A Small Quarterly Projection Model of the US Economy

Author/Editor: Carabenciov, Ioan ; Ermolaev, Igor ; Freedman, Charles ; Juillard, Michel ; Kamenik, Ondra ; Korshunov, Dmitry ; Laxton, Douglas
Publication Date: December 01, 2008
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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 first of a series of papers that are being written as part of a 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 U.S. economy. 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. After developing a benchmark model without financial-real linkages, we introduce such linkages into the model and compare the results with and without linkages.
Series: Working Paper No. 08/278
Subject(s): Economic forecasting | United States | Monetary policy | Forecasting models

Author's Keyword(s): Macroeconomic Modeling | Bayesian Estimation | Monetary Policy
Publication Date: December 01, 2008
Format: Paper
Stock No: WPIEA2008278 Pages: 54
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