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A Small Quarterly Multi-Country Projection Model

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

No 08/279, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: Euro Area; Economic forecasting; Forecasting; Forecasting models; Monetary policy; Japan; United States; Macroeconomic Modeling, Bayesian Estimation, inflation, equation, correlations, equations, Model Construction and Estimation, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-for and nep-mac
Date: 2008-12-01
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