Search Results

You are looking at 1 - 10 of 92 items

  • Keyword: factor models. x
Clear All Modify Search
The Comovement in Commodity Prices

The Comovement in Commodity Prices »

Source: The Comovement in Commodity Prices : Sources and Implications

Volume/Issue: 2013/140

Series: IMF Working Papers

Author(s): Ron Alquist , and Olivier Coibion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 June 2013

ISBN: 9781484378144

Keywords: comovement, factor models, factor analysis, global production, agricultural commodities, idiosyncratic shocks, International Business Cycles, comovement: factor models,

We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the co...

Are Financial Crises Alike?

Are Financial Crises Alike? »

Source: Are Financial Crises Alike?

Volume/Issue: 2010/14

Series: IMF Working Papers

Author(s): Chrismin Tang , Mardi Dungey , Vance Martin , Brenda Gonzalez-Hermosillo , and Renee Fry

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451962086

Keywords: Contagion, Factor models, bond, bonds, bond markets, stock markets,

This paper investigates whether financial crises are alike by considering whether a single modeling framework can fit multiple distinct crises in which contagion effects link markets across national borders and ass...

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...

Trade Patterns Among Industrial Countries

Trade Patterns Among Industrial Countries »

Source: Trade Patterns Among Industrial Countries : Their Relationship to Technology Differences and Capital Mobility

Volume/Issue: 2004/23

Series: IMF Working Papers

Author(s): Mika Saito

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451844078

Keywords: total factor productivity, labor productivity, capital mobility, neoclassical trade model, equation, statistic, cointegration, correlation, total factor prod,

This paper compares two alternative measures of technology differences across industrial countries during 1970-92: one measures differences in labor productivity (the Ricardian measure), and the other differences i...

Benchmark Priors Revisited

Benchmark Priors Revisited »

Source: Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Volume/Issue: 2009/202

Series: IMF Working Papers

Author(s): Martin Feldkircher , and Stefan Zeugner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873498

Keywords: Bayesian model averaging, hyper-g prior, shrinkage factor, Zellner&;amp;#x2019;s g prior, model uncertainty, growth econometrics, noise, probabilities, statistics, bayes factor

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and...

After the Crisis

After the Crisis »

Source: After the Crisis : Assessing the Damage in Italy

Volume/Issue: 2010/244

Series: IMF Working Papers

Author(s): Silvia Sgherri , and Hanan Morsy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209446

Keywords: productivity growth, output losses, unemployment, total factor productivity, tfp, employment, real gdp, Multiple or Simultaneous Equation Models: Time-Series Models,

Italy's deep-rooted structural problems resulted in an unsatisfactory productivity performance and a dismal growth over the last 15 years. The global financial crisis has exacerbated these long-standing weaknesses,...

Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System

Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System »

Source: Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System

Volume/Issue: 2008/89

Series: IMF Working Papers

Author(s): Dale Gray , and James Walsh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869507

Keywords: contingent claims analysis, factor model, VAR, probability, banking, probabilities, probability of default, correlation,

This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomi...

Tales From Two Neighbors

Tales From Two Neighbors »

Source: Tales From Two Neighbors : Productivity Growth in Canada and the United States

Volume/Issue: 2000/169

Series: IMF Working Papers

Author(s): Martin Cerisola , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2000

ISBN: 9781451858334

Keywords: Equipment Investment, General Equilibrium Model, isp, tfp, total factor productivity, technologies, growth rate

This paper assesses productivity trends in Canada vis-a-vis the United States from two perspectives. The first one is based on estimates of total factor productivity. The second one decomposes productivity growth i...

A World Trade Leading Index (WTLI)

A World Trade Leading Index (WTLI) »

Source: A World Trade Leading Index (WTLI)

Volume/Issue: 2015/20

Series: IMF Working Papers

Author(s): Karim Barhoumi , and Laurent Ferrara

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 January 2015

ISBN: 9781498307543

Keywords: factor models., trade, growth rate, variables, Trade Forecasting and Simulation, Forecasting and Simulation,

This paper develops a new monthly World Trade Leading Indicator (WTLI) that relies on nonparametric and parametric approaches. Compared to the CPB World Trade Monitor's benchmark indicator for global trade the WTLI...

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...