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2343
result(s)
Time-Consistent Control in Non-Linear Models
Staff Working Paper 2007-3
Steve Ambler,
Florian Pelgrin
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Monetary policy framework
JEL Code(s):
C,
C6,
C63,
E,
E6,
E61,
E62
Housing Market Cycles and Duration Dependence in the United States and Canada
Staff Working Paper 2007-2
Rose Cunningham,
Ilan Kolet
Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C4,
C41,
E,
E3,
E32,
R,
R2,
R21
How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
Staff Working Paper 2007-1
John Galbraith,
Greg Tkacz
For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53
December 23, 2006
Global Savings, Investment, and World Real Interest Rates
Over the past 25 years, world long-term interest rates have declined to levels not seen since the 1960s. This decline has been accompanied by falling world investment and savings rates. The authors explore global saving and investment outcomes that have led to the fall in the world real interest rate. The results show that the key factors explaining movements in savings and investment are variables that evolve relatively slowly over time, such as labour force growth and the age structure of the world economy. The conclusions suggest that, over the coming years, it is unlikely that these slowly changing variables will be a source of significant changes in world real interest rates.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Interest rates,
International topics
December 21, 2006
The “Maple Bond” Market
Content Type(s):
Publications,
Financial System Review articles
December 21, 2006
Are Canadian Banks Efficient? A Canada-U.S. Comparison
Content Type(s):
Publications,
Financial System Review articles
December 21, 2006
Credit in a Tiered Payments System
Content Type(s):
Publications,
Financial System Review articles
December 21, 2006
Using No-Arbitrage Models to Predict Exchange Rates
Content Type(s):
Publications,
Financial System Review articles
December 20, 2006
Why Monetary Policy Matters: A Canadian Perspective
This article provides answers to several key questions about Canadian monetary policy. First, what is monetary policy? Second, why does the Bank of Canada focus on the control of inflation rather than other macroeconomic variables? Third, how do the Bank's actions influence the rate of inflation? And, finally, how can monetary policy deliver genuine and significant benefits to society?
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Business fluctuations and cycles,
Inflation: costs and benefits,
Monetary policy framework