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House Price Synchronization and Financial Openness: A Dynamic Factor Model Approach

House Price Synchronization and Financial Openness: A Dynamic Factor Model Approach »

Source: House Price Synchronization and Financial Openness: A Dynamic Factor Model Approach

Volume/Issue: 2018/209

Series: IMF Working Papers

Author(s): Mitsuru Katagiri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 September 2018

ISBN: 9781484378243

Keywords: International financial markets, Housing price, Dynamic factor model, Financial openness, Financial Aspects of Economic Integration

This paper investigates the developments in house price synchronization across countries by a dynamic factor model using a country- and city-level dataset, and examines what drives the synchronization. The empirica...

Forces Driving Inflation in the New EU10 Members

Forces Driving Inflation in the New EU10 Members »

Source: Forces Driving Inflation in the New EU10 Members

Volume/Issue: 2009/51

Series: IMF Working Papers

Author(s): Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

ISBN: 9781451871999

Keywords: generalized dynamic factor model, price convergence, price level, relative price, inflation process, inflation dynamics,

The paper analyzes the forces driving inflation in the new EU10 member countries. A significant part of headline inflation in these countries is due to common factors, such as price level convergence and EU integra...

Recent French Export Performance

Recent French Export Performance »

Source: Recent French Export Performance : Is There a Competitiveness Problem?

Volume/Issue: 2009/2

Series: IMF Working Papers

Author(s): Alain Kabundi , and Francisco Nadal De Simone

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

ISBN: 9781451871494

Keywords: Competitiveness, Dynamic Factor Models, fixed capital formation, capital formation, transport equipment, business cycles,

Recently, the export performance of France relative to its own past and relative to a major trading partner, Germany, deteriorated. That deterioration seems related to the geographical destination and product compo...

Inflation Differentials in the EU

Inflation Differentials in the EU »

Source: Inflation Differentials in the EU : A Common (Factors) Approach with Implications for EU8 Euro Adoption Prospects

Volume/Issue: 2008/21

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2008

ISBN: 9781451868838

Keywords: generalized dynamic factors model, euro adoption, central bank, price level, monetary policy, relative price,

This paper explores inflation determinants within the EU and implications for new members' euro adoption plans. Factor analysis partitions observed inflation in EU25 countries into common-origin and country-specifi...

The ECB's Monetary Analysis Revisited

The ECB's Monetary Analysis Revisited »

Source: The ECB's Monetary Analysis Revisited

Volume/Issue: 2008/171

Series: IMF Working Papers

Author(s): Helge Berger , Thomas Harjes , and Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2008

ISBN: 9781451870299

Keywords: ECB, monetary analysis, monetary pillar, New Keynesian model, DSGE model, P* model, Two-pillar Phillips curve, VAR model, generalized dynamic factor model, inflation

Monetary aggregates continue to play an important role in the ECB's policy strategy. This paper revisits the case for money, surveying the ongoing theoretical and empirical debate. The key conclusion is that an exc...

Sharing a Ride on the Commodities Roller Coaster

Sharing a Ride on the Commodities Roller Coaster »

Source: Sharing a Ride on the Commodities Roller Coaster : Common Factors in Business Cycles of Emerging Economies

Volume/Issue: 2015/280

Series: IMF Working Papers

Author(s): Andres Fernandez , Andres Gonzalez , and Diego Rodriguez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 December 2015

ISBN: 9781513587677

Keywords: Emerging economies, common factors, Bayesian estimation, dynamic stochastic equilibrium models, commodity, prices, price, commodity price, Open Economy Macroeconomics, International Business Cycles

Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then...

Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession

Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession »

Source: Real Sectoral Spillovers: A Dynamic Factor Analysis of the Great Recession

Volume/Issue: 2018/1000

Series: IMF Working Papers

Author(s): Nan Li , and Vance Martin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 May 2018

ISBN: 9781484354582

Keywords: Western Hemisphere, United States, Spillovers, Intersectoral Linkages, Dynamic Factor Models, Real Business Cycles, Input-output Structure, Time-Series Models, Input-Output Models

This paper studies changes in the transmission of common versus sectoral idiosyncratic shocks across different U.S. nonfarm business sectors during the Great Recession, and evaluates the cross-sectoral spillovers....

Systemic Risks and the Macroeconomy

Systemic Risks and the Macroeconomy »

Source: Systemic Risks and the Macroeconomy

Volume/Issue: 2010/29

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451962567

Keywords: Dynamic Factor Model, Quantile Regressions, bank credit, forecasting, banking, bank lending, Econometric Modeling, Business Fluctuations, And Cycles, financial Institutions And Services,

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural...

Systemic Real and Financial Risks

Systemic Real and Financial Risks »

Source: Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing

Volume/Issue: 2012/58

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463937768

Keywords: Systemic Risks, Dynamic Factor Model, Quantile Auto-regressions, Density Forecasts, forecasting, bank credit, banking, probability, Econometric Modeling, Business Fluctuations

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial...

The Information Content of Money in Forecasting Euro Area Inflation

The Information Content of Money in Forecasting Euro Area Inflation »

Source: The Information Content of Money in Forecasting Euro Area Inflation

Volume/Issue: 2008/166

Series: IMF Working Papers

Author(s): Emil Stavrev , and Helge Berger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2008

ISBN: 9781451870244

Keywords: Information content of money, inflation forecasting, New Keynesian model, DSGE model, P* model, Two-pillar Phillips curve, VAR model, general dynamic factor model, Bayesian estimation, aggregate demand

This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among...