GPM6 : : The Global Projection Model with 6 Regions / / Ioan Carabenciov, Charles Freedman, Roberto Garcia-Saltos, Douglas Laxton, Ondrej Kamenik, Petar Manchev

• Autore: Carabenciov Ioan
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2013
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (80 p.)
• Disciplina: 332.152
• Soggetto topico: Economic policy - Mathematical models; Economics - Mathematical models; Banks and Banking; Foreign Exchange; Inflation; Production and Operations Management; Model Construction and Estimation; Price Level; Deflation; Monetary Policy; Interest Rates: Determination, Term Structure, and Effects; Macroeconomics: Production; Macroeconomics; Currency; Foreign exchange; Finance; Banking; Real exchange rates; Output gap; Real interest rates; Central bank policy rate; Production; Financial services; Prices; Interest rates; Economic theory
• Soggetto geografico: United States
• Altri autori: FreedmanCharles Garcia-SaltosRoberto LaxtonDouglas KamenikOndrej ManchevPetar
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Cover; Contents; I. Introduction; II. Background to the Model Specification; III. The specification of the model; A. Data definitions; B. Stochastic processes; 1. Potential Output; 2. NAIRU; 3. Equilibrium real interest rate; 4. Real exchange rate; C. Behavioral equations for the G3 economies; 1. Output Gap; 2. Inflation; 3. Policy Interest Rate; 4. Medium-term Interest Rate; 5. Uncovered Interest Parity; 6. Unemployment Rate; D. Differences in specification of behavioral equations for the emerging economies; 1. Output Gap; 2. Uncovered Interest Parity; 3. Unemployment Rate ; IV. Confronting the Model with the DataA. Bayesian estimation; 1. General approach; 2. Calibration and estimation in the GPM6 model; B. Results; 1. Estimated and calibrated coefficients; 2. Root Mean Squared Errors; 3. Variance decompositions; 4. Impulse response functions; 5. A global demand shock; V. Concluding Remarks; References; Appendix 1: GPM6 Data Definitions; Tables; 1. GPM6 Parameters Table; 2. Results from estimation of parameters in GPM6 (sample 1994Q1-2007Q4); 3. GPM6 Trade and Spillovers Table; 4. GPM6 Trade and Spillovers Table[2] ; 5. Results from estimation - standard deviation of structural shocks[1]6. Results from estimation - standard deviation of structural shocks[2]; 7. Root Mean Squared Errors 1999Q1-2007Q4 .; 8. Variance Decomposition[1]; 9. Variance Decomposition[2]; Figures; 1. Shock to (Omitted); 2. Shock to (Omitted); 3. Shock to (Omitted); 4. Shock to (Omitted); 5. Shock to (Omitted); 6. Shock to (Omitted); 7. Shock to (Omitted); 8. Shock to (Omitted); 9. Shock to (Omitted); 10. Shock to (Omitted); 11. Shock to (Omitted); 12. Shock to (Omitted); 13. Shock to (Omitted); 14. Shock to (Omitted) ; 15. Shock to (Omitted)16. Shock to (Omitted); 17. Shock to (Omitted); 18. Shock to (Omitted); 19. Shock to (Omitted); 20. Shock to (Omitted); 21. Shock to (Omitted); 22. Shock to (Omitted); 23. Global Demand Shock
• Sommario/riassunto: This is the sixth 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 to which economists have access for studying both own-country and cross-country linkages. In this paper, we add three more regions and make a number of other changes 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: GPM6
• ISBN: 1-4843-9170-5; 1-4843-0277-X; 1-4843-2538-9
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910828616903321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2013/087