what they buy. I estimate the "personal inflation" rate varied in Dec 2023 from 2.6% (owners, no mortgage) to 3.7% (renters). #cdnecon

@trevortombe I have a competition among my grad students for the best seasonally adjusted CPI nowcast for December. The median nowcast is 2.97. Why do you expect a rise in CPI? No SA?

Tomorrow is inflation data day! It will report on consumer prices for December, and give a full picture for 2023. If December's monthly price change is normal, the headline inflation rate will be 3.4%. That's the number to keep in mind. #cdnecon

Congrats to @SnuddenStephen and Reinhard Ellwanger on their paper in The Energy Journal examining futures prices for forecasting the spot price of crude oil iaee.org/en/publication… @LazaridisSchool @LaurierResearch

@mikalskuterud Both trends are concerning from a growth accounting perspective. #cdnecon

And Canada's economic problem is a scarcity of labour? (source: cdhowe.org/sites/default/…)

Guest lectured today at KCI high school for an economics class. Made a crude #Oil conditional forecast example using data to end Nov. What if OPEC disbands? What if China takes off next year? Fun to think through.

It is time to reconsider the usefulness of futures-based #forecasts of the real price of crude #oil. With our method, futures have always produced gains of >40% at the one-step-ahead forecast. Now futures are equally useful at long horizons. Open access: doi.org/10.5547/019565…

I am speaking at ISF 2022: Oxford, England. Please check out my talk if you're attending the event! #ISFConf2022 - via #Whova event app