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A Small Quarterly Projection Model of the US Economy

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Author Info

  • Igor Ermolaev
  • Michel Juillard
  • Ioan Carabenciov
  • Charles Freedman
  • Douglas Laxton
  • Ondra Kamenik
  • Dmitry Korshunov

Abstract

This is the first of a series of papers that are being written as part of a 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 U.S. economy. 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. After developing a benchmark model without financial-real linkages, we introduce such linkages into the model and compare the results with and without linkages.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/278.

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Length: 54
Date of creation: 01 Dec 2008
Date of revision:
Handle: RePEc:imf:imfwpa:08/278

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Phone: (202) 623-7000
Fax: (202) 623-4661
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Web page: http://www.imf.org/external/pubind.htm
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Related research

Keywords: Monetary policy; Economic forecasting; Forecasting models; inflation; equation; correlation; forecasting; standard deviation; real interest rate; inflation equation; equations; rate of inflation; survey; correlations; inflationary pressures; nominal interest rate; time series; aggregate demand; stochastic processes; samples; standard deviations; real interest rates; increase in inflation; calibration; rates of inflation; maximum likelihood estimation; simultaneous equation; rational expectations; inflation target; integral; price level; standard errors; relative prices; sample size; inflation rate; increase in interest rates; nominal interest rates; inflation process; monetary economics; price deflation; random walk;

This paper has been announced in the following NEP Reports:

References

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  1. Tamim Bayoumi & Ola Melander, 2008. "Credit Matters," IMF Working Papers 08/169, International Monetary Fund.
  2. David Laidler, 2003. "The price level, relative prices and economic stability: aspects of the interwar debate," BIS Working Papers 136, Bank for International Settlements.
  3. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," NBER Working Papers 5146, National Bureau of Economic Research, Inc.
  4. Cara S. Lown & Donald P. Morgan, 2002. "Credit effects in the monetary mechanism," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 217-235.
  5. Athanasios Orphanides, 2003. "Historical monetary policy analysis and the Taylor rule," Finance and Economics Discussion Series 2003-36, Board of Governors of the Federal Reserve System (U.S.).
  6. Juillard, Michael & Kamenik, Ondra & Kumhof, Michael & Laxton, Douglas, 2008. "Optimal price setting and inflation inertia in a rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2584-2621, August.
  7. Cara S. Lown & Donald P. Morgan & Sonali Rohatgi, 2000. "Listening to loan officers: the impact of commercial credit standards on lending and output," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 1-16.
  8. Dennis P. J. Botman & David Rose & Douglas Laxton & Philippe D Karam, 2007. "DSGE Modeling At the Fund," IMF Working Papers 07/200, International Monetary Fund.
  9. Douglas Laxton & Andrew Berg & Philippe D Karam, 2006. "Practical Model-Based Monetary Policy Analysis," IMF Working Papers 06/81, International Monetary Fund.
  10. Tamim Bayoumi & Andrew Swiston, 2007. "Foreign Entanglements," IMF Working Papers 07/182, International Monetary Fund.
  11. Eyal Argov & David Rose & Philippe D Karam & Natan P. Epstein & Douglas Laxton, 2007. "Endogenous Monetary Policy Credibility in a Small Macro Model of Israel," IMF Working Papers 07/207, International Monetary Fund.
  12. Michel Juillard & Ondrej Kamenik & Michael Kumhof & Douglas Laxton, 2006. "Measures of Potential Output from an Estimated DSGE Model of the United States," Working Papers 2006/11, Czech National Bank, Research Department.
  13. Douglas Laxton & Andrew Berg & Philippe D Karam, 2006. "A Practical Model-Based Approach to Monetary Policy Analysis: Overview," IMF Working Papers 06/80, International Monetary Fund.
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Citations

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Cited by:
  1. Wieland, Volker & Cwik, Tobias & Müller, Gernot J. & Schmidt, Sebastian & Wolters, Maik Hendrik, 2012. "A new comparative approach to macroeconomic modeling and policy analysis," IMFS Working Paper Series 49, Institute for Monetary and Financial Stability (IMFS), Goethe University Frankfurt.
  2. Natan P. Epstein & Corrado Macchiarelli, 2010. "Estimating Poland's Potential Output," IMF Working Papers 10/15, International Monetary Fund.
  3. Schmidt, Sebastian & Wieland, Volker, 2013. "The New Keynesian Approach to Dynamic General Equilibrium Modeling: Models, Methods and Macroeconomic Policy Evaluation," Handbook of Computable General Equilibrium Modeling, Elsevier.
  4. John B. Taylor & Volker Wieland, 2012. "Surprising Comparative Properties of Monetary Models: Results from a New Model Database," The Review of Economics and Statistics, MIT Press, vol. 94(3), pages 800-816, August.
  5. Michal Andrle & Roberto Garcia-Saltos & Giang Ho, 2013. "The Role of Domestic and External Shocks in Poland: Results from an Agnostic Estimation Procedure," IMF Working Papers 13/220, International Monetary Fund.
  6. Kevin Clinton & Marianne Johnson & Huigang Chen & Ondra Kamenik & Douglas Laxton, 2009. "Constructing Forecast Confidence Bands During the Financial Crisis," IMF Working Papers 09/214, International Monetary Fund.
  7. Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2012. "The Halle Economic Projection Model," Economic Modelling, Elsevier, vol. 29(4), pages 1461-1472.
  8. Michal Andrle, 2013. "What Is in Your Output Gap? Unified Framework & Decomposition into Observables," IMF Working Papers 13/105, International Monetary Fund.
  9. Jared Laxton & Igor Ermolaev & Charles Freedman & Ondra Kamenik & Michel Juillard & Douglas Laxton & Ioan Carabenciov & Dmitry Korshunov, 2008. "A Small Quarterly Multi-Country Projection Model," IMF Working Papers 08/279, International Monetary Fund.
  10. Salas, Jorge, 2011. "Estimación bayesiana de unmodelo de pequeña economía abierta con dolarización parcial," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 41-62.
  11. International Monetary Fund, 2009. "Adding Latin America to the Global Projection Model," IMF Working Papers 09/85, International Monetary Fund.

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