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A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices

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

No 08/280, IMF Working Papers from International Monetary Fund

Abstract: This is the third 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 that incorporates oil prices and allows us to trace out the effects of shocks to oil prices. The model is estimated with Bayesian techniques. We show how the model can be used to construct efficient baseline forecasts that incorporate judgment imposed on the near-term outlook.

Keywords: Economic forecasting; Euro Area; External shocks; Oil prices; Forecasting models; Forecasting; Monetary policy; Japan; United States; Macroeconomic Modeling, Bayesian Estimation, inflation, equation, rate of inflation, equations, (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ene, nep-for, nep-mac and nep-opm
Date: 2008-12-01
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Handle: RePEc:imf:imfwpa:08/280