Constructing Forecast Confidence Bands During the Financial Crisis
Author/Editor: Ondra Kamenik, Marianne Johnson, Kevin Clinton, Huigang Chen, Douglas Laxton
Release Date: © September, 2009
Stock #: WPIEA2009214
English
Stock Status: Available
Languages and formats available
| English | French | Spanish | Arabic | Russian | Chinese | Portuguese | |
| Paperback | Yes |
Description
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.
Keywords
Forecasting And Simulation, Forecast Confidence Bands, Bank Credit, Credit Restraint, Economic Forecasting, Economic Models, European Union, Inflation Targeting, Interest Rates, Oil Prices
Taxonomy
Economic policy,
Monetary policy
More publications in this series: Working Papers
More publications by: Ondra Kamenik ; Marianne Johnson ; Kevin Clinton ; Huigang Chen ; Douglas Laxton
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