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Adding Latin America to the Global Projection Model

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  • International Monetary Fund

Abstract

This is the fourth 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 to which economists have access for studying both own-country and cross-country linkages. In this paper, we add Latin American economies to a previously estimated 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.

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Bibliographic Info

Paper provided by International Monetary Fund in its series IMF Working Papers with number 09/85.

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Length: 48
Date of creation: 01 Apr 2009
Date of revision:
Handle: RePEc:imf:imfwpa:09/85

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Postal: International Monetary Fund, Washington, DC USA
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: Economic models; Latin America; Inflation targeting; inflation; equation; monetary policy; forecasting; real interest rate; correlations; equations; standard deviation; rate of inflation; correlation; survey; inflation equation; standard deviations; aggregate demand; inflation target; nominal interest rate; inflationary pressures; time series; stochastic processes; inflation rate; real exchange rates; real interest rates; calibration; inflation rates; causation; rate of change; statistics; monetary economics; samples; rates of inflation; price level; relative prices; rational expectations; simultaneous equation; terms of trade shocks; increase in inflation; integral; covariance; inflation targeting regime; terms of trade; random walk; increase in interest rates; inflation process; sample size;

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References

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  1. 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.
  2. Jeffrey Frankel & David Parsley & Shang-Jin Wei, 2012. "Slow Pass-through Around the World: A New Import for Developing Countries?," Open Economies Review, Springer, vol. 23(2), pages 213-251, April.
  3. Tamim Bayoumi & Ola Melander, 2008. "Credit Matters," IMF Working Papers 08/169, International Monetary Fund.
  4. 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.
  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. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
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Citations

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Cited by:
  1. 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.
  2. International Monetary Fund, 2011. "Estimating a Small Open-Economy Model for Egypt," IMF Working Papers 11/108, International Monetary Fund.
  3. Samano, Daniel, 2011. "In the quest of macroprudential policy tools," MPRA Paper 30738, University Library of Munich, Germany.
  4. Leandro Medina & Nicolas E. Magud, 2011. "The Chilean Output Gap," IMF Working Papers 11/2, International Monetary Fund.
  5. International Monetary Fund, 2010. "Weathering the Global Storm," IMF Working Papers 10/292, International Monetary Fund.
  6. Salas, Jorge, 2009. "¿Qué explica las fluctuaciones de la inflación en el Perú en el periodo 2002-2008? Evidencia de un análisis VAR estructural," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 16, pages 9-36.
  7. Ioan Carabenciov & Charles Freedman & Roberto Garcia-Saltos & Douglas Laxton & Ondra Kamenik & Petar Manchev, 2013. "Gpm6," IMF Working Papers 13/87, International Monetary Fund.
  8. Ruperto MAJUCA, 2013. "Managing Economic Shocks and Macroeconomic Coordination in an Integrated Region: ASEAN Beyond 2015," Working Papers DP-2013-18, Economic Research Institute for ASEAN and East Asia (ERIA).
  9. Salas, Jorge, 2010. "Bayesian Estimation of a Simple Macroeconomic Model for a Small Open and Partially Dollarized Economy," Working Papers 2010-007, Banco Central de Reserva del Perú.
  10. Stephen Snudden, 2013. "Cyclical Fiscal Rules for Oil-Exporting Countries," IMF Working Papers 13/229, International Monetary Fund.

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