Constructing Forecast Confidence Bands During the Financial Crisis
IMF Working Papers, September 1, 2009
Source details
- Canonical URL
- Constructing Forecast Confidence Bands During the Financial Crisis
Other formats
Bibliographic details
- Authors: Kevin Clinton, Marianne Johnson, Huigang Chen, Ondrej Kamenik, Douglas Laxton
- Published: September 1, 2009
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451873610.001
Study overview and model setup
- Authors: Kevin Clinton, Marianne Johnson, Huigang Chen, Ondrej Kamenik, Douglas Laxton
- Date: September 1, 2009
- Coverage: Global Projection Model covering the United States, the euro area, and Japan
- Key model features:
- The price of oil is modeled as a stochastic process.
- Interest rates have a zero floor.
- Bank lending tightening affects the United States.
- Methodological note: To calculate confidence intervals that respect the zero interest rate floor, Latin hypercube sampling is employed.
Main findings and implications
- Derived confidence bands indicate non-negligible risks that U.S. interest rates might stay near zero for an extended period.
- Derived confidence bands indicate non-negligible risks that severe credit conditions might persist.
- Subject areas addressed: Inflation, Oil prices, Output gap, Potential output, Real exchange rates
- Keywords: confidence interval, interest rate, WP