G3MOD: A Multi-Country Global Forecasting Model
Iaroslav Miller,
Daniel Baksa,
Philippe Karam and
Tugrul Vehbi
No 2024/254, IMF Working Papers from International Monetary Fund
Abstract:
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.
Keywords: Quarterly Projection Model; Forecasting and Policy Analysis; Monetary Policy; Macroeconomic Modeling; forecasting accuracy; macroeconomic forecasting; risk evaluation; demand shock; Inflation; Output gap; Commodity prices; Nominal effective exchange rate; Real exchange rates; Global (search for similar items in EconPapers)
Pages: 45
Date: 2024-12-13
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Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2024/254
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