UID:
edocfu_9958061616102883
Format:
1 online resource (56 p.)
ISBN:
1-4623-6385-7
,
1-4527-3999-4
,
1-282-55812-9
,
1-4519-8724-2
,
9786613822277
Series Statement:
IMF Working Papers
Content:
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.
Note:
Description based upon print version of record.
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Contents; I. Introduction; A. Objectives; B. The US Economy Over the Sample Period; II. Benchmark Model Without Financial-Real Linkages; A. Background; B. The Specification of The Model; B1. Observable variables and data definitiions; B2. Stochastic processs and model definitions; B3. Behavioral equations; C. Bayesian Estimation; D. Confronting the Balanced Model with The Data; III. Extended Model with Financial-Real Linkages; A. Background; B. Model Specifications; B1. Financial- real linkages; B2. Cross correlations of disturbances; C. Results; D. Some Extensions
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D1. Comparison of results from long sample and short sample for Model with financial variableD2. Core CPI; IV. Concluding Remarks; References; Appendix; Data Definitions; Figures; 1. US Historical Data; Tables; 1. Results from Posterior Maximization (parameters) Base Code Model; 2. Results from Posterior Maximization (standard deviation of structural Shocks) Base Case Model; 2. Unemployment and Model-Consistent NAIRU; 3. GDP and Model-Consistent Potential GDP; 3. Base Case Root Mean Squared Errors; 4.; 4. Results from Posterior Maximization (parameters) BLT Model
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5. Results from Posterior Maximization (standard deviation of structural Shocks) BLT Model6. Results from posterior parameters (correlation of structural shocks) BLT Model; 5. IRF Supply Shock; 6. IRF Demand Shock; 7. IRF Policy Rate Shock; 8. IRF BLT Shock; 9. IRF Equilibrium GDP Growth Shock; 10. IRF Equilibrium GDP Level Shock; 7. BLT Root Mean Squared Errors; 8. Variance Decompositions; 11. Y-O-Y GDP Growth Rate Dynamic Forecast (Base Case Model); 12. Y-O-Y GDP Growth Rate Dynamic Forecast (BLT Model); 13. Q-O-Q GDP Growth Rate Dynamic Forecast (Base Case Model)
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14. Q_O_Q GDP Growth Rate Dynamic Forecast (BLT Model)15. Inflation Dynamic Forecast (Base Case Model); 16. Inflation Dynamic Forecast (BLT Model); 17. Interest Rate Dynamic Forecast (Base Case Model); 18. Interest Rate Dynamic Forecast (BLT Model); 19. Unemployment Rate Dynamic Forecast (Base Case Model); 20. Unemployment Rate Dynamic Forecast (BLT Model); 21. Output GAP Dynamic Forecast (Base Case Model); 22. Output GAP Dynamic Forecast (BLT Model)
,
English
Additional Edition:
ISBN 1-4518-7136-8
Language:
English
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