A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices

76 Pages Posted: 18 Dec 2008  

Ioan Carabenciov

International Monetary Fund (IMF)

Igor Ermolaev

Bank of Russia

Charles Freedman

Government of Canada - Bank of Canada; National Bureau of Economic Research (NBER)

Michel Juillard

Banque de France - Economic Study and Research Division

Ondra Kamenik

International Monetary Fund (IMF)

Dmitry Korshunov

Bank of Russia

Douglas Laxton

International Monetary Fund (IMF) - Research Department

Jared Laxton

International Monetary Fund (IMF)

Date Written: December 2008

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.

Keywords: Working Paper

Suggested Citation

Carabenciov, Ioan and Ermolaev, Igor and Freedman, Charles and Juillard, Michel and Kamenik, Ondra and Korshunov, Dmitry and Laxton, Douglas and Laxton, Jared, A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices (December 2008). IMF Working Papers, Vol. , pp. 1-74, 2008. Available at SSRN: https://ssrn.com/abstract=1316748

Ioan Carabenciov

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Igor Ermolaev

Bank of Russia

12 Neglinnaya Street
Moscow, 107016
Russia

Charles Freedman

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Government of Canada - Bank of Canada ( email )

234 Wellington Street
Ontario, Ontario K1A 0G9
Canada
613 782-8045 (Phone)
613 782-7003 (Fax)

Michel Juillard

Banque de France - Economic Study and Research Division ( email )

31, rue Croix des Petits Champs
75049 Paris Cedex 01
FRANCE

Ondra Kamenik (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Dmitry Korshunov

Bank of Russia

12 Neglinnaya Street
Moscow, 107016
Russia

Douglas Laxton

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Jared Laxton

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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