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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
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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Money Demand in Guyana
Egoumé-Bossogo, Philippe - International Monetary Fund (IMF) - 2000
-induced inflation anticipations that are typical to Guyana. …
Persistent link: https://www.econbiz.de/10005825837
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Yield Curve Dynamics and Spillovers in Central and Eastern European Countries
Hoffmaister, Alexander W.; Roldos, Jorge; Tuladhar, Anita - International Monetary Fund (IMF) - 2010
financial variables in the CEE countries is similar to the one in mature economies. However, inflation shocks have very little … curve are transmitted both to interest rates and inflation expectations in the CEE countries-and transmission is stronger …
Persistent link: https://www.econbiz.de/10008519480
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The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When...
Persistent link: https://www.econbiz.de/10005605419
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Understanding DSGE Filters in Forecasting and Policy Analysis
Andrle, Michal - International Monetary Fund (IMF) - 2013
a technology shock, into contributions of output, inflation, interest rates, and other observed variables' contribution …
Persistent link: https://www.econbiz.de/10010790303
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Data Dissemination Standards and the Statistical Quality of the IMF’s World Economic Outlook Forecasts
Mrkaic, Mico - International Monetary Fund (IMF) - 2010
This paper analyzes the effects of IMF member countries participation in the IMF’s Data Standards Initiatives (DSI) on the statistical quality of WEO forecasts. Results show that WEO forecasts for SDDS subscribers are in general better than for GDDS participants and those member countries...
Persistent link: https://www.econbiz.de/10008671311
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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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Public Capital and Output Growth in Portugal; An Empirical Analysis
Ligthart, Johanna Elisabeth - International Monetary Fund (IMF) - 2000
The paper investigates the growth effects of public capital in Portugal using annual data for the period 1965-95. Both a production function and a vector autoregressive model are estimated. Public capital is shown to be a significant long-term determinant of output growth. The size of the...
Persistent link: https://www.econbiz.de/10005826148
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Does Inflation Slow Long-Run Growth in India?
Mohaddes, Kamiar; Raissi, Mehdi - International Monetary Fund (IMF) - 2014
This paper examines the long-run relationship between consumer price index industrial workers (CPI-IW) inflation and …, there is a negative long-run relationship between inflation and economic growth in India. We also find statistically …-significant inflation-growth threshold effects in the case of states with persistently-elevated inflation rates of above 5.5 percent. This …
Persistent link: https://www.econbiz.de/10011142122