GPM6 - The Global Projection Model with 6 Regions.
Title:
GPM6 - The Global Projection Model with 6 Regions.
Author:
Carabenciov, Ioan.
ISBN:
9781484325384
Personal Author:
Physical Description:
1 online resource (80 pages)
Series:
IMF Working Papers
Contents:
Cover -- Contents -- I. Introduction -- II. Background to the Model Specification -- III. The specification of the model -- A. Data definitions -- B. Stochastic processes -- 1. Potential Output -- 2. NAIRU -- 3. Equilibrium real interest rate -- 4. Real exchange rate -- C. Behavioral equations for the G3 economies -- 1. Output Gap -- 2. Inflation -- 3. Policy Interest Rate -- 4. Medium-term Interest Rate -- 5. Uncovered Interest Parity -- 6. Unemployment Rate -- D. Differences in specification of behavioral equations for the emerging economies -- 1. Output Gap -- 2. Uncovered Interest Parity -- 3. Unemployment Rate -- IV. Confronting the Model with the Data -- A. Bayesian estimation -- 1. General approach -- 2. Calibration and estimation in the GPM6 model -- B. Results -- 1. Estimated and calibrated coefficients -- 2. Root Mean Squared Errors -- 3. Variance decompositions -- 4. Impulse response functions -- 5. A global demand shock -- V. Concluding Remarks -- References -- Appendix 1: GPM6 Data Definitions -- Tables -- 1. GPM6 Parameters Table -- 2. Results from estimation of parameters in GPM6 (sample 1994Q1-2007Q4) -- 3. GPM6 Trade and Spillovers Table -- 4. GPM6 Trade and Spillovers Table[2] -- 5. Results from estimation - standard deviation of structural shocks[1] -- 6. Results from estimation - standard deviation of structural shocks[2] -- 7. Root Mean Squared Errors 1999Q1-2007Q4 . -- 8. Variance Decomposition[1] -- 9. Variance Decomposition[2] -- Figures -- 1. Shock to (Omitted) -- 2. Shock to (Omitted) -- 3. Shock to (Omitted) -- 4. Shock to (Omitted) -- 5. Shock to (Omitted) -- 6. Shock to (Omitted) -- 7. Shock to (Omitted) -- 8. Shock to (Omitted) -- 9. Shock to (Omitted) -- 10. Shock to (Omitted) -- 11. Shock to (Omitted) -- 12. Shock to (Omitted) -- 13. Shock to (Omitted) -- 14. Shock to (Omitted) -- 15. Shock to (Omitted).
16. Shock to (Omitted) -- 17. Shock to (Omitted) -- 18. Shock to (Omitted) -- 19. Shock to (Omitted) -- 20. Shock to (Omitted) -- 21. Shock to (Omitted) -- 22. Shock to (Omitted) -- 23. Global Demand Shock.
Abstract:
This is the sixth 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 to which economists have access for studying both own-country and cross-country linkages. In this paper, we add three more regions and make a number of other changes 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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