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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, Ondrej Kamenik, Ioan Carabenciov, Igor Ermolaev, Jared Laxton

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
Table Of Contents
Contents; I. Introduction; II. Benchmark Model; A. Background; B. The Specification of the Model; B.1. Observable variable and data definitios; B.2. Stochastic processes and model definitions; B.3 Behavioral equations; B.4. Cross corelations of disturbances; III. Extending the Model to Include Financial-Real Linkages; A. Background; B. Model Specification Incorporating the US Bank Lending Tightening Variable; IV. Extending the Model to Include Oil Prices; A. Background; B. Model Specification Incorporating Oil Price; V. Confronting The Model with The Data; A. Bayesian Estimation; B. Results
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (76 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781462388073

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