IMF-约旦中央银行的扩展季度预测模型（英）-2023.8-84页_2mb

Summary of "An Extended Quarterly Projection Model for the Central Bank of Jordan"

Introduction and Objective

The paper introduces the Jordan Analysis Model (JAM2.0), an extended Quarterly Projection Model (QPM) developed for the Central Bank of Jordan (CBJ) to support macroeconomic forecasting and policy analysis. It is designed under a fixed pegged exchange rate regime and incorporates monetary, fiscal, and external balance dynamics to provide a reliable analytical framework.

Key Features

• Model Structure: JAM2.0 is a semi-structural, open-economy New Keynesian model. It features:

  • Decomposition of GDP into domestic demand and net exports.
  • Phillips curves for core and non-core inflation, capturing transmission mechanisms.
  • Output and inflation gaps to analyze cyclical fluctuations.
  • Fiscal block integrating debt sustainability, deficits, and targets.
  • External balance component modeling FX reserves, interventions, and capital flows.
  • Rules-based monetary policy, including alignment with the U.S. Federal Funds rate.

• Data and Calibration: Based on stylized facts of the Jordanian economy. Parameters are calibrated to match historical data, with impulse response functions (IRFs) analyzed for various structural shocks.

Model Purpose and Usage

• Forecasting and Analysis: Used for in-sample simulations, out-of-sample forecasting, and historical data filtration to interpret economic trends and shocks.
• Policy Support: Aids real-time decision-making by evaluating policy tradeoffs, such as monetary-fiscal interactions, and assessing responses to supply, demand, and external shocks.
• Software and Framework: Part of the CBJ's Forecasting and Policy Analysis System (FPAS), emphasizing forward-looking analysis and integration with external variables.

Findings and Benefits

• Accuracy and Performance: Simulations demonstrate the model's ability to accurately forecast key variables like inflation and GDP growth, outperforming random walk benchmarks in many cases.
• Transmission Mechanisms: IRFs reveal how shocks propagate through the economy, enhancing understanding of policy impacts under various regimes.
• Practical Application: Improves CBJ's capability for managing the pegged exchange rate, monitoring reserves, and coordinating policy responses to maintain stability amid economic shocks.

Conclusion

JAM2.0 serves as a critical tool for the CBJ, providing a dynamic, quantitative framework to inform policy decisions and ensure macroeconomic stability in Jordan.