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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

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

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

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

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

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

Time-Varying Thresholds; An Application to Purchasing Power Parity

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...

Persistent link: https://www.econbiz.de/10005604859

Technology Shocks and Aggregate Fluctuations; How Well Does the RBC Model Fit Postwar U.S. Data?

Galí, Jordi; Rabanal, Pau - International Monetary Fund (IMF) - 2004

Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the...

Persistent link: https://www.econbiz.de/10005605356

Alternative Methods of Estimating Potential Output and the Output Gap; An Application to Sweden

Saxena, Sweta Chaman; Cerra, Valerie - International Monetary Fund (IMF) - 2000

This paper reviews a number of different methods that can be used to estimate potential output and the output gap. Measures of potential output and the output gap are useful to help identify the scope for sustainable noninflationary growth and to allow an assessment of the stance of...

Persistent link: https://www.econbiz.de/10005605416

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