The Bank of Canada's New Quarterly Projection Model PDF Download
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Author: John Armstrong
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 50
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Book Description
In this report, we describe methods for solving economic models when expectations are presumed to have at least some element of consistency with the predictions of the model itself. We present analytical results that establish the convergence properties of alternative solution procedures for linear models with unique solutions. We discuss briefly the extension of our convergence results to applications with non-linear models, but the strong analytical conclusions for linear systems do not necessarily carry over to non-linear systems. We illustrate the analytical discussion and provide some evidence on comparative solution times and on the robustness of the procedures, using simulations of a simple, linear model of a hypothetical economy and of two much larger, non-linear models of the Canadian economy developed at the Bank of Canada.
Author: John Armstrong
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 50
Get Book Here
Book Description
In this report, we describe methods for solving economic models when expectations are presumed to have at least some element of consistency with the predictions of the model itself. We present analytical results that establish the convergence properties of alternative solution procedures for linear models with unique solutions. We discuss briefly the extension of our convergence results to applications with non-linear models, but the strong analytical conclusions for linear systems do not necessarily carry over to non-linear systems. We illustrate the analytical discussion and provide some evidence on comparative solution times and on the robustness of the procedures, using simulations of a simple, linear model of a hypothetical economy and of two much larger, non-linear models of the Canadian economy developed at the Bank of Canada.
![The Bank of Canada's New Quarterly Projection Model. Part 2, A Robust Method for Simulating Forward-looking Models [electronic Resource] PDF](https://books.google.com/books/content/images/frontcover/-ibVtwEACAAJ?fife=w80-h100)
Author: Armstrong, John B
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author:
Publisher:
ISBN: 9780662226796
Category : Canada
Languages : en
Pages :
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Author:
Publisher:
ISBN:
Category : Canada
Languages : en
Pages : 154
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Book Description
Author: Mr.Douglas Laxton
Publisher: International Monetary Fund
ISBN: 1451947143
Category : Business & Economics
Languages : en
Pages : 30
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Book Description
The development and use of forward-looking macro models in policymaking institutions has proceeded at a pace much slower than predicted in the early 1980s. An important reason is that researchers have not had access to robust and efficient solution techniques for solving nonlinear forward-looking models. This paper discusses the properties of a new algorithm that is used for solving MULTIMOD, the IMF’s multicountry model of the world economy. This algorithm is considerably faster and much less prone to simulation failures than to traditional algorithms and can also be used to solve individual country models of the same size.
Author:
Publisher:
ISBN: 9780662244851
Category : Canada
Languages : en
Pages : 0
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Book Description
The Bank of Canada's new Quarterly Projection Model (QPM) combines the short-term dynamic properties necessary to support regular economic projections with the consistent behavioural structure necessary for policy analysis. This volume reviews the history of macro modelling at the Bank and how that history has conditioned the nature of QPM and the methodology used in its construction. It then describes the model, focusing on the types of shocks it was designed to handle and the key elements of its dynamic structure. Two important features are noted: forward-looking expectations and endogenous policy rules. Also discussed is the methodology used to calibrate the model to reflect Canadian data, including examples of how the calibration was performed for QPM. Finally, the volume illustrates the properties of QPM in dynamic simulation by describing the results of numerous shocks to the model.
Author: Andrew J. Hughes Hallett
Publisher: Springer Science & Business Media
ISBN: 1461552192
Category : Business & Economics
Languages : en
Pages : 295
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Book Description
Macroeconomic Modelling has undergone radical changes in the last few years. There has been considerable innovation in developing robust solution techniques for the new breed of increasingly complex models. Similarly there has been a growing consensus on their long run and dynamic properties, as well as much development on existing themes such as modelling expectations and policy rules. This edited volume focuses on those areas which have undergone the most significant and imaginative developments and brings together the very best of modelling practice. We include specific sections on (I) Solving Large Macroeconomic Models, (II) Rational Expectations and Learning Approaches, (III) Macro Dynamics, and (IV) Long Run and Closures. All of the contributions offer new research whilst putting their developments firmly in context and as such will influence much future research in the area. It will be an invaluable text for those in policy institutions as well as academics and advanced students in the fields of economics, mathematics, business and government. Our contributors include those working in central banks, the IMF, European Commission and established academics.
Author: David Bolder
Publisher:
ISBN: 9780662276029
Category : Government securities
Languages : en
Pages : 70
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Book Description
Author: Lavan Mahadeva
Publisher: Routledge
ISBN: 1135126631
Category : Business & Economics
Languages : en
Pages : 692
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Book Description
This broad-ranging collection assesses the links between targets and central bank independence, accountability and the transparency of monetary policy. Renowned experts contribute to this original and comprehensive text which will be of great value to professional economists and students of economics and banking alike. Monetary Policy Frameworks in a Global Context was named Book of the Year, 2000 by Central Banking journal
Author: Giorgio Pauletto
Publisher: Springer Science & Business Media
ISBN: 1475726317
Category : Business & Economics
Languages : en
Pages : 175
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Book Description
This book is the result of my doctoral dissertation research at the Department of Econometrics of the University of Geneva, Switzerland. This research was also partially financed by the Swiss National Science Foundation (grants 12- 31072.91 and 12-40300.94). First and foremost, I wish to express my deepest gratitude to Professor Manfred Gilli, my thesis supervisor, for his constant support and help. I would also like to thank the president of my jury, Professor Fabrizio Carlevaro, as well as the other members of the jury, Professor Andrew Hughes Hallett, Professor Jean-Philippe Vial and Professor Gerhard Wanner. I am grateful to my colleagues and friends of the Departement of Econometrics, especially David Miceli who provided constant help and kind understanding during all the stages of my research. I would also like to thank Pascale Mignon for proofreading my text and im proving my English. Finally, I am greatly indebted to my parents for their kindness and encourage ments without which I could never have achieved my goals. Giorgio Pauletto Department of Econometrics, University of Geneva, Geneva, Switzerland Chapter 1 Introduction The purpose of this book is to present the available methodologies for the solution of large-scale macroeconometric models. This work reviews classical solution methods and introduces more recent techniques, such as parallel com puting and nonstationary iterative algorithms.
