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A Small Quarterly Multi-Country Projection Model, Jared Laxton, Igor Ermolaev, Charles Freedman, Ondrej Kamenik, Michel Juillard, Douglas Laxton, Ioan Carabenciov, Dmitry Korshunov

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
Table Of Contents
Contents; I. Introduction; II. Benchmark Model; A. Background; B. The Specification of The Model; B.1. Observable variables and data definitions; B.2. Stochastic processes and model definitions; B.3. Behavioral equations; B.4. Cross correlations of disturbances; III. Extending the Model to Include Financial-Real Linkages; A. Background; B. Model Specification Incorporating the US Bank Lending Tightening Variable; IV. Confronting The Model with The Data; A. Bayesian Estimation; B. Results; B.1. Estimates of coefficients
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (61 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781451989267

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