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A Small Quarterly Projection Model of the US Economy

Igor Ermolaev, Michel Juillard (), Ioan Carabenciov, Charles Freedman (), Douglas Laxton (), Ondra Kamenik and Dmitry Korshunov

No 08/278, IMF Working Papers from International Monetary Fund

Abstract: This is the first of a series of papers that are being written as part of a 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 U.S. economy. 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. After developing a benchmark model without financial-real linkages, we introduce such linkages into the model and compare the results with and without linkages.

Keywords: Economic forecasting; Forecasting models; Monetary policy; United States; Macroeconomic Modeling, Bayesian Estimation, inflation, equation, correlation, forecasting, standard deviation, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-for
Date: 2008-12-01
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