CANVAS: A Canadian behavioral agent-based model for monetary policy

20123 7 108064 2 327479 document 108064 1-s2.0-S0165188924001787-main.pdf application/pdf 7296ac2f1395bbb4b99e877f1908607f MD5 3403493 2024-11-18 09:43:43 https://pure.iiasa.ac.at/id/eprint/20123/1/1-s2.0-S0165188924001787-main.pdf 20123 1 1 application/pdf text en public cc_by_4

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/108064 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/108064 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/108064 archive 353 disk0/00/02/01/23 2024-11-18 09:45:00 2025-03-13 13:02:37 2024-11-18 09:45:00 article show Hommes C. He M. Poledna S. 2083 Siqueira M. Zhang Y. CANVAS: A Canadian behavioral agent-based model for monetary policy pub ASA EM 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 modeling effort featuring enhancements in three dimensions: introducing household and firm heterogeneity, departing from rational expectations, and modeling price and quantity setting heuristics within a production network. The expanded modeling 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. 2024-11-04 published Elsevier doi:10.1016/j.jedc.2024.104986 235 public Journal of Economic Dynamics and Control 172 e104986 TRUE 1879-1743 no info:eu-repo/semantics/article