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Imf Drawing Programs; Participation Determinants and Forecasting

Cerutti, Eugenio - International Monetary Fund (IMF) - 2007

This paper studies the factors that have influenced countries' participation in IMF drawing programs. IMF drawing programs are defined as the period of a Stand-By Arrangement or an Extended Fund Facilities program during which a country borrows from the Fund. Since this definition excludes...

Persistent link: https://www.econbiz.de/10005248203

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

Common and Idiosyncratic Components in Real Output; Further International Evidence

Simone, Francisco Nadal-De - International Monetary Fund (IMF) - 2002

This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, the rest of the euro area, and the United States. An index of concordance and its...

Persistent link: https://www.econbiz.de/10005263734

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

Empirical Exchange Rate Models of the Nineties; Are Any Fit to Survive?

Cheung, Yin-Wong; Pascual, Antonio Garcia; Chinn, … - International Monetary Fund (IMF) - 2004

We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model. The models are estimated in first-difference...

Persistent link: https://www.econbiz.de/10005263978

The Impact of Public Capital, Human Capital, and Knowledgeon Aggregate Output

Joutz, Frederick L.; Abdih, Yasser - International Monetary Fund (IMF) - 2008

This paper investigates the impact of public capital on private sector output by testing and estimating an aggregate production function for the U.S. economy over the postwar period augmented to include the stock of public capital as an additional factor input. We use patent applications to...

Persistent link: https://www.econbiz.de/10005263996

Capital Operating Time and total Factor Productivity Growth in France

Simone, Francisco Nadal-De; Everaert, Luc - International Monetary Fund (IMF) - 2003

Data on the weekly operating time of capital improve the measurement of effective capital input in production. The production function of the French business sector is found to be consistent with a Cobb-Douglas technology under constant returns to scale. Total factor productivity growth,...

Persistent link: https://www.econbiz.de/10005264177

Oil Prices, External Income, and Growth; Lessons From Jordan

Raissi, Mehdi; Mohaddes, Kamiar - International Monetary Fund (IMF) - 2011

This paper extends the long-run growth model of Esfahani et al. (2009) to a labor exporting country that receives large inflows of external income?the sum of remittances, FDI and general government transfers?from major oil-exporting economies. The theoretical model predicts real oil prices to be...

Persistent link: https://www.econbiz.de/10009401201

Do Commodity Futures Help Forecast Spot Prices?

Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …

Persistent link: https://www.econbiz.de/10009369445

Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies

Nkusu, Mwanza - International Monetary Fund (IMF) - 2011

We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we...

Persistent link: https://www.econbiz.de/10009203534