G3MOD: A Multi-Country Global Forecasting Model

IMF Working Papers, December 13, 2024

Source details

Develops G3MOD, a semi-structural gap-trend model designed for frequent external sector forecasts crucial in macroeconomic forecasting.
Focus on the G3 economies: US, Euro Area, and China, plus the rest of the world.
Leverages insights from central banks’ policy models to translate external forecasts (such as the IMF’s World Economic Outlook) into a Quarterly Projection Model format.
Supports flexible simulations, policy assessments, model-based forecasts, and risk evaluations to help central banks integrate external forecasts and scenarios into their own forecasts and generate timely macroeconomic projections.
The complete set of codes, calibrated parameter values, and supporting programs are posted with this working paper.

Semi-structural gap-trend architecture.
Structured around trade and financial linkages across the G3 and the rest of the world.
Designed to ensure economic coherence and alignment with historical data.

Calibration ensures alignment with historical data, economic coherence, and robust predictive capability.
Validated against major global projection models.

Translates external forecasts into Quarterly Projection Model format for consistent use in policy environments.
Enables flexible simulations and policy assessments.
Supports risk evaluation and integration of external scenarios into central bank forecasting processes.

Subjects: Commodity prices, Foreign exchange, Inflation, Nominal effective exchange rate, Output gap, Prices, Production, Real exchange rates.
Keywords: Commodity prices, demand shock, forecasting accuracy, Forecasting and Policy Analysis, Global, Inflation, macroeconomic forecasting, Macroeconomic Modeling, Monetary Policy, Nominal effective exchange rate, Output gap, Quarterly Projection Model, Real exchange rates, risk evaluation.