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Estimating the Implicit Inflation Target of the South African Reserve Bank

Estimating the Implicit Inflation Target of the South African Reserve Bank »

Source: Estimating the Implicit Inflation Target of the South African Reserve Bank

Volume/Issue: 2012/177

Series: IMF Working Papers

Author(s): Nir Klein

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505252

Keywords: Taylor rule, state space models, Kalman filter, inflation, inflation target, inflation targeting, central bank,

This paper applies a state-space approach to estimate the implicit inflation target of the South African Reserve Bank (SARB) since the adoption of the Inflation Targeting (IT) framework. The paper's findings are tw...

Forecasting Inflation in Chile Using State-Space and Regime-Switching Models

Forecasting Inflation in Chile Using State-Space and Regime-Switching Models »

Source: Forecasting Inflation in Chile Using State-Space and Regime-Switching Models

Volume/Issue: 2000/162

Series: IMF Working Papers

Author(s): Francisco Nadal De Simone

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2000

ISBN: 9781451857863

Keywords: inflation forecasting, state-space models, Markov-switching, inflation target, monetary policy, inflation targeting, annual inflation

The paper estimates two time-varying parameter models of Chilean inflation: a Phillips curve model and a small open economy model. Their out-of-sample forecasts are compared with those of simple Box-Jenkins models....

Trend Inflation and Inflation Compensation

Trend Inflation and Inflation Compensation »

Source: Trend Inflation and Inflation Compensation

Volume/Issue: 2018/154

Series: IMF Working Papers

Author(s): Juan Angel Garcia , and Aubrey Poon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 July 2018

ISBN: 9781484362402

Keywords: trend inflation, market-based inflation expectations, state space model, stochastic volatility, Bayesian Analysis, Time-Series Models

This paper incorporates market-based inflation expectations to the growing literature on trend inflation estimation, and finds that there has been a significant decline in euro area trend inflation since 2013. This...

Potential Output and Output Gap in Central America, Panama and Dominican Republic

Potential Output and Output Gap in Central America, Panama and Dominican Republic »

Source: Potential Output and Output Gap in Central America, Panama and Dominican Republic

Volume/Issue: 2013/145

Series: IMF Working Papers

Author(s): Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 June 2013

ISBN: 9781484322208

Keywords: Potential growth, output gap, growth decomposition, switching, state-space model, time series, tfp, gdp growth, business cycle, General,

Potential Output is a key factor for debt sustaintability analysis and for developing strategies for growth, but unfortunately it is an unobservable variable. Using three methodologies (production function, switchi...

A Macroeconomic Approach to the Term Premium

A Macroeconomic Approach to the Term Premium »

Source: A Macroeconomic Approach to the Term Premium

Volume/Issue: 2018/140

Series: IMF Working Papers

Author(s): Emanuel Kopp , and Peter Williams

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 June 2018

ISBN: 9781484362150

Keywords: United States, Western Hemisphere, term structure of interest rates, term premium, yield curve, State Space, General, Externalities, Asymmetric and Private Information

In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to th...

Common and Idiosyncratic Components in Real Output

Common and Idiosyncratic Components in Real Output »

Source: Common and Idiosyncratic Components in Real Output : Further International Evidence

Volume/Issue: 2002/229

Series: IMF Working Papers

Author(s): Francisco Nadal De Simone

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

ISBN: 9781451875485

Keywords: common, European and idiosyncratic components, state-space Models, statistics, correlation, time series, statistic, Model Construction and Estimation, International Policy Coordination and Transmission,

This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, t...

Estimating the Implicit Inflation Target of the South African Reserve Bank

Estimating the Implicit Inflation Target of the South African Reserve Bank »

Volume/Issue: 2012/177

Series: IMF Working Papers

Author(s): Nir Klein

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

DOI: http://dx.doi.org/10.5089/9781475505252.001

ISBN: 9781475505252

Keywords: Taylor rule, state space models, Kalman filter, inflation, inflation target, inflation targeting, central bank,

This paper applies a state-space approach to estimate the implicit inflation target of the South African Reserve Bank (SARB) since the adoption of the Inflation Targeting (IT) framework. The paper's findings are tw...

Forecasting Inflation in Chile Using State-Space and Regime-Switching Models

Forecasting Inflation in Chile Using State-Space and Regime-Switching Models »

Volume/Issue: 2000/162

Series: IMF Working Papers

Author(s): Francisco Nadal De Simone

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2000

DOI: http://dx.doi.org/10.5089/9781451857863.001

ISBN: 9781451857863

Keywords: inflation forecasting, state-space models, Markov-switching, inflation target, monetary policy, inflation targeting, annual inflation

The paper estimates two time-varying parameter models of Chilean inflation: a Phillips curve model and a small open economy model. Their out-of-sample forecasts are compared with those of simple Box-Jenkins models....

Trend Inflation and Inflation Compensation

Trend Inflation and Inflation Compensation »

Volume/Issue: 2018/154

Series: IMF Working Papers

Author(s): Juan Angel Garcia , and Aubrey Poon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 July 2018

DOI: http://dx.doi.org/10.5089/9781484362402.001

ISBN: 9781484362402

Keywords: trend inflation, market-based inflation expectations, state space model, stochastic volatility, Bayesian Analysis, Time-Series Models

This paper incorporates market-based inflation expectations to the growing literature on trend inflation estimation, and finds that there has been a significant decline in euro area trend inflation since 2013. This...

Potential Output and Output Gap in Central America, Panama and Dominican Republic

Potential Output and Output Gap in Central America, Panama and Dominican Republic »

Volume/Issue: 2013/145

Series: IMF Working Papers

Author(s): Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 June 2013

DOI: http://dx.doi.org/10.5089/9781484322208.001

ISBN: 9781484322208

Keywords: Potential growth, output gap, growth decomposition, switching, state-space model, time series, tfp, gdp growth, business cycle, General,

Potential Output is a key factor for debt sustaintability analysis and for developing strategies for growth, but unfortunately it is an unobservable variable. Using three methodologies (production function, switchi...