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A Small Quarterly Multi-Country Projection Model

Author/Editor: Juillard, Michel | Laxton, Douglas | Carabenciov, Ioan | Ermolaev, Igor | Freedman, Charles | Korshunov, Dmitry | Laxton, Jared | Kamenik, Ondra
Authorized for Distribution: December 1, 2008
Electronic Access: Free Full Text (PDF file size is 4,416KB)
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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.
 
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Series: Working Paper No. 08/279
Subject(s): Economic forecasting | United States | Euro Area | Japan | Monetary policy | Forecasting models
Author's keyword(s): Macroeconomic Modeling; Forecasting; Bayesian Estimation; Monetary Policy
 
English  
    Published:   December 1, 2008        
            Format:   Paper
    Stock No:   WPIEA2008279   Pages:   59
    Price:   US$18.00 (Academic Rate: US$18.00 )
       
     
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