In monetary policy strategies geared towards maintaining price stability conditional and unconditional forecasts of inflation and output play an important role. This paper illustrates how modern sticky-price dynamic stochastic general equilibrium models, estimated using Bayesian techniques, can...

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...

This paper presents the blueprint of a new ECB multi-country model. The version documented in the following pages is estimated on euro area data. As a prelude to the country models, this version is meant to enhance the understanding of the main model mechanisms, enlarge the suite of area wide...

This paper describes NEMO, the main dynamic stochastic general equilibrium model used at Norges Bank for monetary policy analysis and forecasting. NEMO has been used to identify the sources of business cycle fluctuations in Norway, to conduct scenario analysis, to produce macroeconomic...

The foreign exchange reserves of the Central African Economic and Monetary Community (CEMAC) countries have decreased since the fall of world oil price that began in July 2014. In fact, five of the six of the CEMAC countries are oil producers. Based on interrupted time series modeling, the...

Central banks' operations and efficiency arguments would suggest that the intraday interest rate should be set to zero. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially...

The aim of this paper is to find out the forecasting model that is the one, which gives the best output of forecasting. So that policy makers can be benefited from this research. Thus, this research will also evaluate the performance of ARMA, and Box-Jenkins (ARIMA) forecasting models for KIBOR...

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of commonly applied, simple monetary policy rules. I...

Analysis of bank lending surveys in the USA and Europe and their predictive power in credit creation and subsequent GDP growth is examined. OLS as well as vector autoregression models are applied. Results indicate that lending surveys in Europe are better predictors of credit in the economy and...

We have studied the comparative performance of a number of interest rate spreads as predictors of the German inflation and business cycle in the post Bretton Woods era. The two-regime Markov switch model that we used as a nonlinear filter allows the dynamic behavior of the economy to vary...