C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - Bank of Canada
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2024-03-29T05:41:35+00:00
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Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
https://www.bankofcanada.ca/2007/10/working-paper-2007-49/
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.
2007-10-01T12:46:08+00:00
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Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
2007-10-01
Econometric and statistical methods
Financial markets
Interest rates
Working Paper 2007-49
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-49.pdf
Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner’s Perspective
David Bolder
Shudan Liu
October 2007
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The Bank of Canada's Version of the Global Economy Model (BoC-GEM)
https://www.bankofcanada.ca/2007/09/technical-report-no98/
The Bank of Canada's version of the Global Economy Model (BoC-GEM) is derived from the model created at the International Monetary Fund by Douglas Laxton (IMF) and Paolo Pesenti (Federal Reserve Bank of New York and National Bureau of Economic Research).
2007-09-09T11:58:25+00:00
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The Bank of Canada's Version of the Global Economy Model (BoC-GEM)
2007-09-09
Business fluctuations and cycles
Economic models
International topics
Technical Report 98
https://www.bankofcanada.ca/wp-content/uploads/2009/12/tr98.pdf
The Bank of Canada's Version of the Global Economy Model (BoC-GEM)
René Lalonde
Dirk Muir
September 2007
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Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy
https://www.bankofcanada.ca/2007/05/working-paper-2007-32/
Since the contribution of Kydland and Prescott (1977), it is well known that the optimal Ramsey policy is time inconsistent. In a series of recent contributions, Woodford (2003) proposes a new methodology to circumvent this problem, namely the timeless perspective solution.
2007-05-02T17:15:54+00:00
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Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy
2007-05-02
Monetary policy framework
Working Paper 2007-32
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-32.pdf
Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy
Michel Juillard
Florian Pelgrin
May 2007
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Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
https://www.bankofcanada.ca/2007/02/working-paper-2007-13/
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.
2007-02-13T12:52:37+00:00
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Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
2007-02-13
Debt management
Econometric and statistical methods
Financial markets
Fiscal policy
Working Paper 2007-13
https://www.bankofcanada.ca/wp-content/uploads/2010/03/wp07-13.pdf
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
David Bolder
Tiago Rubin
February 2007
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Time-Consistent Control in Non-Linear Models
https://www.bankofcanada.ca/2007/02/working-paper-2007-3/
We show how to use optimal control theory to derive optimal time-consistent Markov-perfect government policies in nonlinear dynamic general equilibrium models, extending the result of Cohen and Michel (1988) for models with quadratic objective functions and linear dynamics. We replace private agents' costates by flexible functions of current states in the government's maximization problem.
2007-02-03T10:42:23+00:00
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Time-Consistent Control in Non-Linear Models
2007-02-03
Fiscal policy
Monetary policy framework
Working Paper 2007-3
https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp07-3.pdf
Time-Consistent Control in Non-Linear Models
Steve Ambler
Florian Pelgrin
February 2007
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C63
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