Adding Latin America to the Global Projection Model.
Title:
Adding Latin America to the Global Projection Model.
Author:
Fund, International Monetary.
ISBN:
9781451916676
Personal Author:
Physical Description:
1 online resource (50 pages)
Series:
IMF Working Papers
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 output gap -- B.2 Estimates of coefficients -- B.3 Estimates of standard deviation of structural shocks and cross correlations -- B.4 RMSEs -- B.5 Impulse response functions -- B.6 Historical variance decomposition -- V. Concluding Remarks -- References -- Appendix Tables -- 1. GPM Data Definitions -- 2. Trade Matrix (Average 2001-2007, in percent) -- Text Tables -- 1. Results from Posterior Maximization -- 2. Results from Posterior Parameters (Standard Deviation of Structural Shocks) -- 3. Results from Posterior Parameters (Correlation of Structural Shocks) -- 4. Root Mean Squared Errors -- Figures -- 1. Output Gap in LA5 -- 2. Estimated Parameters in the Output Gap Equation -- 3. Estimated Parameters in the Inflation Equation -- 4. Estimated Parameters in the Monetary Policy Rule -- 5. Domestic Demand Shock -- 6. Domestic Price Shock -- 7. Demand Shock in the US -- 8. BLT Shock in the US -- 9. Historical Decomposition of Inflation 2004-08.
Abstract:
This is the fourth 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 to which economists have access for studying both own-country and cross-country linkages. In this paper, we add Latin American economies to a previously estimated 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.
Local Note:
Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2017. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
Genre:
Electronic Access:
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