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George Mason University
Events

CDS/CSI/CSS Seminars/Colloquia

Feb 9, 2024, 3:00 - 4:00 PM

This will be a hybrid talk, the speaker presenting online with participants both in-person at the Center on Social Complexity Suite (3rd floor, Research Hall), where refreshments will be served, and online

Speaker: Yang Zhang, Central Bank of Canada

Title: CANVAS: A Canadian Behavioral Agent-Based Model for Monetary Policy

Abstract: We develop the Canadian behavioral Agent-Based Model (CANVAS) that complements traditional macroeconomic models for forecasting and monetary policy analysis. CANVAS represents a next-generation modelling effort featuring enhancements in three dimensions: introducing household and firm heterogeneity, departing from rational expectations, and modelling price and quantity setting heuristics within a production network. The expanded modelling capacity is achieved by harnessing large-scale Canadian micro- and macroeconomic datasets and incorporating adaptive learning and simple heuristics. The out-of-sample forecasting performance of CANVAS is found to be competitive with a benchmark vector auto-regressive (VAR) model and a DSGE model. When applied to analyze the COVID-19 pandemic episode, our model helps explain both the macroeconomic movement and the interplay between expectation formation and cost-push shocks. CANVAS is one of the first macroeconomic agent-based models applied by a central bank to support projection and alternative scenarios, marking an advancement in the toolkit of central banks and enriching monetary policy analysis.

Joint work with Cars Hommes, Mario He, Sebastian Poledna, and Melissa Siqueira

Link to paper: https://www.bankofcanada.ca/2022/12/staff-working-paper-2022-51/

For Zoom link contact Robert Axtell

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