A Small Quarterly Multi-Country Projection Model

By Jared Laxton, Igor Ermolaev, Charles Freedman, Ondrej Kamenik, Michel Juillard, Douglas Laxton, Ioan Carabenciov, Dmitry Korshunov

December 1, 2008

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Jared Laxton, Igor Ermolaev, Charles Freedman, Ondrej Kamenik, Michel Juillard, Douglas Laxton, Ioan Carabenciov, and Dmitry Korshunov. A Small Quarterly Multi-Country Projection Model, (USA: International Monetary Fund, 2008) accessed November 12, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Inflation, Output gap, Potential output, Real exchange rates, Real interest rates

Keywords: Exchange rate, WP

Publication Details

Pages:

59
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2008/279
Stock No:

WPIEA2008279
ISBN:

9781451871371
ISSN:

1018-5941

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