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A Small Global Forecasting Model

Author

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  • David Rae
  • David Turner

Abstract

This paper describes the OECD’s new small global forecasting model for the three main OECD economic regions: the United States, the euro area, and Japan. The key variables – which include output, inflation, the trade balance, and import prices – are driven by monetary and fiscal policy, exchange rates, and world demand. The projections from the model are used as a starting point to help animate the early stages of the OECD’s forecasting round. The model is essentially a demand-side model with a particular focus on the impact of global linkages and the transmission of influences between regions ... Ce document décrit le nouveau petit modèle global de prévision pour les trois principales régions de l'OCDE : les États-Unis, la zone euro et le Japon. Les variables-clés, qui incluent la production, l'inflation, la balance commerciale et les prix d'importation, sont déterminées par la politique fiscale et monétaire, les taux de change et la demande mondiale. Les prévisions du modèle sont utilisées comme un point de depart pour stimuler la dicusssion lors des premières étapes de l'exercice de prévision de l'OCDE. Ce modèle est essentiellement un modèle de demande qui se concentre particulièrement sur l'impact des liens globaux et sur la transmission des influences entre regions ...

Suggested Citation

  • David Rae & David Turner, 2001. "A Small Global Forecasting Model," OECD Economics Department Working Papers 286, OECD Publishing.
  • Handle: RePEc:oec:ecoaaa:286-en
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    File URL: http://dx.doi.org/10.1787/628640803664
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    References listed on IDEAS

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    1. Dave Turner & Elena Seghezza, 1999. "Testing for a Common OECD Phillips Curve," OECD Economics Department Working Papers 219, OECD Publishing.
    2. Gunter Coenen & Volker Wieland, 2000. "A Simple Estimated Euro Area Model With Rational Expectations And Nominal Rigidities," Computing in Economics and Finance 2000 187, Society for Computational Economics.
    3. Coenen, Gunter & Wieland, Volker, 2005. "A small estimated euro area model with rational expectations and nominal rigidities," European Economic Review, Elsevier, vol. 49(5), pages 1081-1104, July.
    4. David Hargreaves, 1999. "SDS-FPS: a small demand-side version of the Forecasting and Policy System core model," Reserve Bank of New Zealand Discussion Paper Series G99/10, Reserve Bank of New Zealand.
    5. Keiko Murata & Dave Turner & David Rae & Laurence Le Fouler, 2000. "Modelling Manufacturing Export Volumes Equations: A System Estimation Approach," OECD Economics Department Working Papers 235, OECD Publishing.
    6. Joseph Stiglitz, 1997. "Reflections on the Natural Rate Hypothesis," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 3-10, Winter.
    7. Frank Smets, 2002. "Output gap uncertainty: Does it matter for the Taylor rule?," Empirical Economics, Springer, vol. 27(1), pages 113-129.
    8. Duguay, Pierre, 1994. "Empirical evidence on the strength of the monetary transmission mechanism in Canada: An aggregate approach," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 39-61, February.
    9. Ray C. Fair, 2000. "Estimated, Calibrated, and Optimal Interest Rate Rules," Cowles Foundation Discussion Papers 1258, Cowles Foundation for Research in Economics, Yale University.
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    Citations

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    Cited by:

    1. Pesaran M.H. & Schuermann T. & Weiner S.M., 2004. "Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 129-162, April.
    2. Gern, Klaus-Jürgen & Kamps, Christophe & Meier, Carsten-Patrick & Scheide, Joachim, 2004. "Moderate upswing in Euroland," Kiel Discussion Papers 410, Kiel Institute for the World Economy (IfW).
    3. Dovern, Jonas & Meier, Carsten-Patrick, 2006. "Macroeconomic aspects of structural labor market reforms in Germany," Kiel Working Papers 1295, Kiel Institute for the World Economy (IfW).

    More about this item

    Keywords

    forecasting; international; macroeconomic model; OECD;

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications

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