A Small Quarterly Multi-Country Projection Model
AbstractThis is the second of a series of papers that are being written as part of a larger 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 US, Euro Area, and Japanese economies. 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. We show how the model can be used to construct efficient baseline forecasts that incorporate judgment imposed on the near-term outlook.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 08/279.
Date of creation: 01 Dec 2008
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-01-03 (All new papers)
- NEP-CBA-2009-01-03 (Central Banking)
- NEP-FOR-2009-01-03 (Forecasting)
- NEP-MAC-2009-01-03 (Macroeconomics)
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