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Empirical Exchange Rate Models of the Nineties

Empirical Exchange Rate Models of the Nineties »

Source: Empirical Exchange Rate Models of the Nineties : Are Any Fit to Survive?

Volume/Issue: 2004/73

Series: IMF Working Papers

Author(s): Yin-Wong Cheung , Antonio Garcia Pascual , and Menzie Chinn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451849493

Keywords: monetary model, forecasting performance, exchange rate, forecasting, random walk, statistic, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity...

The Macroeconomics of De-Cashing

The Macroeconomics of De-Cashing »

Source: The Macroeconomics of De-Cashing

Volume/Issue: 2017/71

Series: IMF Working Papers

Author(s): Alexei Kireyev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 March 2017

ISBN: 9781475589252

Keywords: cash, currency, demonetization, Forecasting and Simulation, General, International Policy Coordination and Transmission, Globalization: Finance

The paper presents a simple framework for the analysis of the macroeconomic implications of de-cashing. Defined as replacing paper currency with convertible deposits, de-cashing would affect all key macroeconomic s...

Coincident Indicators of Capital Flows1

Coincident Indicators of Capital Flows1 »

Source: Coincident Indicators of Capital Flows

Volume/Issue: 2012/55

Series: IMF Working Papers

Author(s): Malika Pant , and Yanliang Miao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463937737

Keywords: Coincident Indicators, Capital Tracker, net capital flows, net capital, capital inflows, International Finance Forecasting and Simulation,

Capital flows data from Balance of Payments statistics often lag 3-6 months, which renders timely surveillance and policy deliberation difficult. To address the tension, we propose two coincident composite indicato...

An Evaluation of the World Economic Outlook Forecasts

An Evaluation of the World Economic Outlook Forecasts »

Source: An Evaluation of the World Economic Outlook Forecasts

Volume/Issue: 2006/59

Series: IMF Working Papers

Author(s): Allan Timmermann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

ISBN: 9781451863192

Keywords: Global economic condition, forecast performance, and evaluation, inflation, statistics, correlation, inflation forecasts, General Aggregative Models: Forecasting and Simulation, Prices, Business Fluctuations

The World Economic Outlook (WEO) is a key source of forecasts of global economic conditions. It is therefore important to review the performance of these forecasts against both actual outcomes and alternative forec...

Currency Crises in Developed and Emerging Market Economies

Currency Crises in Developed and Emerging Market Economies »

Source: Currency Crises in Developed and Emerging Market Economies : A Comparative Empirical Treatment

Volume/Issue: 2005/13

Series: IMF Working Papers

Author(s): Thomson Fontaine

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2005

ISBN: 9781451860320

Keywords: exchange rate, contagion, currency crisis, fixed exchange rate, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

This paper takes a step in empirically testing the implications of a number of theoretical models that attempt to highlight the dynamics behind currency crises. By focusing on countries with broadly disparate econo...

Macroeconomic Effects and Policy Challenges of Population Aging

Macroeconomic Effects and Policy Challenges of Population Aging »

Source: Macroeconomic Effects and Policy Challenges of Population Aging

Volume/Issue: 2006/95

Series: IMF Working Papers

Author(s): Hamid Faruqee , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

ISBN: 9781451863550

Keywords: simulation, general equilibrium model, dependency ratio, labor income, labor force, retirement, birth, Social Security and Public Pensions, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

This paper simulates the macroeconomic effects of population aging in a dynamic overlapping generations model of a small open economy. The model is calibrated to data for the Czech Republic, where population aging...

Structural Reforms in the Euro Area

Structural Reforms in the Euro Area »

Source: Structural Reforms in the Euro Area : Economic Impact and Role of Synchronization Across Markets and Countries

Volume/Issue: 2006/137

Series: IMF Working Papers

Author(s): Luc Everaert , and Werner Schule

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451863970

Keywords: markups, labor market, real interest rate, nominal interest rate, inflation, Forecasting and Other Model Applications, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Using the IMF's Global Economic Model, calibrated to the European Union, the effects of reform in product and labor markets are quantified for both a large and a small euro area economy. When markups in these marke...

Regional Trade Arrangements in Africa

Regional Trade Arrangements in Africa »

Source: Regional Trade Arrangements in Africa : Past Performance and the Way Forward

Volume/Issue: 2005/36

Series: IMF Working Papers

Author(s): Yongzheng Yang , and Sanjeev Gupta

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2005

ISBN: 9781451860559

Keywords: Regional Trade Arrangements, regional integration, regional trade, trade liberalization, intraregional trade, Simulation Methods, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Regional trade arrangements (RTAs) in Africa have been ineffective in promoting trade and foreign direct investment. Relatively high external trade barriers and low resource complementarity between member countries...

Autocorrelation-Corrected Standard Errors in Panel Probits

Autocorrelation-Corrected Standard Errors in Panel Probits »

Source: Autocorrelation-Corrected Standard Errors in Panel Probits : An Application to Currency Crisis Prediction

Volume/Issue: 2004/39

Series: IMF Working Papers

Author(s): Andrew Berg , and Rebecca Coke

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

ISBN: 9781451845860

Keywords: Currency crisis, early-warning systems, serial correlation, panel probit, standard errors, bootstrap, standard error, correlation, Simulation Methods, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magn...

Monetary Policy in Low Income Countries in the Face of the Global Crisis

Monetary Policy in Low Income Countries in the Face of the Global Crisis »

Source: Monetary Policy in Low Income Countries in the Face of the Global Crisis : The Case of Zambia

Volume/Issue: 2012/94

Series: IMF Working Papers

Author(s): Jaromir Benes , Andrew Berg , Rafael Portillo , Mai Dao , and Alfredo Baldini

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2012

ISBN: 9781475502848

Keywords: Global Financial Crisis, Low-Income Countries, inflation, terms of trade, aggregate demand, money growth, International Finance Forecasting and Simulation,

We develop a DSGE model with a banking sector to analyze the impact of the financial crisis on Zambia and the role of the monetary policy response. We view the crisis as a combination of three related shocks: a wor...