Constructing Forecast Confidence Bands During the Financial Crisis

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 that respect the zero interest rate floor, we... READ MORE...

Publication date: September 2009
ISBN 9781451873610
$18.00

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