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Constructing Forecast Confidence Bands During the Financial Crisis

Constructing Forecast Confidence Bands During the Financial Crisis by Kevin Clinton
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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.
International Monetary Fund; September 2009
23 pages; ISBN 9781452728872
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Title: Constructing Forecast Confidence Bands During the Financial Crisis
Author: Kevin Clinton; Marianne Johnson; Huigang Chen; Ondra Kamenik; Douglas Laxton