A Small Quarterly Multi-Country Projection Model

Author/Editor:

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

Publication Date:

December 1, 2008

Electronic Access:

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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 second 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. The model is estimated with Bayesian techniques, which provide a very efficient way of imposing restrictions to produce both plausible dynamics and sensible forecasting properties. We show how the model can be used to construct efficient baseline forecasts that incorporate judgment imposed on the near-term outlook.

Series:

Working Paper No. 08/279

Subject:

English

Publication Date:

December 1, 2008

ISBN/ISSN:

9781451871371/1018-5941

Stock No:

WPIEA2008279

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

59

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