KDI 한국개발연구원 - 경제정책정보 - 발간처별 목록 - 경제분야 국제기구 - IMF - Model-Based Globally-Consistent Risk Assessment

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Model-Based Globally-Consistent Risk Assessment

IMF 2020.06.01
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This paper outlines an approach to assess uncertainty around a forecast baseline as well as the impact of alternative policy rules on macro variability. The approach allows for non-Gaussian shock distributions and non-linear underlying macroeconomic models. Consequently, the resulting distributions for macroeconomic variables can exhibit skewness and fat tails. Several applications are presented that illustrate the practical implementation of the technique including confidence bands around a baseline forecast, the probabilities of global growth falling below a specified threshold, and the impact of alternative fiscal policy reactions functions on macro variability.

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