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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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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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Early Warning Systems; A Survey and a Regime-Switching Approach
Abiad, Abdul - International Monetary Fund (IMF) - 2003
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...
Persistent link: https://www.econbiz.de/10005769232
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Competition and Firm Productivity; Evidence From Firm-Level Data
Schiffbauer, Marc; Ospina, Sandra - International Monetary Fund (IMF) - 2010
This paper presents empirical evidence on the impact of competition on firm productivity. Using firm-level observations from the World Bank Enterprise Survey database, we find a positive and robust causal relationship between our proxies for competition and our measures of productivity. We also...
Persistent link: https://www.econbiz.de/10008470387
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Jamaica; Selected Issues
International Monetary Fund (IMF); International … - 2008
Economic outcomes in Jamaica have fallen short of the authorities’ objectives in recent years. As the government looks to reinvigorate its growth and debt reduction strategy, it is instructive to examine how exogenous shocks and other unanticipated developments can affect economic...
Persistent link: https://www.econbiz.de/10011245592
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Contagion, Monsoons, and Domestic Turmoil in Indonesia; A Case Study in the Asian Currency Crisis
Saxena, Sweta Chaman; Cerra, Valerie - International Monetary Fund (IMF) - 2000
This paper investigates whether Indonesia’s recent currency crisis was due to domestic fundamentals, common external shocks (“monsoons”), or contagion from neighboring countries. Markov-switching models attribute speculative pressure on Indonesia’s currency to domestic political and...
Persistent link: https://www.econbiz.de/10005248271
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The Monetary Model Strikes Back; Evidence From the World
Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008
from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We …
Persistent link: https://www.econbiz.de/10005263651
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Why is Micro Evidenceon the Effects of Uncertainty Not Replicated in Macro Data?
Lombardi, Domenico; Bond, Stephen - International Monetary Fund (IMF) - 2005
This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear...
Persistent link: https://www.econbiz.de/10005264173
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Oil Prices, External Income, and Growth; Lessons From Jordan
Raissi, Mehdi; Mohaddes, Kamiar - International Monetary Fund (IMF) - 2011
-run relationships: an output equation as predicted by theory and an equation linking foreign and domestic inflation rates. It is shown …
Persistent link: https://www.econbiz.de/10009401201
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The Behavior of Conventional and Islamic Bank Deposit Returns in Malaysia and Turkey
Charap, Joshua; Cevik, Serhan - International Monetary Fund (IMF) - 2011
. The analysis shows that conventional bank deposit rates and PLS returns exhibit long-run cointegration and the time …
Persistent link: https://www.econbiz.de/10009203548