A Small Quarterly Projection Model of the US Economy
IMF Working Papers, December 1, 2008
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Bibliographic details
- Authors: Igor Ermolaev, Michel Juillard, Ioan Carabenciov, Charles Freedman, Douglas Laxton, Ondrej Kamenik, Dmitry Korshunov
- Published: December 1, 2008
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451871364.001
Objective and Scope
- First paper in a series to estimate a small quarterly Global Projection Model (GPM).
- GPM project aim: improve the toolkit for studying both own-country and cross-country linkages.
- This paper: estimates a small quarterly projection model of the U.S. economy.
Methodology
- The model is estimated with Bayesian techniques, which the authors state "provide a very efficient way of imposing restrictions to produce both plausible dynamics and sensible forecasting properties."
- Modeling strategy:
- Develop a benchmark model without financial-real linkages.
- Introduce financial-real linkages into the model.
- Compare results with and without these linkages.
Key Themes, Subjects, and Keywords
- Subject: Central bank policy rate, Inflation, Output gap, Potential output, Real interest rates
- Keywords: interest rate, WP
Authors and Publication
- By Igor Ermolaev, Michel Juillard, Ioan Carabenciov, Charles Freedman, Douglas Laxton, Ondrej Kamenik, Dmitry Korshunov
- December 1, 2008
Summary Findings and Analytical Focus
- The paper emphasizes the estimation of a small quarterly projection model for the U.S. using Bayesian estimation to ensure plausible dynamics and forecasting properties.
- Comparative analysis centers on model performance and implications when financial-real linkages are absent versus when they are included.
IMF Working Paper: "A Small Quarterly Projection Model of the US Economy" (Working Paper No. 2008/278), December 1, 2008.