Constructing Forecast Confidence Bands During the Financial Crisis / / Kevin Clinton, Marianne Johnson, Huigang Chen, Ondrej Kamenik, Douglas Laxton

• Autore: Clinton Kevin
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2009
• Descrizione fisica: 23 p. : ill
• Soggetto topico: 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; Foreign Exchange; Inflation; Macroeconomics; Production and Operations Management; Macroeconomics: Production; Energy: Demand and Supply; Prices; Price Level; Deflation; Currency; Foreign exchange; Oil prices; Output gap; Potential output; Real exchange rates; Production; Economic theory
• Soggetto geografico: United States
• Altri autori: JohnsonMarianne ChenHuigang KamenikOndrej LaxtonDouglas
• Note generali: "September 2009."
• Sommario/riassunto: 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.
• Titolo autorizzato: Constructing Forecast Confidence Bands During the Financial Crisis
• ISBN: 1-4623-7594-4; 1-282-84420-2; 1-4527-2887-9; 1-4518-7361-1; 9786612844201
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910788225703321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2009/214