C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
-
-
Introducing the Bank of Canada's Projection Model for the Global Economy
To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund. -
Monetary Policy Lag, Zero Lower Bound, and Inflation Targeting
Although the concept of monetary policy lag has historical roots deep in the monetary economics literature, relatively little attention has been paid to the idea. In this paper, we build on Svensson's (1997) inflation targeting framework by explicitly taking into account the lagged effect of monetary policy and characterize the optimal monetary policy reaction function both in the absence and in the presence of the zero lower bound on the nominal interest rate. -
Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective
The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. -
The Bank of Canada's Version of the Global Economy Model (BoC-GEM)
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). -
Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy
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. -
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
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. -
Time-Consistent Control in Non-Linear Models
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. -
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates. -
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound).