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Gpm6

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Author Info

  • Ioan Carabenciov
  • Charles Freedman
  • Roberto Garcia-Saltos
  • Douglas Laxton
  • Ondra Kamenik
  • Petar Manchev

Abstract

This is the sixth of a series of papers that are being written as part of a 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 three more regions and make a number of other changes 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 13/87.

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Length: 79
Date of creation: 10 Apr 2013
Date of revision:
Handle: RePEc:imf:imfwpa:13/87

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Related research

Keywords: Forecasting models; Real effective exchange rates; Interest rates; External shocks; Unemployment; Demand; Spillovers; World Economic Outlook; inflation; real exchange rate; real interest rate; aggregate demand; purchasing power parity; rate of inflation; inflation target; nominal interest rate; real interest rates; nominal exchange rate; real exchange rates; exchange rate movements; purchasing power parity terms; inflation rates; inflation equation; exchange rate appreciation; real exchange rate appreciation; inflationary pressures; real exchange rate movements; price level; real value; bilateral real exchange rate; exchange rate volatility; exchange rate dynamics; rates of inflation; monetary economics; inflation process; measure of inflation; real exchange rate depreciation; ppp; real output; exchange rate channel; multilateral real exchange rate; inflation response; increase in inflation; state real exchange rate; real exchange rate volatility; increase in interest rates;

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References

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  1. Freedman, Charles & Kumhof, Michael & Laxton, Douglas & Muir, Dirk & Mursula, Susanna, 2010. "Global effects of fiscal stimulus during the crisis," Journal of Monetary Economics, Elsevier, vol. 57(5), pages 506-526, July.
  2. Robert Koopman & William Powers & Zhi Wang & Shang-Jin Wei, 2011. "Give Credit where Credit is Due: Tracing Value Added in Global Production Chains," Working Papers 312011, Hong Kong Institute for Monetary Research.
  3. Obstfeld, Maurice, 2001. "International Macroeconomics: Beyond the Mundell-Fleming Model," Center for International and Development Economics Research, Working Paper Series qt6796n8s0, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  4. Roberto Garcia-Saltos & Douglas Laxton & Michal Andrle & Haris Munandar & Charles Freedman & Danny Hermawan, 2009. "Adding Indonesia to the Global Projection Model," IMF Working Papers 09/253, International Monetary Fund.
  5. Clinton, Kevin & Garcia-Saltos, Roberto & Johnson, Marianne & Kamenik, Ondrej & Laxton, Douglas, 2010. "International deflation risks under alternative macroeconomic policies," Journal of the Japanese and International Economies, Elsevier, vol. 24(2), pages 140-177, June.
  6. 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.
  7. Orphanides, Athanasios, 2003. "Historical monetary policy analysis and the Taylor rule," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 983-1022, July.
  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. 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.
  10. Tamim Bayoumi & Ola Melander, 2008. "Credit Matters," IMF Working Papers 08/169, International Monetary Fund.
  11. David Laidler, 2003. "The price level, relative prices and economic stability: aspects of the interwar debate," BIS Working Papers 136, Bank for International Settlements.
  12. Smets, Frank & Wouters, Raf, 2002. "An estimated stochastic dynamic general equilibrium model of the euro area," Working Paper Series 0171, European Central Bank.
  13. International Monetary Fund, 2009. "Adding Latin America to the Global Projection Model," IMF Working Papers 09/85, International Monetary Fund.
  14. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  15. 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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