Constructing Forecast Confidence Bands During the Financial Crisis
We 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.
|Date of creation:||01 Sep 2009|
|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
|Order Information:||Web: http://www.imf.org/external/pubs/pubs/ord_info.htm|
References listed on IDEAS
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.:
- 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.
- 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 J Swiston, 2007. "Foreign Entanglements; Estimating the Source and Size of Spillovers Across Industrial Countries," IMF Working Papers 07/182, International Monetary Fund.
- Christina D. Romer, 1990. "The Great Crash and the Onset of the Great Depression," The Quarterly Journal of Economics, Oxford University Press, vol. 105(3), pages 597-624.
- Scott Roger & Mark R. Stone, 2005. "On Target? the International Experience with Achieving Inflation Targets," IMF Working Papers 05/163, International Monetary Fund.
- Igor Ermolaev & Michel Juillard & Ioan Carabenciov & Charles Freedman & Douglas Laxton & Ondrej Kamenik & Dmitry Korshunov, 2008. "A Small Quarterly Projection Model of the US Economy," IMF Working Papers 08/278, 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.
- 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.
- 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. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:imf:imfwpa:09/214. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jim Beardow)or (Hassan Zaidi)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.