## Constructing Forecast Confidence Bands During the Financial Crisis

_IMF Working Papers, September 1, 2009_

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## Bibliographic details
- Authors: Kevin Clinton, Marianne Johnson, Huigang Chen, Ondrej Kamenik, Douglas Laxton
- Published: September 1, 2009
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451873610.001

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### Study overview and model setup
- Authors: Kevin Clinton, Marianne Johnson, Huigang Chen, Ondrej Kamenik, Douglas Laxton
- Date: September 1, 2009
- Coverage: Global Projection Model covering the United States, the euro area, and Japan
- Key model features:
  - The price of oil is modeled as a stochastic process.
  - Interest rates have a zero floor.
  - Bank lending tightening affects the United States.
- Methodological note: To calculate confidence intervals that respect the zero interest rate floor, Latin hypercube sampling is employed.

### Main findings and implications
- Derived confidence bands indicate non-negligible risks that U.S. interest rates might stay near zero for an extended period.
- Derived confidence bands indicate non-negligible risks that severe credit conditions might persist.
- Subject areas addressed: Inflation, Oil prices, Output gap, Potential output, Real exchange rates
- Keywords: confidence interval, interest rate, WP

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/constructing-forecast-confidence-bands-during-the-financial-crisis-23321_