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

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245 0 0 |a Constructing forecast confidence bands during the financial crisis /  |c Huigang Chen [and others]. 
260 |a [Washington, D.C.] :  |b International Monetary Fund,  |c 2009. 
300 |a 1 online resource (23 pages) :  |b color illustrations 
336 |a text  |b txt  |2 rdacontent 
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490 1 |a IMF working paper,  |x 2227-8885 ;  |v WP/09/214 
504 |a Includes bibliographical references (pages 19-20). 
520 3 |a 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. 
588 0 |a Print version record. 
506 |3 Use copy  |f Restrictions unspecified  |2 star  |5 MiAaHDL 
533 |a Electronic reproduction.  |b [Place of publication not identified] :  |c HathiTrust Digital Library,  |d 2011.  |5 MiAaHDL 
538 |a 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.  |u http://purl.oclc.org/DLF/benchrepro0212  |5 MiAaHDL 
583 1 |a digitized  |c 2011  |h HathiTrust Digital Library  |l committed to preserve  |2 pda  |5 MiAaHDL 
505 0 |a Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Model Structure; 2.1 Overview; 2.2 Model components; 2.2.1 Variable definitions; 2.2.2 Underlying equilibrium values and stochastic processes; 2.2.3 Bank lending tightening; 2.2.4 Output gap; 2.2.5 Unemployment; 2.2.6 Inflation; 2.2.7 Policy rule for the interest rate; 2.2.8 Exchange rate; 2.2.9 Variance and coviariance of disturbances; III. GPM-Generated Confidence Bands; 3.1 Construction; 3.2 U.S. inflation; 1. U.S. Year-on Year CPI Inflation; 3.3 U.S. interest rate; 2. U.S. Interest Rate; 3.4 U.S. output gap. 
505 8 |a 3. U.S. Output Gap3.5 Bank lending tightening; 4. Bank Lending Tightening; 5. Oil Price; IV. Conclusions; References; Footnotes. 
546 |a English. 
650 0 |a Global Financial Crisis, 2008-2009. 
650 0 |a Financial crises  |z United States  |x Econometric models. 
650 0 |a Financial crises  |z European Union countries  |x Econometric models. 
650 0 |a Financial crises  |z Japan  |x Econometric models. 
650 0 |a Petroleum products  |x Prices  |z United States  |x Econometric models. 
650 0 |a Petroleum products  |x Prices  |z European Union countries  |x Econometric models. 
650 0 |a Petroleum products  |x Prices  |z Japan  |x Econometric models. 
650 0 |a Interest rates  |z United States  |x Econometric models. 
650 0 |a Interest rates  |z European Union countries  |x Econometric models. 
650 0 |a Interest rates  |z Japan  |x Econometric models. 
650 0 |a Bank loans  |z United States  |x Econometric models. 
650 0 |a Bank loans  |z European Union countries  |x Econometric models. 
650 0 |a Bank loans  |z Japan  |x Econometric models. 
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650 7 |a Financial crises  |x Econometric models  |2 fast 
650 7 |a Interest rates  |x Econometric models  |2 fast 
650 7 |a Petroleum products  |x Prices  |x Econometric models  |2 fast 
651 7 |a European Union countries  |2 fast 
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700 1 |a Chen, Huigang,  |e author. 
710 2 |a International Monetary Fund.  |b Research Department. 
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776 0 8 |i Print version:  |t Constructing forecast confidence bands during the financial crisis.  |d [Washington, D.C.] : International Monetary Fund, ©2009  |w (OCoLC)575396721 
830 0 |a IMF working paper ;  |v WP/09/214. 
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994 |a 92  |b HCD 

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