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

Author/Editor: Carabenciov, Ioan ; Ermolaev, Igor ; Freedman, Charles ; Juillard, Michel ; Kamenik, Ondra ; Korshunov, Dmitry ; Laxton, Douglas ; Laxton, Jared
Publication Date: December 01, 2008
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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.
Series: Working Paper No. 08/280
Subject(s): Economic forecasting | United States | Euro Area | Japan | Oil prices | Monetary policy | External shocks | Forecasting models

Author's Keyword(s): Macroeconomic Modeling | Forecasting | Bayesian Estimation | Monetary Policy
Publication Date: December 01, 2008
Format: Paper
Stock No: WPIEA2008280 Pages: 74
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