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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
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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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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
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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Broad Money Demand and Asset Substitution in China
Wu, Ge - International Monetary Fund (IMF) - 2009
Recent changes to China's financial system, in particular ongoing interest rate liberalization, gradual movement toward a more flexible exchange rate regime, and rapid development of capital markets, have changed substantially the environment in which monetary policy operates. In light of these...
Persistent link: https://www.econbiz.de/10008528622
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Forecasting Thailand's Core Inflation
Sun, Tao - International Monetary Fund (IMF) - 2004
This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the … combining a short-term model, which attempts to distill the forecasting power of a variety of monthly indicators purely on …-run structural determinants. The result is a promising model for forecasting Thai core inflation over horizons up to 10, 24, and 55 …
Persistent link: https://www.econbiz.de/10005605247
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Money Targeting in a Modern Forecasting and Policy Analysis System: an Application to Kenya
Andrle, Michal; Berg, Andrew; Berkes, Enrico; Portillo, … - International Monetary Fund (IMF) - 2013
find that: (i) the setting of money targets is consistent with money demand forecasting, (ii) targets have not played a …
Persistent link: https://www.econbiz.de/10010790361
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Reversing the Financial Accelerator; Credit Conditions and Macro-Financial Linkages
Bayoumi, Tamim; Darius, Reginald - International Monetary Fund (IMF) - 2011
This paper examines the role of credit markets in the transmission of U.S. macro-financial shocks through the prism of a financial conditions index (FCI) based on a vector autoregression (VAR) methodology. It explores the relative predictive power of market variables compared to credit...
Persistent link: https://www.econbiz.de/10008839345
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Asymmetry in the ERM; A Case Study of French and German Interest Rates Since Basle-Nyborg
Perraudin, W. R. M.; Gardner, E. H. - International Monetary Fund (IMF) - 1992
We study empirically daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree of leadership of German monetary policy in the ERM. We conclude that Germany’s...
Persistent link: https://www.econbiz.de/10005605363
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Czech Koruna and Polish Zloty Currency Options; Information Contnent and Eu-Accession Implications
Morales, Armando Méndez - International Monetary Fund (IMF) - 2000
Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction...
Persistent link: https://www.econbiz.de/10005248136
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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