Narrow search
Showing 1 - 10 of 14,265
Cover Image
Monetary Policy Neutrality: Sign Restrictions Go to Monte Carlo.
Castelnuovo, Efrem - Dipartimento di Scienze Economiche "Marco Fanno", … - 2012
.S. data. It is then used in a Monte Carlo exercise to generate artificial data with which VARs are estimated. VAR monetary …-consistent) responses and those produced with sign-restriction VARs is shown to be due to the low relative strength of the signal of the … monetary policy shock. We conclude that UhligÕs (2005) finding is not inconsistent with monetary policy non-neutrality. …
Persistent link: https://www.econbiz.de/10010702035
Cover Image
The Flexible System of Global Models – FSGM
Andrle, Michal; Blagrave, Patrick; Espaillat, Pedro; … - International Monetary Fund (IMF) - 2015
The Flexible System of Global Models (FSGM) is a group of models developed by the Economic Modeling Division of the IMF for policy analysis. A typical module of FSGM is a multi-region, forward-looking semi-structural global model consisting of 24 regions. Using the three core modules focused on...
Persistent link: https://www.econbiz.de/10011242191
Cover Image
Spillovers in the Nordic Countries
Mircheva, Borislava; Muir, Dirk - International Monetary Fund (IMF) - 2015
Denmark, Finland, Norway, and Sweden form a tightly integrated region which has strong ties with the euro area as well as some exposure to Russia. Using the IMF’s Global Integrated Monetary and Fiscal model (GIMF), we examine spillovers the region could face, focusing on possible...
Persistent link: https://www.econbiz.de/10011242239
Cover Image
A VAR description of the effects of monetary policy in the individual countries of the euro area
Mojon, Benoît; Peersman, Gert - European Central Bank - 2001
This paper presents a complete set of results describing the effects of monetary policy in 10 countries of the euro area for the pre-EMU period. For each country, we impose one of three identification schemes depending on its monetary integration with Germany, the nominal anchor of the ERM. The...
Persistent link: https://www.econbiz.de/10005344895
Cover Image
The changing role of expectations in US monetary policy: A new look using the Livingston Survey
Banerjee, A.; Malik, S. - Banque de France - 2012
Using a Bayesian structural vector autoregression (TVP-SVAR) with time-varying parameters and volatility we investigate monetary policy in the United States, in particular its interaction with the formation of inflation expectations and the linkages between monetary policy, inflation...
Persistent link: https://www.econbiz.de/10010816004
Cover Image
Inflation targeting and monetary analysis in Chile and Mexico
Sanchez-Fung, Jose R - Royal Economic Society - RES - 2003
This paper studies the role of monetary and open economy indicators in inflation targeting (IT) economies through the analysis of a nested Phillips curve/ P-star model for Chile and Mexico. For Chile a real money gap and a money growth indicator are found to be relevant in predicting deviations...
Persistent link: https://www.econbiz.de/10005577133
Cover Image
On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications
Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator …
Persistent link: https://www.econbiz.de/10005263898
Cover Image
Testing for Structural Breaks in Small Samples
Antoshin, Sergei; Berg, Andrew; Souto, Marcos - International Monetary Fund (IMF) - 2008
In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...
Persistent link: https://www.econbiz.de/10005264217
Cover Image
Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model
Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011
This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...
Persistent link: https://www.econbiz.de/10009327870
Cover Image
On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797