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Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach
Vitek, Francis - 2012
This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within...
Persistent link: https://www.econbiz.de/10013102206
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Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach
Vitek, Francis - 2014
forecasts of inflation and output growth …
Persistent link: https://www.econbiz.de/10013040410
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Infrequent random portfolio decisions in an open economy model
Bacchetta, Philippe; Van Wincoop, Eric; Young, Eric R. - 2021
We introduce a portfolio friction in a two-country DSGE model where investors face a constant probability to make new portfolio decisions. The friction leads to a more gradual portfolio adjustment to shocks and a weaker portfolio response to changes in expected excess returns. We apply the model...
Persistent link: https://www.econbiz.de/10012801368
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Can we use volatility to diagnose financial bubbles? : lessons from 40 historical bubbles
Sornette, Didier; Cauwels, Peter; Smilyanov, Georgi - 2017
We inspect the price volatility before, during, and after financial asset bubbles in order to uncover possible commonalities and check empirically whether volatility might be used as an indicator or an early warning signal of an unsustainable price increase and the associated crash. Some...
Persistent link: https://www.econbiz.de/10011762277
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Income Growth in the 21st Century : Forecasts with an Overlapping Generations Model
de la Croix, David - 2007
We forecast income growth over the period 2000-2050 in the US, Canada, and France. To ground the forecasts on relationships that are as robust as possible to changes in the environment, we use a quantitative theoretical approach which consists in calibrating and simulating a general equilibrium...
Persistent link: https://www.econbiz.de/10012729226
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Inefficiency in Social Security Trust Funds Forecasts
Lahiri, Kajal; Zhang, Junyan; Zhao, Yongchen - 2021
We examine forecast accuracy and efficiency of the Social Security Administration’s projections for cost rate, trust fund balance, trust fund ratio made during 1980-2020 with horizons up to 95 years. We find that the reported deterioration in the accuracy of the forecasts during 2010’s has...
Persistent link: https://www.econbiz.de/10013313449
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An estimated two-country EA-US model with limited exchange rate pass-through
De Walque, Gregory; Jeanfils, Philippe; Lejeune, Thomas; … - 2017
We develop a two-country New Keynesian model with sticky local currency pricing,distribution costs and a demand elasticity increasing with the relative price. These features help to reduce the exchange rate pass-through to import price at the border and down the chain towards consumption price,...
Persistent link: https://www.econbiz.de/10011635009
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International inflation synchronization and implications
Chon, Sora - In: KDI-journal of economic policy 42 (2020) 2, pp. 57-84
This study analyzes global inflation synchronization and derives policy implications for the Korean economy. Unlike … previous studies that assume a single global inflation factor, this study investigates if inflation in Korea can be explained … further by other global inflation factors. Our principal component analysis provides three principal components for global …
Persistent link: https://www.econbiz.de/10012294082
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Output Growth and Monetary Policy Interaction in a Common Monetary Area : Forecasting with VEC Models in Namibia, Lesotho, South Africa and Swaziland, 1981-2004
Khamfula, Yohane - 2014
In this study, we empirically attempt to investigate output growth forecasts as a result of dynamic interplay between money supplies and output growths of Southern African Common Monetary Area (SACMA) countries using Vector Error Correction Models (VECM). In general, the results show that the...
Persistent link: https://www.econbiz.de/10014215457
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Inflation as a global phenomenon : some implications for policy analysis and forecasting
Kabukçuoglu, Ayse; Martínez-García, Enrique - 2015 - This draft: September 21, 2015
We evaluate the performance of inflation forecasts based on the open-economy Phillips curve by exploiting the spatial … pattern of international propagation of inflation. We model these spatial linkages using global inflation and either domestic … spatial interactions yields significantly more accurate forecasts of local inflation in 14 advanced countries (including the U …
Persistent link: https://www.econbiz.de/10011389395