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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Chen, Huigang (Autor)
Autor Corporativo: International Monetary Fund. Research Department
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, 2009.
Colección:IMF working paper ; WP/09/214.
Temas:
2008-2009
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.
Crise financière mondiale, 2008-2009.
Produits pétroliers > Prix > États-Unis > Modèles économétriques.
Produits pétroliers > Prix > Pays de l'Union européenne > Modèles économétriques.
Produits pétroliers > Prix > Japon > Modèles économétriques.
Taux d'intérêt > États-Unis > Modèles économétriques.
Taux d'intérêt > Pays de l'Union européenne > Modèles économétriques.
Taux d'intérêt > Japon > Modèles économétriques.
Prêts bancaires > États-Unis > Modèles économétriques.
Prêts bancaires > Pays de l'Union européenne > Modèles économétriques.
Prêts bancaires > Japon > Modèles économétriques.
Bank loans > Econometric models
Financial crises > Econometric models
Interest rates > Econometric models
Petroleum products > Prices > Econometric models
European Union countries
Japan
United States
Acceso en línea:Texto completo
Descripción
Sumario: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.
Descripción Física:1 online resource (23 pages) : color illustrations
Bibliografía:Includes bibliographical references (pages 19-20).
ISBN:9781452728872
1452728879
145191783X
9781451917833
1462375944
9781462375943
1282844202
9781282844209
1451873611
9781451873610
9786612844201
6612844205
ISSN:2227-8885 ;

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