A Small Quarterly Multi-Country Projection Model
| Autor: | Charles Freedman, Michel Juillard, Igor Ermolaev, Ioan Carabenciov, Ondra Kamenik, Jared Laxton, Douglas Laxton, Dmitry Korshunov |
|---|---|
| Rok vydání: | 2008 |
| Předmět: |
Inflation
Bayes estimator Series (mathematics) Computer science Euro Area Economic forecasting Forecasting Forecasting models Monetary policy Japan United States Macroeconomic Modeling Bayesian Estimation inflation equation correlations equations Model Construction and Estimation media_common.quotation_subject Bayesian probability Exchange rate Econometrics General Earth and Planetary Sciences Baseline (configuration management) General Environmental Science media_common |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| Popis: | 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. |
| Databáze: | OpenAIRE |
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