A Small Quarterly Projection Model of the US Economy

Igor Ermolaev · Michel Juillard · Ioan Carabenciov · Charles Freedman · Douglas Laxton · Ondra Kamenik +1 more

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Monetary Policy and Economic Impact Global Financial Crisis and Policies Forecasting Techniques and Applications

Abstract

This is the first of a series of papers that are being written as part of a 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 U.S. economy. The model is estimated with Bayesian techniques, which provide a very efficient way of imposing restrictions to produce both plausible dynamics and sensible forecasting properties. After developing a benchmark model without financial-real linkages, we introduce such linkages into the model and compare the results with and without linkages.

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References

1995Inside the Black Box: The Credit Channel of Monetary Policy Transmission 2006The Credit Cycle and the Business Cycle: New Findings Using the Loan Officer Opinion Survey 2003Historical monetary policy analysis and the Taylor rule 2000Listening to Loan Officers: The Impact of Commercial Credit Standards on Lending and Output 2008A U.S. Financial Conditions Index 2006A Practical Model-Based Approach to Monetary Policy Analysis - Overview 2006Practical Model-Based Monetary Policy Analysis: A How-To Guide 2005Credit Effects in the Monetary Mechanism

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2016Global food prices and monetary policy in an emerging market economy: The case of India 2013Forecasting and Policy Making 2008A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices 2016New Methods for Macro-Financial Model Comparison and Policy Analysis 2009Developing a Structured Forecasting and Policy Analysis System to Support Inflation-Forecast Targeting (IFT)

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