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Monetary Policy and the Lost Decade

Monetary Policy and the Lost Decade »

Source: Monetary Policy and the Lost Decade : Lessons from Japan

Volume/Issue: 2009/232

Series: IMF Working Papers

Author(s): Daniel Leigh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873795

Keywords: liquidity trap, Bayesian econometrics, inflation, inflation target, price level, nominal interest rates,

This paper investigates how monetary policy can help ward off a protracted deflationary slump when policy rates are near the zero bound by studying the experience of Japan during the "Lost Decade" which followed th...

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model »

Source: Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Volume/Issue: 2011/230

Series: IMF Working Papers

Author(s): Huigang Chen , Alin Mirestean , and Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463921309

Keywords: Bayesian Model Averaging, model uncertainty, dynamic panels, Generalized Method of Moments, gravity model, probability, probabilities, econometrics, equation, sample size

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Mod...

Country and Industry Dynamics in Stock Returns

Country and Industry Dynamics in Stock Returns »

Source: Country and Industry Dynamics in Stock Returns

Volume/Issue: 2003/52

Series: IMF Working Papers

Author(s): Luis Catão , and Allan Timmermann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451847277

Keywords: Diversification, Risk, Volatility States, Regime Switching, correlations, probabilities, stock returns, covariances, correlation, Bayesian Analysis

A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure thes...

Growth Determinants Revisited

Growth Determinants Revisited »

Source: Growth Determinants Revisited

Volume/Issue: 2009/268

Series: IMF Working Papers

Author(s): Charalambos Tsangarides , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874136

Keywords: growth regressions, Bayesian Model Averaging, dynamic panel estimation, limited information estimation, probability, econometrics, probabilities, equation, growth model,

This paper revisits the cross-country growth empirics debate using a novel Limited Information Bayesian Model Averaging framework to address model uncertainty in the context of a dynamic growth model in panel data...

Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods

Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods »

Source: Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods

Volume/Issue: 2009/74

Series: IMF Working Papers

Author(s): Alin Mirestean , Charalambos Tsangarides , and Huigang Chen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872217

Keywords: Bayesian Model Averaging, Model Uncertainty, Dynamic Panels, Generalized Method of Moments, Robustness, probability, probabilities, econometrics, sample size, equation,

Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent variable as well a...

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....

The Future of Oil

The Future of Oil »

Source: The Future of Oil : Geology Versus Technology

Volume/Issue: 2012/109

Series: IMF Working Papers

Author(s): Marcelle Chauvet , Jack Selody , Douglas Laxton , Michael Kumhof , Jaromir Benes , Ondrej Kamenik , and Susanna Mursula

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

ISBN: 9781475503302

Keywords: Hubbert&;amp;#x2019;s Peak, Bayesian econometrics, oil supply, oil demand, world oil production, Bayesian Analysis, Forecasting and Other Model Applications, Nonrenewable Resources and Conservation: Demand and Supply, Exhaustible Resources and Economic Development,

We discuss and reconcile two diametrically opposed views concerning the future of world oil production and prices. The geological view expects that physical constraints will dominate the future evolution of oil out...

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...

Benchmark Priors Revisited

Benchmark Priors Revisited »

Source: Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Volume/Issue: 2009/202

Series: IMF Working Papers

Author(s): Martin Feldkircher , and Stefan Zeugner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873498

Keywords: Bayesian model averaging, hyper-g prior, shrinkage factor, Zellner&;amp;#x2019;s g prior, model uncertainty, growth econometrics, noise, probabilities, statistics, bayes factor

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and...

What Drives Credit Growth in Emerging Asia?

What Drives Credit Growth in Emerging Asia? »

Source: What Drives Credit Growth in Emerging Asia?

Volume/Issue: 2012/43

Series: IMF Working Papers

Author(s): Fei Han , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463936440

Keywords: rapid credit growth, emerging Asia, SVAR, Bayesian estimation, sign restrictions, aggregate demand, domestic monetary policy, inflation, financial stability, What Drives Credit Growth in Emerging Asia?

This paper seeks to uncover the main drivers of credit growth in emerging Asia using a multi-country structural vector autoregressive (SVAR) model. Taking a novel approach, we developed a two-block SVAR whereby sho...