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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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Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods
Mirestean, Alin; Tsangarides, Charalambos G.; Chen, Huigang - International Monetary Fund (IMF) - 2009
simulated data. Simulation results suggest that asymptotically our methodology performs well both in Bayesian model selection …
Persistent link: https://www.econbiz.de/10004999975
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Benchmark Priors Revisited:on Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging
Feldkircher, Martin; Zeugner, Stefan - International Monetary Fund (IMF) - 2009
numerical implementation. A simulation experiment illustrates the implications for posterior inference. Furthermore, an …
Persistent link: https://www.econbiz.de/10008559278
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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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Is Growth Enough? Macroeconomic Policy and Poverty Reduction
Leite, Carlos; Tsangarides, Charalambos G.; Ghura, … - International Monetary Fund (IMF) - 2002
The paper investigates the existence of "super pro-poor" policies-that is, policies that directly influence the income of the poor after accounting for the effect of growth. It uses a dynamic panel estimator to capture both across- and within-country effects, and a Bayesian-type robustness check...
Persistent link: https://www.econbiz.de/10005599509
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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
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Did Output Recover From the Asian Crisis?
Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2003
This paper investigates the extent to which output has recovered from the Asian crisis. A regime-switching approach that introduces two state variables is used to decompose recessions in a set of six Asian countries into permanent and transitory components. While growth recovered fairly quickly...
Persistent link: https://www.econbiz.de/10005604941
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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
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PPP Strikes Back; Aggregation and the Real Exchange Rate
Mumtaz, Haroon; Imbs, Jean; Ravn, Morten O.; Rey, Helene - International Monetary Fund (IMF) - 2003
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...
Persistent link: https://www.econbiz.de/10005248142
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The Forward Premium Puzzle Revisited
Meredith, Guy; Ma, Yue - International Monetary Fund (IMF) - 2002
The forward premium is a notoriously poor predictor of exchange rate movements. This failure must reflect deviations from risk neutrality and/or rational expectations. In addition, a mechanism is needed that generates the appropriate correlation between the forward premium and shocks arising...
Persistent link: https://www.econbiz.de/10005263741