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
Online Access:Click for online access
Description
Summary: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 that respect the zero interest rate floor, we employ Latin hypercube sampling. Derived confidence bands suggest non-negligible risks that U.S. interest rates might stay near zero for an extended period, and that severe credit conditions might persist.
Physical Description:1 online resource (23 pages) : color illustrations
Format:Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:Includes bibliographical references (pages 19-20).
ISBN:9781452728872
1452728879
145191783X
9781451917833
1462375944
9781462375943
1282844202
9781282844209
1451873611
9781451873610
9786612844201
6612844205
ISSN:2227-8885 ;
Language:English.
Reproduction Note:Electronic reproduction.
Source of Description, Etc. Note:Print version record.
Action Note:digitized

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