Adding Latin America to the Global Projection Model

• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (50 p.)
• Disciplina: 332.152
• Soggetto topico: Globalization - Economic aspects - Latin America; Econometrics; Banks and Banking; Foreign Exchange; Inflation; Production and Operations Management; Macroeconomics: Production; Price Level; Deflation; Interest Rates: Determination, Term Structure, and Effects; Macroeconomics; Currency; Foreign exchange; Finance; Output gap; Real exchange rates; Real interest rates; Exchange rates; Production; Economic theory; Prices; Interest rates
• Soggetto geografico: United States
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Contents; I. Introduction; II. Benchmark Model; A. Background; B. The Specification of the Model; B.1 Observable variables and data definitions; B.2 Stochastic processes and model definitions; B.3 Behavioral equations; B.4 Cross correlations of disturbances; III. Extending the Model to Include Financial-Real Linkages; A. Background; B. Model Specification Incorporating the US Bank Lending Tightening Variable; IV. Confronting the Model with the Data; A. Bayesian Estimation; B. Results; B.1 Estimates of output gap; B.2 Estimates of coefficients ; B.3 Estimates of standard deviation of structural shocks and cross correlationsB.4 RMSEs; B.5 Impulse response functions; B.6 Historical variance decomposition; V. Concluding Remarks; References; Appendix Tables; 1. GPM Data Definitions; 2. Trade Matrix (Average 2001-2007, in percent); Figures; 1. Output Gap in LA5; Text Tables; 1. Results from Posterior Maximization; 2. Estimated Parameters in the Output Gap Equation; 3. Estimated Parameters in the Inflation Equation; 4. Estimated Parameters in the Monetary Policy Rule ; 2. Results from Posterior Parameters (Standard Deviation of Structural Shocks)3. Results from Posterior Parameters (Correlation of Structural Shocks); 4. Root Mean Squared Errors; 5. Domestic Demand Shock; 6. Domestic Price Shock; 7. Demand Shock in the US; 8. BLT Shock in the US; 9. Historical Decomposition of Inflation 2004-08
• Sommario/riassunto: This is the fourth of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit to which economists have access for studying both own-country and cross-country linkages. In this paper, we add Latin American economies to a previously estimated small quarterly projection model of the US, Euro Area, and Japanese economies. 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.
• Titolo autorizzato: Adding Latin America to the Global Projection Model
• ISBN: 1-4623-3357-5; 1-4527-5410-1; 1-4518-7232-1; 1-282-84305-2; 9786612843051
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910828558303321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2009/085