This paper describes recent work to strengthen nowcasting capacity at the IMF’s European department. It motivates and compiles datasets of standard and nontraditional variables, such as Google search and air quality. It applies standard dynamic factor models (DFMs) and several machine learning...

We measure the impact of frequent exogeneous shocks on small ECCU economies, including changes to global economic activity, tourism flows, oil prices, passport sales, FDI, and natural disasters. Using Canonical-Correlation Analysis (CCA) and dynamic panel regression analysis we find significant...

We build a factor-augmented interacted panel vector-autoregressive model of the Euro Area (EA) and estimate it with Bayesian methods to compute government spending multipliers. The multipliers are contingent on the overall monetary policy stance, captured by a shadow monetary policy rate. In the...

We compute government spending multipliers for the Euro Area (EA) contingent on the interestgrowthdifferential, the so-called r-g. Whether the fiscal shock occurs when r-g is positive or negativematters for the size of the multiplier. Median estimates vary conditional on the specification, but...

This paper assesses the vulnerability of emerging markets and their banks to aggregate shocks. We find significant links between banks' asset quality, credit and macroeconomic aggregates. Lower economic growth, an exchange rate depreciation, weaker terms of trade and a fall in debt-creating...

In this paper, we re-examine two important aspects of the dynamics of relative primary commodity prices, namely the secular trend and the short run volatility. To do so, we employ 25 series, some of them starting as far back as 1650 and powerful panel data stationarity tests that allow for...

In this paper a general equilibrium intertemporal model with optimizing consumers and producers is developed to analyze how the imposition of a temporary import tariff affects the path of real exchange rates and the current account. The model is completely real, and considers a small open...

We study the process of external adjustment to large terms-of-trade level shifts-identified with a Markov-switching approach-for a large set of countries during the period 1960-2015. We find that adjustment to these shocks is relatively fast. Current accounts experience, on average, a...

This paper presents a comprehensive database of country-specific commodity price indices for 182 economies covering the period 1962-2018. For each country, the change in the international price of up to 45 individual commodities is weighted using commodity-level trade data. The database includes...

This paper contributes to the literature by looking at the possible relevance of the structure of the financial system-whether financial intermediation is performed through banks or markets-for macroeconomic volatility, against the backdrop of increased policy attention on strengthening growth...