Adding China to the Global Projection Model

Blagrave, Patrick; Elliott, Peter; Garcia-Saltos, Roberto; Hostland, Douglas; Laxton, Douglas; Zhang, Fan

doi:10.5089/9781484317631.001

Cited by 9 publications

(5 citation statements)

References 7 publications

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“…(2008), Carabenciov et al . (2013) and Blagrave et al . (2013) to construct a GPM model that encompasses the United States of America, the Eurozone, Japan and China.…”

Section: Methodsmentioning

confidence: 96%

“…The Global Projection Model (GPM) is a significant macroeconomic forecasting model developed by IMF economists in recent years. This paper primarily references works by Laxton et al (2008), Carabenciov et al (2013) and Blagrave et al (2013) to construct a GPM model that encompasses the United States of America, the Eurozone, Japan and China. Considering China is an emerging economy with behavior equations distinct from the G3 economies, we initially establish the behavior equations of the G3.…”

Section: Gpm Modelmentioning

confidence: 99%

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Spillover effects of liquidity management in major economies and China's digital economy-driven countermeasures

Wang

2023

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PurposeThis paper aims to enhance the Global Projection Model (GPM) developed by the International Monetary Fund by constructing a GPM4 model that includes the United States of America, the Eurozone, Japan and China.Design/methodology/approachThis article introduces the United States of America, the Eurozone, Japan and China into a comprehensive global forecasting model, analyzing the impact of liquidity management in G3 economies on nine key macroeconomic variables in China.FindingsThe findings reveal that the liquidity management strategies employed by major economies do exert a certain influence on China's major macroeconomic variables. Different types of liquidity shocks elicit varying effects. Monetary shocks exhibit the strongest instantaneous impact, while credit conditions and policy rate shocks contribute more significantly to China's long-term macroeconomic fluctuations. However, no single shock stands out as the dominant factor.Originality/valueThis paper attempts to expand the GPM model developed by the International Monetary Fund and build a GPM4 model including China, the United States of America, the Eurozone and Japan. For the first time, the GPM model was used to analyze the spillover effects of liquidity management in major economies on China's macroeconomy and revealed the impact of non-price factors such as credit conditions on China's macroeconomic variables.

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“…(2008), Carabenciov et al . (2013) and Blagrave et al . (2013) to construct a GPM model that encompasses the United States of America, the Eurozone, Japan and China.…”

Section: Methodsmentioning

confidence: 96%

Section: Gpm Modelmentioning

confidence: 99%

Spillover effects of liquidity management in major economies and China's digital economy-driven countermeasures

Wang

2023

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“…As a result, ECB-Global is a rich semi-structural, multi-country model featuring diverse real and financial cross-border spillover channels for the euro area, the US, Japan, the UK, China, the rest of Emerging (EM) Asia, oil-producing economies, and the rest of the world. ECB-Global is similar in spirit to other semi-structural models that have recently become popular at central banks and international organisations, such as the IMF's Global Projection Model (GPM; Blagrave et al; and Flexible System of Global Models (FSGM; Andrle et al;, the Bank of England's COMPASS model (Burgess et al;, and the Reserve Bank of New Zealand's NZSIM (Kamber et al;2016).…”

Section: Background On Ecb-globalmentioning

confidence: 97%

Introducing Dominant Currency Pricing in the ECB's Global Macroeconomic Model

Georgiadis

Mösle

2019

SSRN Journal

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“…As a result, ECB-Global is a rich semi-structural, multi-country model featuring diverse real and financial cross-border spillover channels for the euro area, the US, Japan, the UK, China, the rest of Emerging (EM) Asia, oil-producing economies, and the rest-of-the-world. ECB-Global is similar in spirit to other semi-structural models that have recently become popular at central banks and international organisations, such as the IMF's Global Projection Model (GPM; Blagrave et al; and the Flexible System of Global Models (FSGM; Andrle et al;2015), the Bank of England's COMPASS model (Burgess et al;, and the Reserve Bank of New Zealand's NZSIM (Kamber et al;2016).…”

Section: Background On Ecb-globalmentioning

confidence: 98%

Introducing dominant‐currency pricing in the ECB's global macroeconomic model

Georgiadis

Mösle

2019

International Finance

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A large share of global trade being priced and invoiced primarily in US dollar rather than the exporter's or the importer's currency has important implications for the transmission of shocks. We introduce this "dominant currency pricing" (DCP) into ECB-Global, the ECB's macroeconomic model for the global economy. To our knowledge, this is the first attempt to incorporate DCP into a major global macroeconomic model used at central banks or international organisations. In ECB-Global, DCP affects in particular the role of expenditure switching and the US dollar exchange rate for spillovers: In case of a shock in a non-US economy that alters the value of its currency multilaterally, expenditure switching occurs only through imports; in case of a US shock that alters the value of the US dollar multilaterally, expenditure switching occurs both in non-US economies' imports and-as these are imports of their trading partners-exports. Overall, under DCP the US dollar exchange rate is a major driver of global trade, even for transactions that do not involve the US. In order to illustrate the usefulness of ECB-Global and DCP for policy analysis, we explore the implications of the Euro rivaling the US dollar as a second dominant currency in global trade. According to ECB-Global, in such a scenario the global spillovers from US shocks are smaller, while those from euro area shocks are amplified; domestic euro area monetary policy effectiveness is hardly affected by the Euro becoming a second globally dominant currency in trade.

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Adding China to the Global Projection Model

Cited by 9 publications

References 7 publications

Spillover effects of liquidity management in major economies and China's digital economy-driven countermeasures

Spillover effects of liquidity management in major economies and China's digital economy-driven countermeasures

Introducing Dominant Currency Pricing in the ECB's Global Macroeconomic Model

Introducing dominant‐currency pricing in the ECB's global macroeconomic model

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