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Ghostbusting; Which Output Gap Measure Really Matters?
Billmeier, Andreas - International Monetary Fund (IMF) - 2004
This paper investigates various output gap measures in a simple inflation forecasting framework. Reflecting the … pressures, including a gap could improve the accuracy of autoregressive inflation forecasting. This assertion is tested in a …
Persistent link: https://www.econbiz.de/10005826587
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An Evaluation of the World Economic Outlook Forecasts
Timmermann, Allan - International Monetary Fund (IMF) - 2006
The World Economic Outlook (WEO) is a key source of forecasts of global economic conditions. It is therefore important to review the performance of these forecasts against both actual outcomes and alternative forecasts. This paper conducts a series of statistical tests to evaluate the quality of...
Persistent link: https://www.econbiz.de/10005769333
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Can the IMF's Medium-Term Growth Projections Be Improved?
Zalduendo, Juan; Batista, Catia - International Monetary Fund (IMF) - 2004
Numerous reports have noted that the IMF's medium-term growth projections are overly optimistic, raising questions as to how these can be improved. To this end, we estimate a growth model and examine its out-of-sample forecasting properties relative to those of IMF projections. The model's...
Persistent link: https://www.econbiz.de/10005604981
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Forecasting Thailand's Core Inflation
Sun, Tao - International Monetary Fund (IMF) - 2004
This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the … projections derived from the short-term time-series properties of core inflation to its longer-run evolution. This involves … goodness-of-fit criteria, with an equilibrium-correction model that pins down the convergence of core inflation to its longer …
Persistent link: https://www.econbiz.de/10005605247
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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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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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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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The persistence of firms' knowledge base: a quantile approach to Italian data
Colombelli, Alessandra; Quatraro, Francesco - HAL - 2014
investigated their patterns of persistence over time. The empirical analysis is implemented by exploring the autocorrelation …The paper investigates the patterns of persistence of innovation and of the properties of firms' knowledge base (KB …
Persistent link: https://www.econbiz.de/10010933797
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Are high-growth firms one-hit wonders? Evidence from Sweden
Daunfeldt, Sven-Olov; Halvarsson, Daniel - Handelns Utredningsinstitut (HUI Research) - 2012
Most firms do not grow, and a small number of high-growth firms seem to create most new jobs. These firms have therefore received increasing attention among policymakers. The question is whether high-growth tends to persist? We investigate this question using data on 432,689 observations in...
Persistent link: https://www.econbiz.de/10010586136