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A Small Quarterly Projection Model of the US Economy

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

This is the first 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 for studying both own-country and cross-country linkages. In this paper, we estimate a small quarterly projection model of the U.S. economy. 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. After developing a benchmark model without financial-real linkages, we introduce such linkages into the model and compare the results with and without linkages.

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Paper provided by International Monetary Fund in its series IMF Working Papers with number 08/278.

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Length: 54
Date of creation: 01 Dec 2008
Date of revision:
Handle: RePEc:imf:imfwpa:08/278
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  1. 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.
  2. 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.
  3. 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.
  4. 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.).
  5. Douglas Laxton & Andrew Berg & Philippe D Karam, 2006. "Practical Model-Based Monetary Policy Analysis; A How-To Guide," IMF Working Papers 06/81, 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. 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.
  8. Tamim Bayoumi & Ola Melander, 2008. "Credit Matters; Empirical Evidenceon U.S. Macro-Financial Linkages," IMF Working Papers 08/169, International Monetary Fund.
  9. Orphanides, Athanasios, 2003. "Historical monetary policy analysis and the Taylor rule," Journal of Monetary Economics, Elsevier, vol. 50(5), pages 983-1022, July.
  10. 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.
  11. Dennis P. J. Botman & David Rose & Douglas Laxton & Philippe D Karam, 2007. "DSGE Modeling At the Fund; Applications and Further Developments," IMF Working Papers 07/200, International Monetary Fund.
  12. 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.
  13. 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.
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