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A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil PricesIoan CarabenciovInternational Monetary Fund (IMF) Igor ErmolaevBank of Russia Charles FreedmanGovernment of Canada - Bank of Canada; National Bureau of Economic Research (NBER) Michel JuillardCEPREMAP; University of Paris Ondra KamenikInternational Monetary Fund (IMF) Dmitry KorshunovBank of Russia Douglas LaxtonInternational Monetary Fund (IMF) - Research Department Jared LaxtonInternational Monetary Fund (IMF) December 2008 IMF Working Paper No. 08/280 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.
Number of Pages in PDF File: 76 Keywords: Working Paper working papers seriesDate posted: December 18, 2008Suggested CitationContact Information
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