Constructing forecast confidence bands during the financial crisis

Constructing forecast confidence bands during the financial crisis / Huigang Chen [and others].

We derive forecast confidence bands using a Global Projection Model covering the United States, the euro area, and Japan. In the model, the price of oil is a stochastic process, interest rates have a zero floor, and bank lending tightening affects the United States. To calculate confidence intervals...

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Bibliographic Details
Main Author: Chen, Huigang (Author)
Corporate Author: International Monetary Fund. Research Department
Format: eBook
Language:English
Published: [Washington, D.C.] : International Monetary Fund, 2009.
Series:IMF working paper ; WP/09/214.
Subjects:
2008-2009
Global Financial Crisis, 2008-2009.
Financial crises > United States > Econometric models.
Financial crises > European Union countries > Econometric models.
Financial crises > Japan > Econometric models.
Petroleum products > Prices > United States > Econometric models.
Petroleum products > Prices > European Union countries > Econometric models.
Petroleum products > Prices > Japan > Econometric models.
Interest rates > United States > Econometric models.
Interest rates > European Union countries > Econometric models.
Interest rates > Japan > Econometric models.
Bank loans > United States > Econometric models.
Bank loans > European Union countries > Econometric models.
Bank loans > Japan > Econometric models.
Bank loans > Econometric models
Financial crises > Econometric models
Interest rates > Econometric models
Petroleum products > Prices > Econometric models
European Union countries
Japan
United States
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