The Bank of Canada's New Quarterly Projection Model. Part 2, A Robust Method for Simulating Forward-looking Models [electronic Resource] PDF Download
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Author: Armstrong, John B
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Languages : en
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![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
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Languages : en
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Author: John Armstrong
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Category : Banks and banking
Languages : en
Pages : 50
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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.
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ISBN: 9780662226796
Category : Canada
Languages : en
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ISBN: 9780662244851
Category : Canada
Languages : en
Pages : 0
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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: Leo Butler
Publisher:
ISBN:
Category : Canada
Languages : en
Pages : 108
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The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report describes a general method to measure potential output, as well as its implementation in the QPM system. The report begins with a short history of the measurement of potential output. Building on this experience, a hybrid method of measuring potential output is developed that combines economic structure with a time-series filter. The resulting filter, known as the extended multivariate (EMV) filter, exploits theoretical relationships that are embodied in QPM in an effort to identify demand-side and supply-side influences on output. These various relationships are combined in a filter that imposes a smoothness property on the dynamics of potential output. The report describes the general structure of the EMV filter, the various economic relationships that it uses, and the weights applied to these different pieces of information. It concludes with an evaluation of the EMV filter and some suggestions for future improvements.
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Languages : en
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Languages : en
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Author: Robert Amano
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Category : Canada
Languages : en
Pages : 69
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Category :
Languages : en
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Author: Mr.Ondrej Kamenik
Publisher: International Monetary Fund
ISBN: 1451871368
Category : Business & Economics
Languages : en
Pages : 56
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Book Description
This is the first of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. In this paper, we estimate a small quarterly projection model of the U.S. economy. The model is estimated with Bayesian techniques, which provide a very efficient way of imposing restrictions to produce both plausible dynamics and sensible forecasting properties. After developing a benchmark model without financial-real linkages, we introduce such linkages into the model and compare the results with and without linkages.
