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Filippeli, Thomai; Theodoridis, Konstantinos - 2014

methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector … Ravenna (2007) regarding structural VAR (SVAR) models and the normal prior density of the DSGE parameter vector. In line with … used to rank competing DSGE theories that aim to explain the same observed data (Geweke, 2005). Finally, motivated by the …

Persistent link: https://www.econbiz.de/10010339762

Time-varying local projections

Ruisi, Germano - 2019

In recent years local projections have become a more and more popular methodology for the estimation of impulse responses. Besides being relatively easy to implement, the main strength of this approach relative to the traditional VAR one is that there is no need to impose any specific assumption...

Persistent link: https://www.econbiz.de/10012040644

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy rate by 150 basis points causes output and inflation...

Persistent link: https://www.econbiz.de/10011389786

Forecasting inflation in Argentina

Garegnani, María Lorena; Gómez Aguirre, Maximiliano - 2018

In 2016 the Central Bank of Argentina began to announce inflation targets. In this context, providing authorities with good estimates of relevant macroeconomic variables is crucial for making pertinent corrections in order to reach the desired policy goals. This paper develops a group of models...

Persistent link: https://www.econbiz.de/10011882797

Monetary policy regimes and inflation persistence in the United Kingdom

Zakipour-Saber, Shayan - 2019

This paper conducts a structural analysis of inflation persistence in the United Kingdom between 1965-2009. I allow for the possibility of shifts in the U.K. economy by estimating open-economy dynamic stochastic general equilibrium models in which parameters of a Taylor-type monetary policy...

Persistent link: https://www.econbiz.de/10012121979

A time varying DSGE model with financial frictions

Galvão, Ana Beatriz C.; Giraitis, Liudas; Kapetanios, … - 2015

We build a time varying DSGE model with financial frictions in order to evaluate changes in the responses of the … comparison with the 1985-2006 period. The time varying DSGE model with financial frictions improves the accuracy of forecasts of … coefficient DSGE model for the 2007-2012 period. …

Persistent link: https://www.econbiz.de/10011405255

Developing an underlying inflation gauge for China

Amstad, Marlene; Huan, Ye; Ma, Guonan - 2014

The headline consumer price index (CPI) is often considered too noisy, narrowly defined, and/or slowly available for policymaking. On the other hand, traditional core inflation measures may reduce volatility but do not address other issues and may even exclude important information. This paper...

Persistent link: https://www.econbiz.de/10010412468

Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

IMF programs and sensitivity to external shocks : an empirical application

Miescu, Mirela Sorina - 2016

This paper assesses that participation of countries in IMF programs significantly diminishes their vulnerability to external shocks. Currently, one of the primary purposes of the IMF is to ensure global stability. As such, the Fund has the responsibility of advising member countries on the...

Persistent link: https://www.econbiz.de/10011447050

Real-time consideration of systematic patterns in Maltese GDP data and revisions

Debono, Nathaniel - 2024

Economic policies are generally formulated on the basis of data available in real time, which might subsequently be revised. Implicitly, the possibility of data revisions creates an element of uncertainty around the very same data driving policy decisions. Given that such uncertainty could be...

Persistent link: https://www.econbiz.de/10014461449

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