Constructing forecast confidence bands during the financial crisis /

Constructing forecast confidence bands during the financial crisis /

Saved in:

Bibliographic Details
Imprint:	[Washington, D.C.] : International Monetary Fund, 2009.
Description:	1 online resource (23 pages) : color illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/09/214 IMF working paper ; WP/09/214.
Subject:	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. Bank loans -- Econometric models. Financial crises -- Econometric models. Interest rates -- Econometric models. Petroleum products -- Prices -- Econometric models. European Union countries. Japan. United States.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12498488

Hidden Bibliographic Details
Other authors / contributors:	Chen, Huigang, author. International Monetary Fund. Research Department.
ISBN:	9781452728872 1452728879 145191783X 9781451917833 1462375944 9781462375943 1282844202 9781282844209 1451873611 9781451873610 9786612844201 6612844205
Digital file characteristics:	data file
Notes:	Includes bibliographical references (pages 19-20). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2011. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 English. digitized 2011 HathiTrust Digital Library committed to preserve Print version record.
Summary:	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.
Other form:	Print version: Constructing forecast confidence bands during the financial crisis. [Washington, D.C.] : International Monetary Fund, ©2009
Standard no.:	10.5089/9781451917833.001