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The Greenbook and U.S. Monetary Policy

The Greenbook and U.S. Monetary Policy »

Source: The Greenbook and U.S. Monetary Policy

Volume/Issue: 2004/213

Series: IMF Working Papers

Author(s): Robert Tchaidze

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

ISBN: 9781451874976

Keywords: Taylor rule, real-time data, inflation, real interest rate, inflation target, inflation response,

Although very attractive both theoretically and empirically, Taylor rules imply mechanical responses by the policy variable (interest rate) to fundamental ones (inflation and output gap). This study looks for empir...

Simulating Inflation Forecasting in Real-Time

Simulating Inflation Forecasting in Real-Time »

Source: Simulating Inflation Forecasting in Real-Time : How Useful Is a Simple Phillips Curve in Germany, the UK, and the US?

Volume/Issue: 2010/52

Series: IMF Working Papers

Author(s): Jens Clausen , and Bianca Clausen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451963380

Keywords: Real-time data, output gap, Phillips curve, inflation forecast, monetary policy, forecasting inflation, inflation forecasts,

This paper simulates out-of-sample inflation forecasting for Germany, the UK, and the US. In contrast to other studies, we use output gaps estimated with unrevised real-time GDP data. This exercise assumes an infor...

New Indicators for Tracking Growth in Real Time

New Indicators for Tracking Growth in Real Time »

Source: New Indicators for Tracking Growth in Real Time

Volume/Issue: 2011/43

Series: IMF Working Papers

Author(s): Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2011

ISBN: 9781455218998

Keywords: Nowcasting, Short-term forecasting, Real-time data, gdp growth, forecasting, real gdp, equation, Model Construction and Estimation, Forecasting and Other Model Applications, General Aggregative Models: Forecasting and Simulation,

We develop monthly indicators for tracking growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle...

Nowcashing: Using Daily Fiscal Data for Real-Time Macroeconomic Analysis*

Nowcashing: Using Daily Fiscal Data for Real-Time Macroeconomic Analysis* »

Source: Nowcashing: Using Daily Fiscal Data for Real-Time Macroeconomic Analysis

Volume/Issue: 2017/227

Series: IMF Working Papers

Author(s): Florian Misch , Brian Olden , Marcos Poplawski-Ribeiro , and Lamya Kejji

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 November 2017

ISBN: 9781484325933

Keywords: Fiscal policy, JEL Classification Numbers: E01, E32, H68 Keywords: Nowcashing, Real-time data, Nowcasting, Nowcashing, Forecasts of Budgets, Deficits, and Debt

Traditionally, fiscal data for policy analysis are derived from official reports that, depending on the country, are published either monthly, quarterly or annually, often with significant time lags. However, innov...

Output Gap Uncertainty and Real-Time Monetary Policy

Output Gap Uncertainty and Real-Time Monetary Policy »

Source: Output Gap Uncertainty and Real-Time Monetary Policy

Volume/Issue: 2015/14

Series: IMF Working Papers

Author(s): Francesco Grigoli , Alexander Herman , Andrew Swiston , and Gabriel Di Bella

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 January 2015

ISBN: 9781498393454

Keywords: Output gap, policy rule, data revisions, real-time, uncertainty, inflation target, business cycle, output, future, Monetary Policy (Targets

Output gap estimates are subject to a wide range of uncertainty owing to data revisions and the difficulty in distinguishing between cycle and trend in real time. This is important given the central role in monetar...

Financial Conditions Indexes for the United States and Euro Area

Financial Conditions Indexes for the United States and Euro Area »

Source: Financial Conditions Indexes for the United States and Euro Area

Volume/Issue: 2011/93

Series: IMF Working Papers

Author(s): Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455253326

Keywords: Financial Conditions, Short-term Forecasting, Real-Time Data, forecasting, bond, bond spread, government bond, bond yield, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,

Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for fore...

Real-time Forecasts of Economic Activity for Latin American Economies

Real-time Forecasts of Economic Activity for Latin American Economies »

Source: Real-time Forecasts of Economic Activity for Latin American Economies

Volume/Issue: 2011/98

Series: IMF Working Papers

Author(s): Philip Liu , Rafael Romeu , and Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455254293

Keywords: Nowcasting, Short-term forecasting, Real-time data, and Latin America, gdp growth, forecasting, real gdp, equation, equations, Model Construction and Estimation

Macroeconomic policy decisions in real-time are based the assessment of current and future economic conditions. These assessments are made difficult by the presence of incomplete and noisy data. The problem is more...

Does Fiscal Policy Affect Interest Rates? Evidence from a Factor-Augmented Panel

Does Fiscal Policy Affect Interest Rates? Evidence from a Factor-Augmented Panel »

Source: Does Fiscal Policy Affect Interest Rates? Evidence from a Factor-Augmented Panel

Volume/Issue: 2013/159

Series: IMF Working Papers

Author(s): Salvatore Dell'Erba , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 July 2013

ISBN: 9781484394502

Keywords: Real time data, Cross-sectional dependence, Heterogeneous panels, public debt, fiscal stance, budget deficits, fiscal variables, General, International Policy Coordination and Transmission, Globalization: Macroeconomic Impacts

This paper reconsiders the effects of fiscal policy on long-term interest rates employing a Factor Augmented Panel (FAP) to control for the presence of common unobservable factors. We construct a real-time dataset...

Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model

Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model »

Source: Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model

Volume/Issue: 2011/219

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463904210

Keywords: Regular and data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, real output, money demand, money balances, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models, Prices

When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Source: Data-Rich DSGE and Dynamic Factor Models

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...