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A Small Quarterly Multi-Country Projection Model

Author

Listed:
  • Mr. Ondrej Kamenik
  • Ioan Carabenciov
  • Igor Ermolaev
  • Charles Freedman
  • Dmitry Korshunov
  • Jared Laxton
  • Mr. Douglas Laxton
  • Michel Juillard

Abstract

This is the second 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 for studying both own-country and cross-country linkages. In this paper, we estimate a 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. We show how the model can be used to construct efficient baseline forecasts that incorporate judgment imposed on the near-term outlook.

Suggested Citation

  • Mr. Ondrej Kamenik & Ioan Carabenciov & Igor Ermolaev & Charles Freedman & Dmitry Korshunov & Jared Laxton & Mr. Douglas Laxton & Michel Juillard, 2008. "A Small Quarterly Multi-Country Projection Model," IMF Working Papers 2008/279, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2008/279
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    References listed on IDEAS

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    1. Juillard, Michael & Kamenik, Ondra & Kumhof, Michael & Laxton, Douglas, 2008. "Optimal price setting and inflation inertia in a rational expectations model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(8), pages 2584-2621, August.
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    9. Mr. Philippe D Karam & Mr. Douglas Laxton & Mr. Andrew Berg, 2006. "Practical Model-Based Monetary Policy Analysis: A How-To Guide," IMF Working Papers 2006/081, International Monetary Fund.
    10. Mr. Ondrej Kamenik & Ioan Carabenciov & Igor Ermolaev & Charles Freedman & Dmitry Korshunov & Mr. Douglas Laxton & Michel Juillard, 2008. "A Small Quarterly Projection Model of the US Economy," IMF Working Papers 2008/278, International Monetary Fund.
    11. Cara S. Lown & Donald P. Morgan, 2002. "Credit effects in the monetary mechanism," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 217-235.
    12. Mr. Philippe D Karam & Mr. Dennis P Botman & Mr. Douglas Laxton & David Rose, 2007. "DSGE Modeling at the Fund: Applications and Further Developments," IMF Working Papers 2007/200, International Monetary Fund.
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    14. Mr. Philippe D Karam & Mr. Natan P. Epstein & Eyal Argov & Mr. Douglas Laxton & David Rose, 2007. "Endogenous Monetary Policy Credibility in a Small Macro Model of Israel," IMF Working Papers 2007/207, International Monetary Fund.
    15. Mr. Philippe D Karam & Mr. Douglas Laxton & Mr. Andrew Berg, 2006. "A Practical Model-Based Approach to Monetary Policy Analysis—Overview," IMF Working Papers 2006/080, International Monetary Fund.
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