Douglas Laxton
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View article: The Bank of Canada's New Quarterly Projection Model, Part 2. A Robust Method for Simulating Forward-Looking Models
The Bank of Canada's New Quarterly Projection Model, Part 2. A Robust Method for Simulating Forward-Looking Models Open
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 converge…
View article: The Bank of Canada's New Quarterly Projection Model, Part 1. The Steady-State Model: SSQPM
The Bank of Canada's New Quarterly Projection Model, Part 1. The Steady-State Model: SSQPM Open
This report is the first documenting the Bank of Canada's new model of the Canadian economy, the Quarterly Projection Model (QPM). QPM is used at the Bank of Canada for both economic projections and policy analysis. Here the authors focus …
View article: A Simple Multivariate Filter for the Measurement of Potential Output
A Simple Multivariate Filter for the Measurement of Potential Output Open
This paper examines techniques that have been used to estimate potential output and finds them wanting. We suggest a simple multivariate-filtering technique that is a generalization of the Hodrick-Prescott univariate filter. In univariate …
View article: Monetary Policy, Uncertainty and the Presumption of Linearity
Monetary Policy, Uncertainty and the Presumption of Linearity Open
This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We desc…
View article: Government Debt in an Open Economy
Government Debt in an Open Economy Open
This paper introduces the CORE model, a prototype for a new quarterly model of the Canadian economy, designed for projections and policy analysis with focus beyond the very short run. The model has a clearly defined equilibrium and explici…
View article: Oil Price Movements and the Global Economy: A Model-Based Assessment
Oil Price Movements and the Global Economy: A Model-Based Assessment Open
We develop a five-region version (Canada, an oil exporter, the United States, emerging Asia and Japan plus the euro area) of the Global Economy Model (GEM) encompassing production and trade of crude oil, and use it to study the internation…
View article: Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis
Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis Open
This paper extends the multivariate filter approach of estimating potential output developed by Alichi and others (2018) to incorporate labor market hysteresis. This extension captures the idea that long and deep recessions (expansions) ca…
View article: Strengthening the Monetary Policy Framework in Korea
Strengthening the Monetary Policy Framework in Korea Open
Adoption of inflation targeting by the Bank of Korea (BOK) in 1998 contributed to low and stable inflation.However, after the global financial crisis (GFC) monetary policy faced more challenging conditions.Inflation slipped below the targe…
View article: Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis
Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis Open
This paper extends the multivariate filter approach of estimating potential output developed by Alichi and others (2018) to incorporate labor market hysteresis. This extension captures the idea that long and deep recessions (expansions) ca…
View article: An Index for Transparency for Inflation-Targeting Central Banks: Application to the Czech National Bank
An Index for Transparency for Inflation-Targeting Central Banks: Application to the Czech National Bank Open
This paper develops a new central bank transparency index for inflation-targeting central banks (CBT-IT index). It applies the CBT-IT index to the Czech National Bank (CNB), one of the most transparent inflation-targeting central banks. Th…
View article: A New Strategy for Korea's Fiscal Policy in a Low Growth Environment
A New Strategy for Korea's Fiscal Policy in a Low Growth Environment Open
Adverse demographics and other structural weaknesses impinge on Korea's long-term fiscal outlook and potential growth.Moreover, inadequate social protection is creating poverty and dampening consumption.The paper presents projections of Ko…
View article: An Index for Transparency for Inflation-Targeting Central Banks: Application to the Czech National Bank
An Index for Transparency for Inflation-Targeting Central Banks: Application to the Czech National Bank Open
This paper develops a new central bank transparency index for inflation-targeting central banks (CBT-IT index). It applies the CBT-IT index to the Czech National Bank (CNB), one of the most transparent inflation-targeting central banks. Th…
View article: Morocco: A Practical Approach to Monetary Policy Analysis in a Country with Capital Controls
Morocco: A Practical Approach to Monetary Policy Analysis in a Country with Capital Controls Open
The Central Bank of Morocco has been working on developing a Forecasting and Policy Analysis System (FPAS) to support a gradual move toward a more flexible exchange rate regime and the eventual adoption of a full-fledged inflation-targetin…
View article: Estimates of Potential Output and the Neutral Rate for the U.S. Economy
Estimates of Potential Output and the Neutral Rate for the U.S. Economy Open
Estimates of potential output and the neutral short-term interest rate play important roles in policy making.However, such estimates are associated with significant uncertainty and subject to significant revisions.This paper extends the st…
View article: Multivariate Filter Estimation of Potential Output for the United States
Multivariate Filter Estimation of Potential Output for the United States Open
Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) an…
View article: Multivariate Filter Estimation of Potential Output for the United States
Multivariate Filter Estimation of Potential Output for the United States Open
Estimates of potential output are an important component of a structured forecasting and policy analysis system.Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and…
View article: Czech Magic: Implementing Inflation-Forecast Targeting at the CNB
Czech Magic: Implementing Inflation-Forecast Targeting at the CNB Open
This paper describes the CNB’s experience implementing an inflation-forecast targeting (IFT) regime, and the building of a system for providing the economic information that policymakers need to implement IFT. The CNB’s experience has been…
View article: Quarterly Projection Model for India: Key Elements and Properties
Quarterly Projection Model for India: Key Elements and Properties Open
This paper outlines the key features of the production version of the quarterly projection model (QPM), which is a forward-looking open-economy gap model, calibrated to represent the Indian case, for generating forecasts and risk assessmen…
View article: Oil Prices and the Global Economy
Oil Prices and the Global Economy Open
This paper presents a simple macroeconomic model of the oil market. The model incorporates features of oil supply such as depletion, endogenous oil exploration and extraction, as well as features of oil demand such as the secular increase …
View article: Czech Magic: Implementing Inflation-Forecast Targeting at the CNB
Czech Magic: Implementing Inflation-Forecast Targeting at the CNB Open
This paper describes the CNB's experience implementing an inflation-forecast targeting (IFT) regime, and the building of a system for providing the economic information that policymakers need to implement IFT.The CNB's experience has been …