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Fiscal Spillovers in the Euro Area: Letting the Data Speak

Fiscal Spillovers in the Euro Area: Letting the Data Speak »

Source: Fiscal Spillovers in the Euro Area: Letting the Data Speak

Volume/Issue: 2017/241

Series: IMF Working Papers

Author(s): Era Dabla-Norris , Pietro Dallari , and Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 November 2017

ISBN: 9781484328262

Keywords: Fiscal Spillovers; Bayesian Methods; Fiscal Multipliers, Panel VAR, Fiscal Spillovers, Bayesian Methods, Fiscal Multipliers, Bayesian Analysis, Models with Panel Data

We estimate a panel VAR model that captures cross-country, dynamic interlinkages for 10 euro area countries using quarterly data for the period 1999-2016. Our analysis suggests that fiscal spillovers are significan...

System Priors: Formulating Priors about DSGE Models' Properties1

System Priors: Formulating Priors about DSGE Models' Properties1 »

Source: System Priors : Formulating Priors about DSGE Models' Properties

Volume/Issue: 2013/257

Series: IMF Working Papers

Author(s): Michal Andrle , and Jaromir Benes

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 December 2013

ISBN: 9781484318379

Keywords: system priors, Bayesian inference, DSGE, smell test, parameters, inflation, monetary economics, Bayesian Analysis, Forecasting and Simulation,

This paper proposes a novel way of formulating priors for estimating economic models. System priors are priors about the model's features and behavior as a system, such as the sacrifice ratio or the maximum duratio...

Policy, Risk and Spillover Analysis in the World Economy

Policy, Risk and Spillover Analysis in the World Economy »

Source: Policy, Risk and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Volume/Issue: 2017/89

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 April 2017

ISBN: 9781475592757

Keywords: Monetary policy analysis; Fiscal policy analysis; Macroprudential policy analysis; Spillover analysis; Forecasting; World economy; Bayesian econometrics, Monetary policy analysis, Fiscal policy analysis, Macroprudential policy analysis, Spillover analysis, Forecasting, World economy, Bayesian econometrics, Bayesian Analysis, Models with Panel Data

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis....

Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model

Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model »

Source: Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model : What is Important and What is Not

Volume/Issue: 2006/177

Series: IMF Working Papers

Author(s): Vicente Tuesta , and Pau Rabanal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2006

ISBN: 9781451864373

Keywords: Bayesian estimation, model comparison, exchange rate, real exchange rate, inflation, monetary policy, Bayesian Analysis, Open Economy Macroeconomics, U.s. Dollar,

We use a Bayesian approach to estimate a standard two-country New Open Economy Macroeconomics model using data for the United States and the euro area, and we perform model comparisons to study the importance of de...

The Cost Channel of Monetary Policy

The Cost Channel of Monetary Policy »

Source: The Cost Channel of Monetary Policy : Further Evidence for the United States and the Euro Area

Volume/Issue: 2003/149

Series: IMF Working Papers

Author(s): Pau Rabanal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2003

ISBN: 9781451856910

Keywords: Price Puzzle, New Keynesian Models, Bayesian Methods, nominal interest rate, central bank, monetary economics, Bayesian Analysis, Simulation Methods, Price-Puzzle,

This paper estimates the importance of the cost channel of monetary policy in a New Keynesian model of the business cycle. A model with nominal rigidities is extended by assuming that a fraction of firms need to bo...

The Transmission Mechanism of European Monetary Policy

The Transmission Mechanism of European Monetary Policy »

Source: The Transmission Mechanism of European Monetary Policy : Is There Heterogeneity? Is it Changing over Time?

Volume/Issue: 2002/54

Series: IMF Working Papers

Author(s): Matteo Ciccarelli , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2002

ISBN: 9781451847529

Keywords: Bayesian estimation, European monetary policy, Gibbs sampling, Heterogeneity, Transmission mechanism, inflation, central bank, monetary transmission, Multiple or Simultaneous Equation Models: Models with Panel Data, Bayesian Analysis

This paper investigates the transmission mechanism of monetary policy in the four largest euro area countries by means Bayesian estimation of dynamic econometric models. Based on pre-EMU evidence from Germany, Fran...

Macrofinancial Analysis in the World Economy

Macrofinancial Analysis in the World Economy »

Source: Macrofinancial Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Volume/Issue: 2015/227

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 October 2015

ISBN: 9781513537429

Keywords: Monetary policy analysis, Fiscal policy analysis, Macroprudential policy analysis, Spillover analysis, Forecasting, World economy, Bayesian econometrics, financial variables, demand, risk

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and rea...

System Priors for Econometric Time Series1

System Priors for Econometric Time Series1 »

Source: System Priors for Econometric Time Series

Volume/Issue: 2016/231

Series: IMF Working Papers

Author(s): Michal Andrle , and Miroslav Plašil

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 November 2016

ISBN: 9781475555820

Keywords: Time series, system priors, Bayesian analysis, Methodological Issues: General, Time-Series Models, Model Construction and Estimation

The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool t...

Trend Inflation and Inflation Compensation

Trend Inflation and Inflation Compensation »

Source: Trend Inflation and Inflation Compensation

Volume/Issue: 2018/154

Series: IMF Working Papers

Author(s): Juan Angel Garcia , and Aubrey Poon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 July 2018

ISBN: 9781484362402

Keywords: trend inflation, market-based inflation expectations, state space model, stochastic volatility, Bayesian Analysis, Time-Series Models

This paper incorporates market-based inflation expectations to the growing literature on trend inflation estimation, and finds that there has been a significant decline in euro area trend inflation since 2013. This...

Estimates of the Output Gap in Armenia with Applications to Monetary and Fiscal Policy1

Estimates of the Output Gap in Armenia with Applications to Monetary and Fiscal Policy1 »

Source: Estimates of the Output Gap in Armenia with Applications to Monetary and Fiscal Policy

Volume/Issue: 2010/197

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455205271

Keywords: Bayesian Analysis, New Keynesian Phillips Curve, Cyclically-Adjusted Balance, Fiscal Stance, Fiscal Impulse, fiscal balance,

This paper employs several econometric techniques to estimate the Armenian output gap. The findings indicate that the output gap is significantly positive in 2007 and 2008 and decreased dramatically in 2009. The pa...