A Small Quarterly Multi-Country Projection Model
December 1, 2008
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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.
Subject: Inflation, Output gap, Potential output, Real exchange rates, Real interest rates
Keywords: exchange rate, WP
Pages:
59
Volume:
2008
DOI:
Issue:
279
Series:
Working Paper No. 2008/279
Stock No:
WPIEA2008279
ISBN:
9781451871371
ISSN:
1018-5941
