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Islamic Republic of Iran; Selected Issues

International Monetary Fund (IMF); International … - 2008

This Selected Issues Paper on Iran reviews that monetary factors are the main determinants of inflation in the country. Government spending out of oil revenues leads to large liquidity injections that the central bank accommodates owing to its efforts to prevent a significant nominal...

Persistent link: https://www.econbiz.de/10011244775

On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

Rebucci, Alessandro - International Monetary Fund (IMF) - 2003

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...

Persistent link: https://www.econbiz.de/10005263898

Empirical Exchange Rate Models of the Nineties; Are Any Fit to Survive?

Cheung, Yin-Wong; Pascual, Antonio Garcia; Chinn, … - International Monetary Fund (IMF) - 2004

We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model. The models are estimated in first-difference...

Persistent link: https://www.econbiz.de/10005263978

A Simple Forecasting Accuracy Criterion Under Rational Expectations; Evidence From the World Economic Outlook and Time Series Models

Barrionuevo, José M. - International Monetary Fund (IMF) - 1992

A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard statistical conditions are necessary, but not sufficient to...

Persistent link: https://www.econbiz.de/10005264063

Default, Credit Growth, and Asset Prices

Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper...

Persistent link: https://www.econbiz.de/10005264113

An Assessment of Estimates of Term Structure Models for the United States

Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then...

Persistent link: https://www.econbiz.de/10009369442

Do Commodity Futures Help Forecast Spot Prices?

Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …

Persistent link: https://www.econbiz.de/10009369445

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

Mexico; Selected Issues

International Monetary Fund (IMF); International … - 2004

This Selected Issues paper analyzes the sources of Mexicoâ€™s economic growth since the 1960s, and compares various decompositions of historical growth into trend and cyclical components. The role of the implied output gaps in the inflation process is assessed. The paper presents...

Persistent link: https://www.econbiz.de/10005825457

Nonlinear Exchange Rate Models; A Selective Overview

Sarno, Lucio - International Monetary Fund (IMF) - 2003

-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear …

Persistent link: https://www.econbiz.de/10005825647