Model-Based Globally-Consistent Risk Assessment

Author/Editor:

Michal Andrle ; Benjamin L Hunt

Publication Date:

May 22, 2020

Electronic Access:

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Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

This paper outlines an approach to assess uncertainty around a forecast baseline as well as the impact of alternative policy rules on macro variability. The approach allows for non-Gaussian shock distributions and non-linear underlying macroeconomic models. Consequently, the resulting distributions for macroeconomic variables can exhibit skewness and fat tails. Several applications are presented that illustrate the practical implementation of the technique including confidence bands around a baseline forecast, the probabilities of global growth falling below a specified threshold, and the impact of alternative fiscal policy reactions functions on macro variability.

Series:

Working Paper No. 20/64

English

Publication Date:

May 22, 2020

ISBN/ISSN:

9781513536460/1018-5941

Stock No:

WPIEA2020064

Format:

Paper

Pages:

28

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