A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices

By Michel Juillard, Charles Freedman, Dmitry Korshunov, Douglas Laxton, Ondrej Kamenik, Ioan Carabenciov, Igor Ermolaev, Jared Laxton

December 1, 2008

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Michel Juillard, Charles Freedman, Dmitry Korshunov, Douglas Laxton, Ondrej Kamenik, Ioan Carabenciov, Igor Ermolaev, and Jared Laxton. A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices, (USA: International Monetary Fund, 2008) accessed September 18, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This is the third of a series of papers that are being written as part of a larger 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 US, Euro Area, and Japanese economies that incorporates oil prices and allows us to trace out the effects of shocks to oil prices. The model is estimated with Bayesian techniques. We show how the model can be used to construct efficient baseline forecasts that incorporate judgment imposed on the near-term outlook.

Subject: Inflation, Oil prices, Output gap, Potential output, Real exchange rates

Keywords: Exchange rate, Real interest rate, WP

Publication Details

Pages:

74
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2008/280
Stock No:

WPIEA2008280
ISBN:

9781451871388
ISSN:

1018-5941

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