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Adding Indonesia to the Global Projection Model / Roberto Garcia-Saltos, Douglas Laxton, Michal Andrle, Haris Munandar, Charles Freedman, Danny Hermawan.
- Format:
- Book
- Government document
- Author/Creator:
- Garcia-Saltos, Roberto.
- Series:
- IMF Working Papers; Working Paper ; No. 2009/253
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Economic forecasting--Indonesia--Econometric models.
- Economic forecasting.
- Economic forecasting--United States--Econometric models.
- Economic forecasting--Europe--Econometric models.
- Economic forecasting--Japan--Econometric models.
- Inflation (Finance)--Indonesia--Econometric models.
- Inflation (Finance).
- Inflation (Finance)--United States--Econometric models.
- Inflation (Finance)--Europe--Econometric models.
- Inflation (Finance)--Japan--Econometric models.
- Monetary policy--Indonesia--Econometric models.
- Monetary policy.
- Monetary policy--United States--Econometric models.
- Monetary policy--Europe--Econometric models.
- Monetary policy--Japan--Econometric models.
- Physical Description:
- 57 p. : ill.
- Edition:
- 1st ed.
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2009.
- Language Note:
- English
- Summary:
- This is the fifth of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit to which economists have access for studying both own-country and cross-country linkages. In this paper, we add Indonesia to a previously estimated small quarterly projection model of the US, euro area, and Japanese economies. The model is estimated with Bayesian techniques, which provide a very efficient way of imposing restrictions to produce both plausible dynamics and sensible forecasting properties.
- Contents:
- Intro
- Contents
- I. Introduction
- A. Background
- B. A Brief Outline of Indonesian Economic Developments Over The Sample Period
- II. Benchmark Model
- B. The Specification of The Model
- B.1 Observable variables and data definitions
- B.2 Stochastic processes and model definitions
- B.3 Behavorial equations
- B.4 Cross correlations of disturbances
- III. Extending the Model to Include Financial-Real Linkages
- B. Model Specication Incorporating the US Bank Lending TighteningVariable
- V. Confronting the Model with the Data
- A. Bayesian Estimation
- B. Results
- B.1 Estimates of coeficients
- B.2 Estimates of standard deviation of structural shocks and cross correlations
- B.3 RMSEs
- B.4 Impulse response functions
- VI. Concluding Remarks
- IV. Modifications of the Model for the Indonesian Economy
- References
- Appendix: GPM Data Definitions
- Figures
- 1. Indonesia - Historical Data [1]
- 2. Indonesia - Historical Data [2]
- 3. Indonesia - Historical Data [3]
- 4. Comparison CDS Emerging Countries
- 5. Indonesia Historical Inflation Graph
- 6. Domestic Demand Shock
- 7. Domestic Price Shock
- 8. Domestic Interest Rate Shock
- 9. Domestic Real Exchange Rate Shock
- 10. Shock to the Domestic Target Rate of Inflation
- 11. Demand Shock in the US
- 12. BLT Shock in the US
- Tables
- 1. Results from Posterior Maximization
- 2. Results from Posterior Parameters (standard deviation of structural shocks)
- 3. Results from Posterior Parameters (correlation of structural shocks)
- 4. Root Mean Squared Errors.
- Notes:
- "November 2009."
- Description based on print version record.
- ISBN:
- 9786612844911
- 9781462387038
- 1462387039
- 9781452752075
- 1452752079
- 9781282844919
- 1282844911
- 9781451941715
- 1451941714
- OCLC:
- 694140986
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