Constructing Forecast Confidence Bands During the Financial Crisis
AbstractWe derive forecast confidence bands using a Global Projection Model covering the United States, the euro area, and Japan. In the model, the price of oil is a stochastic process, interest rates have a zero floor, and bank lending tightening affects the United States. To calculate confidence intervals that respect the zero interest rate floor, we employ Latin hypercube sampling. Derived confidence bands suggest non-negligible risks that U.S. interest rates might stay near zero for an extended period, and that severe credit conditions might persist.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 09/214.
Date of creation: 01 Sep 2009
Date of revision:
Contact details of provider:
Postal: International Monetary Fund, Washington, DC USA
Phone: (202) 623-7000
Fax: (202) 623-4661
Web page: http://www.imf.org/external/pubind.htm
More information through EDIRC
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-31 (All new papers)
- NEP-CBA-2009-10-31 (Central Banking)
- NEP-FOR-2009-10-31 (Forecasting)
- NEP-MAC-2009-10-31 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Scott Roger & Mark R. Stone, 2005. "On Target? The International Experience with Achieving Inflation Targets," IMF Working Papers 05/163, International Monetary Fund.
- Tamim Bayoumi & Andrew Swiston, 2009.
"Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries,"
IMF Staff Papers,
Palgrave Macmillan, vol. 56(2), pages 353-383, June.
- Tamim Bayoumi & Andrew Swiston, 2007. "Foreign Entanglements: Estimating the Source and Size of Spillovers Across Industrial Countries," IMF Working Papers 07/182, International Monetary Fund.
- Greasley, David & Madsen, Jakob B. & Oxley, Les, 2001. "Income Uncertainty and Consumer Spending during the Great Depression," Explorations in Economic History, Elsevier, vol. 38(2), pages 225-251, April.
- Christina D. Romer, 1988.
"The Great Crash and the Onset of the Great Depression,"
NBER Working Papers
2639, National Bureau of Economic Research, Inc.
- Romer, Christina D, 1990. "The Great Crash and the Onset of the Great Depression," The Quarterly Journal of Economics, MIT Press, vol. 105(3), pages 597-624, August.
- 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.
- 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.
- 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.
- Brigitte Desroches & Marc-André Gosselin, 2004. "Evaluating Threshold Effects in Consumer Sentiment," Southern Economic Journal, Southern Economic Association, vol. 70(4), pages 942-952, April.
- Österholm, Pär, 2012. "The limited usefulness of macroeconomic Bayesian VARs when estimating the probability of a US recession," Journal of Macroeconomics, Elsevier, vol. 34(1), pages 76-86.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow) or (Hassan Zaidi).
If references are entirely missing, you can add them using this form.