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Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...

Persistent link: https://www.econbiz.de/10009327870

The Monetary Model Strikes Back; Evidence From the World

Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008

We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in...

Persistent link: https://www.econbiz.de/10005263651

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003

We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10005263948

Comparing Projections and Outcomes of IMF-Supported Programs

Phillips, Steven; Musso, Alberto - International Monetary Fund (IMF) - 2001

“Program numbers” from a sample of IMF-supported programs are studied as if they were forecasts, through statistical analyses of the relationship between projections and outcomes for growth, inflation, and three balance of payments concepts. Statistical bias is found only for projections of...

Persistent link: https://www.econbiz.de/10005263972

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

Real Effects of the Subprime Mortgage Crisis; Is it a Demand or a Finance Shock?

Tong, Hui; Wei, Shang-Jin - International Monetary Fund (IMF) - 2008

We develop a methodology to study how the subprime crisis spills over to the real economy. Does it manifest itself primarily through reducing consumer demand or through tightening liquidity constraint on non-financial firms? Since most non-financial firms have much larger cash holding than...

Persistent link: https://www.econbiz.de/10005264107

Measuring Oil-Price Shocks Using Market-Based Information

Wu, Tao; Cavallo, Michele - International Monetary Fund (IMF) - 2012

We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability...

Persistent link: https://www.econbiz.de/10009650637

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

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