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Practical Model-Based Monetary Policy Analysis »
Source: Practical Model-Based Monetary Policy Analysis : A How-To Guide
Volume/Issue: 2006/81
Series: IMF Working Papers
Author(s): Douglas Laxton , Andrew Berg , and Philippe Karam
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2006
ISBN: 9781451863413
Keywords: Forecasting and Simulation, Model construction and estimation, computational techniques, inflation, aggregate demand, monetary fund, real interest rate,
This paper provides a how-to guide to model-based forecasting and monetary policy analysis. It describes a simple structural model, along the lines of those in use in a number of central banks. This workhorse model...
Solving and Estimating Indeterminate DSGE Models1 »
Source: Solving and Estimating Indeterminate DSGE Models
Volume/Issue: 2013/200
Series: IMF Working Papers
Author(s): Roger Farmer , and Vadim Khramov
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 October 2013
ISBN: 9781475589214
Keywords: Indeterminacy, DSGE Models, Expectational Errors, model, models, software, literature, press, General, Estimation
We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare...
Subordinated Levy Processes and Applications to Crude Oil Options »
Source: Subordinated Levy Processes and Applications to Crude Oil Options
Volume/Issue: 2005/174
Series: IMF Working Papers
Author(s): Noureddine Krichene
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 2005
ISBN: 9781451861938
Keywords: Characteristic functions, Esscher transform, Fourier transform, Inverse problem, Levy processes, Risk-neutral density, Volatility, crude oil, martingale, probability
One approach to oil markets is to treat oil as an asset, besides its role as a commodity. Speculative and nonspeculative activity by investors in the derivatives markets could be responsible for a sizable increase...
Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) »
Source: Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)
Volume/Issue: 2006/134
Series: IMF Working Papers
Author(s): Kexue Liu , Jean Salvati , Renzo Avesani , and Alin Mirestean
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2006
ISBN: 9781451863949
Keywords: portfolio credit risk, default probabilities, Poisson distribution, Bernoulli distribution, probabilities, credit risk, probability, equation, probability distribution, Financial Institutions and Services: General
The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. Fi...
Exploration of the Brazilian Term Structure in a Hidden Markov Framework »
Source: Exploration of the Brazilian Term Structure in a Hidden Markov Framework
Volume/Issue: 2011/22
Series: IMF Working Papers
Author(s): Richard Munclinger
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2011
ISBN: 9781455211937
Keywords: Term Structure, Hidden Markov Models, MCMC, ATSM, parameters, probability, forecasting, covariance, statistics, Bayesian Analysis
We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics...
Tracking Short-Term Dynamics of Economic Activity in Low-Income Countries in the Absence of High-Frequency Gdp Data »
Source: Tracking Short-Term Dynamics of Economic Activity in Low-Income Countries in the Absence of High-Frequency Gdp Data
Volume/Issue: 2012/119
Series: IMF Working Papers
Author(s): S. V. S. Dixit , and Maxwell Opoku-Afari
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2012
ISBN: 9781475503487
Keywords: Short-Term Dynamics, Economic Activity, GDP, paper, correlation, forecasting, time series, standard deviations, Econometric and Statistical Methods: Other, Computational Techniques
This paper uses a set of routinely collected high-frequency data in low-income countries (LICs) to construct an aggregate and a comprehensive index of economic activity which could serve (i) as a measure of the dir...
Reviving the Competitive Storage Model »
Source: Reviving the Competitive Storage Model : A Holistic Approach to Food Commodity Prices
Volume/Issue: 2011/64
Series: IMF Working Papers
Author(s): Norbert Funke , Weifeng Wu , and Yanliang Miao
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2011
ISBN: 9781455228065
Keywords: Food commodity prices, Competitive storage model, Rational expectation equilibrium, real interest rate, price elasticity, kurtosis, skewness, real interest rates, Computational Techniques,
We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating...
The Design of Fiscal Adjustment Strategies in Botswana, Lesotho, Namibia, and Swaziland »
Source: The Design of Fiscal Adjustment Strategies in Botswana, Lesotho, Namibia, and Swaziland
Volume/Issue: 2011/266
Series: IMF Working Papers
Author(s): Luis-Felipe Zanna , Olivier Basdevant , Susan Yang , Genevieve Verdier , Joannes Mongardini , Borislava Mircheva , and Dalmacio Benicio
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2011
ISBN: 9781463924652
Keywords: fiscal multipliers, SACU transfers, fiscal consolidation, consumption tax, government spending, fiscal consolidations, consumption tax rate, Computational Techniques, National Budget, Deficit
Botswana, Lesotho, Namibia, and Swaziland face the serious challenge of adjusting not only to lower Southern Africa Customs Union (SACU) transfers because of the global economic crisis, but also to a potential furt...
An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia »
Source: An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia
Volume/Issue: 2016/22
Series: IMF Working Papers
Author(s): Ken Miyajima
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 12 February 2016
ISBN: 9781498330329
Keywords: Macro-financial linkages, nonperforming loans, panel vector autoregression, interest, oil prices, revenues, loans, Computational Techniques, Financial Markets and the Macroeconomy, Government Policy and Regulation,
Oil-macro-financial linkages in Saudi Arabia are analyzed by applying panel econometric frameworks (multivariate and vector autoregression) to maceoeconomic and bank-level balance sheet data for 9 banks spanning 19...
Asset Prices in Affine Real Business Cycle Models* »
Source: Asset Prices in Affine Real Business Cycle Models
Volume/Issue: 2010/249
Series: IMF Working Papers
Author(s): Maral Shamloo , and Aytek Malkhozov
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2010
ISBN: 9781455209491
Keywords: Stochastic Volatility, Perturbation Methods, perturbation, consumption growth, equation, equations, calibration, Computational Techniques, Computable General Equilibrium Models, Prices
We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility....