Constructing Forecast Confidence Bands During the Financial Crisis

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

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Year of publication:	2009
Authors:	Clinton, Kevin
Other Persons:	Johnson, Marianne (contributor) ; Chen, Huigang (contributor) ; Kamenik, Ondra (contributor) ; Laxton, Douglas (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Finanzkrise \| Financial crisis \| Prognoseverfahren \| Forecasting model

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Extent:	Online-Ressource (38 p)
Series:	IMF Working Papers ; v.Working Paper No. 09/214 IMF working paper ; WP/09/214
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record 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
ISBN:	978-1-4518-7361-0 ; 978-1-4527-2887-2 ; 978-1-4518-7361-0
Source:	ECONIS - Online Catalogue of the ZBW

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