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A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices

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

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Abstract

This is the third 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 that incorporates oil prices and allows us to trace out the effects of shocks to oil prices. The model is estimated with Bayesian techniques. 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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Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/280.

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Length: 74 pages
Date of creation: 10 Dec 2008
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Handle: RePEc:imf:imfwpa:08/280

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Related research
Keywords: Economic forecasting ; United States ; Euro Area ; Japan ; Oil prices ; Monetary policy ; External shocks ; Forecasting models ;

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  1. Ola Melander & Tamim Bayoumi, 2008. "Credit Matters: Empirical Evidence on U.S. Macro-Financial Linkages," IMF Working Papers 08/169, International Monetary Fund. [Downloadable!]
  2. David Laidler, 2003. "The Price Level, Relative Prices, and Economic Stability: Aspects of the Inter-War Debate," UWO Department of Economics Working Papers 200310, University of Western Ontario, Department of Economics. [Downloadable!]
    Other versions:
  3. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December. [Downloadable!] (restricted)
  4. 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. [Downloadable!] (restricted)
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  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.). [Downloadable!]
    Other versions:
  6. Bernanke, Ben & Gertler, Mark, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," Working Papers 95-15, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
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  7. 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. [Downloadable!]
  8. Philippe D Karam & Natan P. Epstein & Eyal Argov & Douglas Laxton & David Rose, 2007. "Endogenous Monetary Policy Credibility in a Small Macro Model of Israel," IMF Working Papers 07/207, International Monetary Fund. [Downloadable!]
  9. Ondra Kamenik & Ioan Carabenciov & Igor Ermolaev & Charles Freedman & Dmitry Korshunov & Jared Laxton & Douglas Laxton & Michel Juillard, 2008. "A Small Quarterly Multi-Country Projection Model," IMF Working Papers 08/279, International Monetary Fund. [Downloadable!]
  10. Philippe D Karam & Douglas Laxton & Andrew Berg, 2006. "A Practical Model-Based Approach to Monetary Policy Analysis--Overview," IMF Working Papers 06/80, International Monetary Fund. [Downloadable!]
  11. 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. [Downloadable!]
  12. Andrew Swiston & Tamim Bayoumi, 2007. "Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries," IMF Working Papers 07/182, International Monetary Fund. [Downloadable!]
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  13. Philippe D Karam & Douglas Laxton & Andrew Berg, 2006. "Practical Model-Based Monetary Policy Analysis--A How-To Guide," IMF Working Papers 06/81, International Monetary Fund. [Downloadable!]
  14. 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. [Downloadable!]
  15. Philippe D Karam & Dennis P. J. Botman & Douglas Laxton & David Rose, 2007. "DSGE Modeling at the Fund: Applications and Further Developments," IMF Working Papers 07/200, International Monetary Fund. [Downloadable!]
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