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A Small Quarterly Multi-Country Projection Model

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Author Info

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

Abstract

This 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 Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/279.

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Length: 59
Date of creation: 01 Dec 2008
Date of revision:
Handle: RePEc:imf:imfwpa:08/279

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Related research

Keywords: Monetary policy; Economic forecasting; Forecasting models; inflation; equation; forecasting; correlations; equations; real interest rate; correlation; standard deviation; aggregate demand; survey; rate of inflation; nominal interest rate; real interest rates; time series; standard deviations; price level; inflationary pressures; stochastic processes; real exchange rates; inflation equation; confidence intervals; rate of change; inflation rates; calibration; high inflation; rates of inflation; monetary economics; inflation target; samples; rational expectations; effective exchange rates; rise in inflation; simultaneous equation; real output; integral; relative prices; projection period; nominal interest rates; increase in inflation; random walk; inflation rate; measure of inflation; inflation process; increase in interest rates;

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References

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  1. Orphanides, Athanasios, 2003. "Historical monetary policy analysis and the Taylor rule," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(5), pages 983-1022, July.
  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. Igor Ermolaev & Michel Juillard & Ioan Carabenciov & Charles Freedman & Douglas Laxton & Ondra Kamenik & Dmitry Korshunov, 2008. "A Small Quarterly Projection Model of the US Economy," IMF Working Papers 08/278, International Monetary Fund.
  4. 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.
  5. Tamim Bayoumi & Andrew Swiston, 2007. "Foreign Entanglements," IMF Working Papers 07/182, International Monetary Fund.
  6. 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.
  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, Federal Reserve Bank of New York, issue Jul, pages 1-16.
  8. 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.
  9. Tamim Bayoumi & Ola Melander, 2008. "Credit Matters," IMF Working Papers 08/169, International Monetary Fund.
  10. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers, C.V. Starr Center for Applied Economics, New York University 95-15, C.V. Starr Center for Applied Economics, New York University.
  11. Michel Juillard & Michael Kumhof & Ondra Kamenik, 2005. "Optimal price setting and inflation inertia in a rational expectations model," Proceedings, Board of Governors of the Federal Reserve System (U.S.), Board of Governors of the Federal Reserve System (U.S.).
  12. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  13. Cara S. Lown & Donald P. Morgan, 2002. "Credit effects in the monetary mechanism," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue May, pages 217-235.
  14. Douglas Laxton & Andrew Berg & Philippe D Karam, 2006. "Practical Model-Based Monetary Policy Analysis," IMF Working Papers 06/81, International Monetary Fund.
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Citations

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Cited by:
  1. Mardi Dungey & Denise R Osborn, 2009. "Modelling International Linkages for Large Open Economies: US and Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series, Economics, The Univeristy of Manchester 121, Economics, The Univeristy of Manchester.
  2. Pär Österholm, 2010. "Improving Unemployment Rate Forecasts Using Survey Data," Finnish Economic Papers, Finnish Economic Association, Finnish Economic Association, vol. 23(1), pages 16-26, Spring.
  3. Liu, Li-gang & Zhang, Wenlang, 2010. "A New Keynesian model for analysing monetary policy in Mainland China," Journal of Asian Economics, Elsevier, Elsevier, vol. 21(6), pages 540-551, December.
  4. Mehmet Balcilar & Rangan Gupta & Kevin Kotze, 2013. "Forecasting South African Macroeconomic Data with a Nonlinear DSGE Model," Working Papers 201313, University of Pretoria, Department of Economics.
  5. Hanna Armelius & Carl-Johan Belfrage & Hanna Stenbacka, 2014. "The Mystery of the Missing Growth in World Trade after the Global Financial Crisis," EcoMod2014 6933, EcoMod.
  6. Giesen, Sebastian & Holtemöller, Oliver & Scharff, Juliane & Scheufele, Rolf, 2012. "The Halle Economic Projection Model," Economic Modelling, Elsevier, Elsevier, vol. 29(4), pages 1461-1472.
  7. Michel Juillard & Charles Freedman & Dmitry Korshunov & Douglas Laxton & Ondra Kamenik & Ioan Carabenciov & Igor Ermolaev & Jared Laxton, 2008. "A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices," IMF Working Papers 08/280, International Monetary Fund.

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