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Measuring Global and Country-Specific Uncertainty

Measuring Global and Country-Specific Uncertainty »

Source: Measuring Global and Country-Specific Uncertainty

Volume/Issue: 2017/219

Series: IMF Working Papers

Author(s): Ezgi Ozturk , and Xuguang Simon Sheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

ISBN: 9781484316597

Keywords: Capital Asset Pricing Model; Common Uncertainty; Consensus Forecasts; Idiosyncratic Uncertainty; Global Uncertainty; Survey Forecast, Capital Asset Pricing Model, Common Uncertainty, Consensus Forecasts, Idiosyncratic Uncertainty, Global Uncertainty, Survey Forecast

Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Foreca...

Forecast Errors and Uncertainty Shocks

Forecast Errors and Uncertainty Shocks »

Source: Forecast Errors and Uncertainty Shocks

Volume/Issue: 2016/228

Series: IMF Working Papers

Author(s): Sylwia Nowak , and Pratiti Chatterjee

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 November 2016

ISBN: 9781475555523

Keywords: Forecasting, common factors, uncertainty, Forecasting and Other Model Applications, Criteria for Decision-Making under Risk and Uncertainty

Macroeconomic forecasts are persistently too optimistic. This paper finds that common factors related to general uncertainty about U.S. macrofinancial prospects and global demand drive this overoptimism. These comm...

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model »

Source: Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Volume/Issue: 2011/230

Series: IMF Working Papers

Author(s): Huigang Chen , Alin Mirestean , and Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463921309

Keywords: Bayesian Model Averaging, model uncertainty, dynamic panels, Generalized Method of Moments, gravity model, probability, probabilities, econometrics, equation, sample size

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Mod...

Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods

Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods »

Source: Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods

Volume/Issue: 2009/74

Series: IMF Working Papers

Author(s): Alin Mirestean , Charalambos Tsangarides , and Huigang Chen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872217

Keywords: Bayesian Model Averaging, Model Uncertainty, Dynamic Panels, Generalized Method of Moments, Robustness, probability, probabilities, econometrics, sample size, equation,

Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent variable as well a...

Simple Monetary Policy Rules Under Model Uncertainty

Simple Monetary Policy Rules Under Model Uncertainty »

Source: Simple Monetary Policy Rules Under Model Uncertainty

Volume/Issue: 1999/75

Series: IMF Working Papers

Author(s): Ann-Charlotte Eliasson , Peter Isard , and Douglas Laxton

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1999

ISBN: 9781451849714

Keywords: monetary policy rules, NAIRU uncertainty, macroeconomic models, inflation, inflation rate, real interest rate

Using stochastic simulations and stability analysis, the paper compares how different monetary rules perform in a moderately nonlinear model with a time-varying nonaccelerating-inflation-rate-of-unemployment (NAIRU...

Robust Versus Optimal Rules in Monetary Policy

Robust Versus Optimal Rules in Monetary Policy »

Source: Robust Versus Optimal Rules in Monetary Policy : A Note

Volume/Issue: 2004/96

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2004

ISBN: 9781451851946

Keywords: Model Uncertainty, Policy Rules, central bank, probability, monetary policy rules, Game Theory and Bargaining Theory: General,

We provide a framework for analyzing the choice between optimal and robust monetary policy rules in the presence of paradigm uncertainty. We first discuss the conditions on uncertainty that render a robust rule pre...

Inflation Targeting with NAIRU Uncertainty and Endogenous Policy Credibility

Inflation Targeting with NAIRU Uncertainty and Endogenous Policy Credibility »

Source: Inflation Targeting with NAIRU Uncertainty and Endogenous Policy Credibility

Volume/Issue: 2001/7

Series: IMF Working Papers

Author(s): Peter Isard , Douglas Laxton , and Ann-Charlotte Eliasson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2001

ISBN: 9781451842418

Keywords: monetary policy rules, credibility, NAIRU uncertainty, inflation, inflation rate, monetary authorities, Model Construction and Estimation,

Stochastic simulations are employed to compare performance of monetary policy rules in linear and nonlinear variants of a small macro model with NAIRU uncertainity under different assumptions about the way inflatio...

Some Implications for Monetary Policy of Uncertain Exchange Rate Pass-Through

Some Implications for Monetary Policy of Uncertain Exchange Rate Pass-Through »

Source: Some Implications for Monetary Policy of Uncertain Exchange Rate Pass-Through

Volume/Issue: 2003/25

Series: IMF Working Papers

Author(s): Benjamin Hunt , and Peter Isard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 March 2003

ISBN: 9781451844283

Keywords: Exchange Rate, Uncertainty, inflation, exchange rate pass, monetary policy rules, General Aggregative Models: Forecasting and Simulation, Open Economy Macroeconomics,

The paper uses MULTIMOD to examine the implications of uncertain exchange rate pass-through for the conduct of monetary policy. From the policymaker's perspective, uncertainty about exchange rate pass-through impli...

Do Asset Price Drops Foreshadow Recessions?

Do Asset Price Drops Foreshadow Recessions? »

Source: Do Asset Price Drops Foreshadow Recessions?

Volume/Issue: 2013/203

Series: IMF Working Papers

Author(s): John Bluedorn , Jörg Decressin , and Marco Terrones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 October 2013

ISBN: 9781484353363

Keywords: Macroeconomic forecasting, Uncertainty, Binary dependent variable models, price, prices, market, spread, volatility, Forecasting and Simulation, Financial Forecasting and Simulation,

This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. 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...