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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
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Vietnam; Bayesian Estimation of Output Gap
Maliszewski, Wojciech - International Monetary Fund (IMF) - 2010
The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, while treating the output gap as an unobservable series to be estimated together with other parameters. Model coefficients are easily interpretable, and the output gap series is...
Persistent link: https://www.econbiz.de/10008560446
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Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …
Persistent link: https://www.econbiz.de/10005825693
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Forecasting Commodity Prices; Futures Versus Judgment
Husain, Aasim M.; Bowman, Chakriya - International Monetary Fund (IMF) - 2004
This paper assesses the performance of three types of commodity price forecasts—those based on judgment, those relying exclusively on historical price data, and those incorporating prices implied by commodity futures. For most of the 15 commodities in the sample, spot and futures prices appear...
Persistent link: https://www.econbiz.de/10005599405
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A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic
Benes, Jaromir; Papa M'B. P. N'Diaye - International Monetary Fund (IMF) - 2004
non accelerating inflation rate of unemployment (NAIRU) improves on univariate methods as the Hodrick-Prescott (HP) filter. …
Persistent link: https://www.econbiz.de/10005264226
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Measuring Oil-Price Shocks Using Market-Based Information
Wu, Tao; Cavallo, Michele - International Monetary Fund (IMF) - 2012
shocks that avoid endogeneity and predictability concerns. Estimation results indicate that oil-price shocks have had …
Persistent link: https://www.econbiz.de/10009650637
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The Efficiency of the Japanese Equity Market
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which …
Persistent link: https://www.econbiz.de/10005825859
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Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...
Persistent link: https://www.econbiz.de/10005769039
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Caribbean Business Cycles
Cashin, Paul - International Monetary Fund (IMF) - 2004
This paper identifies and describes key features of Caribbean business cycles during the period 1963-2003. In particular, the chronologies in the Caribbean classical cycle (expansions and contractions in the level of output) and growth cycle (periods of above-trend and below-trend rates of...
Persistent link: https://www.econbiz.de/10005769243
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The Role of Financial Variables in Predicting Economic Activity in the Euro Area
Lombardi, Marco; Espinoza, Raphael A.; Fornari, Fabio - International Monetary Fund (IMF) - 2009
The U.S. business cycle typically leads the European cycle by a few quarters and this can be used to forecast euro area … shocks to financial variables influence real activity. However, according to out-of-sample forecast exercises using the Root … time (conditionally on the information available at the time of the forecast), we find that models using financial …
Persistent link: https://www.econbiz.de/10008540921