qpm_template: Shipped model templates

In qpmR: Quarterly Projection Models for Monetary Policy Analysis

Shipped model templates

Description

"bkl" is the canonical semi-structural small-open-economy quarterly projection model in the tradition of Berg, Karam and Laxton (2006, IMF WP/06/80-81): an IS curve, a hybrid Phillips curve, a forward-looking inflation-targeting policy rule, and a dampened (hybrid) UIP block, plus equilibrium-trend and foreign processes, and an observation block for real GDP growth (dy_obs = dy_bar + 4 * (y_gap - y_gap[-1])), so the model can be filtered on actual national-accounts data without modelling the level of potential output. The default calibration is illustrative, for a higher-inflation emerging economy ("Meridia"); it is not any actual country. See czechia for a real dataset and a matching recalibration example.

Usage

qpm_template(
  name = c("bkl", "bkl_food", "managed_fx"),
  trends = c("stationary", "rw")
)

Arguments

name	Template name: "bkl", "bkl_food", or "managed_fx".
trends	"stationary" or "rw"; see Details.

Details

trends selects the equilibrium processes:

• "stationary" (default): AR(1) trends anchored at steady-state parameters; the model is fully stationary.

• "rw": driftless random walks for the equilibrium real exchange rate and potential growth (whose levels are pure normalizations); the neutral rate stays anchored by real interest parity (rstar + prem), since a free random walk there would leave steady-state gaps indeterminate. The model then has unit roots: free trend levels are normalized to minimum norm in the steady state, and qpm_filter() switches to diffuse initialization automatically. This is the configuration for real data, where trends drift.

Conventions: gaps in percentage points; inflation QoQ annualised; interest rates in percent per annum; q is 100 times the log real exchange rate, an increase is a real depreciation; dy_obs is QoQ annualised real GDP growth.

Country-shaped variants are shipped as shortcuts for the canonical model plus an extension block (see add_block()):

• "bkl_food" — headline CPI split into food and core (block_food_cpi()), the configuration for economies where food is a large share of the basket.

• "managed_fx" — a leaning-against-the-wind intervention rule entering the UIP block (block_fx_intervention()).

Value

A calibrated qpm_model.

References

Berg, A., Karam, P., and Laxton, D. (2006). A Practical Model-Based Approach to Monetary Policy Analysis - Overview. IMF Working Paper 06/80; and the companion How-To guide, IMF WP 06/81.

Examples

m <- qpm_template("bkl")
summary(m)
m_rw <- qpm_template("bkl", trends = "rw")

qpmR documentation built on Sept. 29, 2026, 5:10 p.m.