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
Table of Contents:
  • 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.
  • 3. U.S. Output Gap3.5 Bank lending tightening; 4. Bank Lending Tightening; 5. Oil Price; IV. Conclusions; References; Footnotes.

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