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A Simple Forecasting Accuracy Criterion Under Rational Expectations

A Simple Forecasting Accuracy Criterion Under Rational Expectations »

Source: A Simple Forecasting Accuracy Criterion Under Rational Expectations : Evidence From the World Economic Outlook and Time Series Models

Volume/Issue: 1992/48

Series: IMF Working Papers

Author(s): José Barrionuevo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1992

ISBN: 9781451972238

Keywords: time series, time series models, statistics, forecasting, statistic

A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expecta...

Financial Development and Economic Growth

Financial Development and Economic Growth »

Source: Financial Development and Economic Growth : An Economic Analysis for Singapore

Volume/Issue: 1996/15

Series: IMF Working Papers

Author(s): Lamin Leigh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1996

ISBN: 9781451843217

Keywords: equation, statistics, growth model, time series, cointegration

With the emergence of the rapidly expanding literature on endogenous growth, the relationship between financial development and economic growth has received a new source of inspiration. Recent cointegration techniq...

System Priors for Econometric Time Series1

System Priors for Econometric Time Series1 »

Source: System Priors for Econometric Time Series

Volume/Issue: 2016/231

Series: IMF Working Papers

Author(s): Michal Andrle , and Miroslav Plašil

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 November 2016

ISBN: 9781475555820

Keywords: Time series, system priors, Bayesian analysis, Methodological Issues: General, Time-Series Models, Model Construction and Estimation

The paper introduces 'system priors', their use in Bayesian analysis of econometric time series, and provides a simple and illustrative application. System priors were devised by Andrle and Benes (2013) as a tool t...

Macroeconomic Fluctuations and Equilibrium Discount Factors

Macroeconomic Fluctuations and Equilibrium Discount Factors »

Source: Macroeconomic Fluctuations and Equilibrium Discount Factors

Volume/Issue: 1996/118

Series: IMF Working Papers

Author(s): Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1996

ISBN: 9781451940886

Keywords: time series, stock returns, stochastic discount, statistics, linear model

The estimation of discount factors is a central issue in empirical finance, particularly in the literature on excess volatility. In particular, it is difficult to find empirical discount factors that are volatile e...

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...

Money Demand in the Euro Area

Money Demand in the Euro Area »

Source: Money Demand in the Euro Area : Where Do We Stand (Today)?

Volume/Issue: 2002/185

Series: IMF Working Papers

Author(s): Zenon Kontolemis

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2002

ISBN: 9781451859423

Keywords: EMU, Taylor Rule, Cointegration, inflation, equation, equations, Multiple or Simultaneous Equation Models: Time-Series Models,

The paper reviews the stability of long-run money demand in the euro area in the light of recent revisions to M3 data. The analysis confirms the existence of a stable long-run money demand, although the estimated e...

Assessing the Variability of Tax Elasticities in Lithuania

Assessing the Variability of Tax Elasticities in Lithuania »

Source: Assessing the Variability of Tax Elasticities in Lithuania

Volume/Issue: 2011/270

Series: IMF Working Papers

Author(s): Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463925222

Keywords: tax revenues, tax compliance, tax system, Multiple or Simultaneous Equation Models: Time-Series Models,

This paper quantifies the variability of tax elasticities in Lithuania using two alternative methods: rolling regressions and pooled mean group estimator. The analysis is motivated by the systematic variation of ta...

Inflation and Monetary Pass-Through in Guinea

Inflation and Monetary Pass-Through in Guinea »

Source: Inflation and Monetary Pass-Through in Guinea

Volume/Issue: 2004/223

Series: IMF Working Papers

Author(s): Rodolphe Blavy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2004

ISBN: 9781451875324

Keywords: cointegration, error correction model, price level, money growth, Multiple or Simultaneous Equation Models: Time-Series Models, Economywide Country Studies: Africa,

The paper analyzes the dynamics of inflation in Guinea during 1992-2003 applying cointegration and error-correction modeling to a bivariate model that includes consumer price and monetary variables. The empirical r...

Monetary Policy and Inflation Dynamics in ASEAN Economies

Monetary Policy and Inflation Dynamics in ASEAN Economies »

Source: Monetary Policy and Inflation Dynamics in ASEAN Economies

Volume/Issue: 2018/147

Series: IMF Working Papers

Author(s): Geraldine Dany-Knedlik , and Juan Angel Garcia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 June 2018

ISBN: 9781484363041

Keywords: Inflation expectations, Monetary policy, Phillips curve, ASEAN countries, Time-Series Models, General

This paper investigates the evolution of inflation dynamics in the five largest ASEAN countries between 1997 and 2017. To account for changes in the monetary policy frameworks since the Asian Financial Crisis (AFC)...

Variance Decomposition Networks

Variance Decomposition Networks »

Source: Variance Decomposition Networks : Potential Pitfalls and a Simple Solution

Volume/Issue: 2017/107

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 May 2017

ISBN: 9781475598407

Keywords: Systemic risk, Interconnectedness, networks, regularization techniques, global financial system, variance decomposition, VAR, Time-Series Models, Other

Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depe...