Constructing Forecast Confidence Bands During the Financial Crisis [electronic resource] / Kevin Clinton.
Material type:
TextSeries: IMF Working Papers; Working Paper ; No. 09/214Publication details: Washington, D.C. : International Monetary Fund, 2009Description: 1 online resource (23 p.)ISBN: 1451873611 :ISSN: 1018-5941Subject(s): Confidence Interval | Confidence Intervals | Equation | Forecast Confidence Bands | Forecasting and Simulation | Inflation | United StatesAdditional physical formats: Print Version:: Constructing Forecast Confidence Bands During the Financial CrisisOnline resources: IMF e-Library | IMF Book Store Abstract: 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.
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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