IMF Working Papers

G3MOD: A Multi-Country Global Forecasting Model

By Iaroslav Miller, Daniel Baksa, Philippe D Karam, Tugrul Vehbi

December 13, 2024

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Iaroslav Miller, Daniel Baksa, Philippe D Karam, and Tugrul Vehbi. "G3MOD: A Multi-Country Global Forecasting Model", IMF Working Papers 2024, 254 (2024), accessed December 16, 2024, https://doi.org/10.5089/9798400295966.001

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Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

This paper develops G3MOD, a semi-structural gap-trend model designed for frequent external sector forecasts crucial in macroeconomic forecasting. Focused on the G3 economies (US, Euro Area, and China) and the rest of the world, G3MOD leverages insights from central banks’ policy models, to consistently translate external forecasts such as the IMF’s World Economic Outlook into a Quarterly Projection Model format. The model offers flexible simulations and policy assessments and is structured around trade and financial linkages. G3MOD supports model-based forecasts and risk evaluations, helping central banks integrate external forecasts and scenarios into their own forecasts, thus generating timely macroeconomic projections. Its calibration ensures alignment with historical data, economic coherence, and robust predictive capability, and it has been validated against major global projection models. The complete set of codes, calibrated parameter values, and supporting programs are posted with this working paper.

Subject: Economic forecasting, Foreign exchange, Inflation, Nominal effective exchange rate, Oil prices, Output gap, Prices, Production, Real effective exchange rates, Real exchange rates

Keywords: Commodity prices, Forecasting and Policy Analysis, Global, Inflation, Macroeconomic Modeling, Monetary Policy, Nominal effective exchange rate, Oil prices, Output gap, Quarterly Projection Model, Real effective exchange rates, Real exchange rates

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