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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...

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...

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...

Statistical Inference as a Bargaining Game

Statistical Inference as a Bargaining Game »

Source: Statistical Inference as a Bargaining Game

Volume/Issue: 2002/81

Series: IMF Working Papers

Author(s): Eduardo Ley

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 May 2002

ISBN: 9781451850376

Keywords: Social Welfare Function, Social Information Function, Contract Curve, Nash bargaining solution, Bayesian Inference, Posterior Mode, bargaining, welfare function, social welfare, statistics

This paper extends the analogy, previously established by Learner (1978a), between a Bayesian inference problem and an economics allocation problem to show that posterior modes can be interpreted as optimal outcome...

Shock Therapy! What Role for Thai Monetary Policy?

Shock Therapy! What Role for Thai Monetary Policy? »

Source: Shock Therapy! What Role for Thai Monetary Policy?

Volume/Issue: 2012/269

Series: IMF Working Papers

Author(s): Harun Alp , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 November 2012

ISBN: 9781475542851

Keywords: financial accelerator, Bayesian estimation, DSGE model, global financial crisis, Thai floods, emerging markets, exchange rate, inflation, exchange rate regime, emerging markets.

Thailand had to endure three major shocks during 2008-2011: the global financial crisis, the Japanese earthquake, and the Thai floods of 2011. Over this period, consistent with its inflation targeting framework, th...

Short-Term Forecasting

Short-Term Forecasting »

Source: Short-Term Forecasting : Projecting Italian GDPone Quarter to Two Years Ahead

Volume/Issue: 2001/109

Series: IMF Working Papers

Author(s): Matteo Iacoviello

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

ISBN: 9781451853216

Keywords: Bayesian Vector Autoregressions, survey, gdp growth, equation, correlation, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,

This paper presents a "bridge model" for short-run (one or two quarters ahead) forecasting of Italian GDP, relying on industrial production and survey indicators as key variables that can help in providing a real-t...

Measuring Disinflation Credibility in Emerging Markets

Measuring Disinflation Credibility in Emerging Markets »

Source: Measuring Disinflation Credibility in Emerging Markets : A Bayesian Approach with An Application to Turkey

Volume/Issue: 2004/208

Series: IMF Working Papers

Author(s): Alessandro Rebucci , and Marco Rossi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

ISBN: 9781451874730

Keywords: Bayesian Learning, Credibility, Mixing Estimation, inflation, monetary policy, inflation process, inflation rate, inflation targeting, Bayesian Analysis, International Finance Forecasting and Simulation,

This paper presents an empirical measure of disinflation credibility and discusses its evolution in Turkey since the 2001 crisis. The results indicate that credibility has improved markedly over this period, boding...

How External Factors Affect Domestic Economy

How External Factors Affect Domestic Economy »

Source: How External Factors Affect Domestic Economy : Nowcasting an Emerging Market

Volume/Issue: 2015/269

Series: IMF Working Papers

Author(s): Serhat Solmaz , and Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2015

ISBN: 9781513598987

Keywords: Nowcasting, Bayesian estimation, VAR, Emerging Market, economy, domestic economy, risk, economies, external factors, Bayesian Analysis

External headwinds, together with domestic vulnerabilities, have loomed over the prospects of emerging markets in recent years. We propose an empirical toolbox to quantify the impact of external macro-financial sho...