Staff working papers

• 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