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Does Fiscal Policy Matter for the Trade Account? A Panel Cointegration Study

Does Fiscal Policy Matter for the Trade Account? A Panel Cointegration Study »

Source: Does Fiscal Policy Matter for the Trade Account? A Panel Cointegration Study

Volume/Issue: 2006/147

Series: IMF Working Papers

Author(s): Christiane Nickel , and Katja Funke

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451864076

Keywords: trade account, trade elasticities, panel cointegration, expenditure, government expenditure, equations, cointegration, equation, Open Economy Macroeconomics,

This paper analyzes the empirical relationship between fiscal policy and the trade account. Research prior to this paper did not consider that the components of private and public demand in the import demand equati...

Global Equilibrium Exchange Rates

Global Equilibrium Exchange Rates »

Source: Global Equilibrium Exchange Rates : Euro, Dollar, 'Ins,' 'Outs,' and Other Major Currencies in a Panel Cointegration Framework

Volume/Issue: 1999/175

Series: IMF Working Papers

Author(s): Susana Garcia Cervero , J. Lopez , Enrique Alberola Ila , and Angel Ubide

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1999

ISBN: 9781451858730

Keywords: Equilibrium Exchange Rates, Panel Cointegration, exchange rate, cointegration, exchange rates, real exchange rate, statistics

This paper presents a methodology for calculating bilateral equilibrium exchange rates for a panel of currencies in a way that guarantees global consistency. The methodology has three parts: a theoretical model tha...

The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials

The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials »

Source: The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials : A Panel Study

Volume/Issue: 1999/37

Series: IMF Working Papers

Author(s): Jun Nagayasu , and Ronald MacDonald

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1999

ISBN: 9781451845556

Keywords: Real exchange rates, real interest rates, panel cointegration, cointegration, exchange rate, exchange rates, real exchange rate

This paper empirically examines the long-run relationship between real exchange rates and real interest rate differentials over the recent floating exchange rate period, using a panel cointegration method, with dat...

Testing for Purchasing Power Parity in Cointegrated Panels

Testing for Purchasing Power Parity in Cointegrated Panels »

Source: Testing for Purchasing Power Parity in Cointegrated Panels

Volume/Issue: 2007/287

Series: IMF Working Papers

Author(s): Johan Lyhagen , Pär Österholm , and Mikael Carlsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868500

Keywords: Panel cointegration, Maximum likelihood, Fully modified OLS, Dynamic OLS, cointegration, statistics, econometrics

This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong PPP hypothesis using data for the G7 countries. This method is robust in several important dimen...

In Search of Equilibrium

In Search of Equilibrium »

Source: In Search of Equilibrium : Estimating Equilibrium Real Exchange Rates in Sub-Saharan African Countries

Volume/Issue: 2007/90

Series: IMF Working Papers

Author(s): Joannes Mongardini , and Alexander Chudik

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2007

ISBN: 9781451866544

Keywords: Equilibrium Exchange Rates, Panel Estimations, exchange rate, real exchange rate, statistic, cointegration, exchange rates,

This paper presents a methodology to estimate equilibrium real exchange rates (ERER) for Sub-Saharan African (SSA) countries using both single-country and panel estimation techniques. The limited data set hinders s...

Comparative Macroeconomic Dynamics in the Arab World

Comparative Macroeconomic Dynamics in the Arab World »

Source: Comparative Macroeconomic Dynamics in the Arab World : A Panel Var Approach

Volume/Issue: 2000/54

Series: IMF Working Papers

Author(s): Alexei Kireyev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

ISBN: 9781451847505

Keywords: VAR, panel data, Arab countries, oil countries, cointegration, statistics, current account balance, external shocks

The paper presents a comparative analysis of macroeconomic dynamics of 18 Arab countries based on a panel vector autogression estimation. Comparing growth performance, fiscal and current account developments in the...

Estimation of Equilibrium Exchange Rates in the WAEMU

Estimation of Equilibrium Exchange Rates in the WAEMU »

Source: Estimation of Equilibrium Exchange Rates in the WAEMU : A Robustness Analysis

Volume/Issue: 2007/194

Series: IMF Working Papers

Author(s): Magnus Saxegaard , Stéphane Roudet , and Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2007

ISBN: 9781451867589

Keywords: Equilibrium real exchange rate, FEER, cointegration, panel, WAEMU, exchange rate, statistic, equation, Equilibrium Real Exghange Rate,

Using the FEER approach we investigate the long-run equilibrium paths of the real effective exchange rates (REERs) of countries in the West African Economic and Monetary Union (WAEMU). In an attempt to address econ...

Armenia

Armenia »

Source: Armenia : An Assessment of the Real Exchange Rate and Competitiveness

Volume/Issue: 2011/20

Series: IMF Working Papers

Author(s): Anke Weber , and Chunfang Yang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2011

ISBN: 9781455211951

Keywords: Equilibrium exchange rate, competitiveness, panel estimations, exchange rate, real exchange rate, cointegration, survey, Open Economy Macroeconomics,

This paper uses a range of different methodologies to estimate the equilibrium real exchange rate in Armenia with both single-country and panel estimation techniques. We estimate a country specific autoregressive d...

Credit Growth in Latin America

Credit Growth in Latin America »

Source: Credit Growth in Latin America : Financial Development or Credit Boom?

Volume/Issue: 2013/106

Series: IMF Working Papers

Author(s): Niels-Jakob Harbo Hansen , and Olga Sulla

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 May 2013

ISBN: 9781484390627

Keywords: Credit boom, financial development, panel co-integration, banking, banking sector, banking crisis, banking crises, bank equity,

Banking credit to the private sector in Latin America has on average increased by 7 percent of GDP from primo 2004 to ultimo 2011, with real credit in some countries growing by up to 20 percent per year. This paper...

Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies

Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies »

Source: Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies

Volume/Issue: 2012/271

Series: IMF Working Papers

Author(s): Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 November 2012

ISBN: 9781475529142

Keywords: Government bond yields, long-run and short-run determinants, panel cointegration, bond yields, bond, government bond, Models with Panel Data, Asset Pricing,

We analyze determinants of sovereign bond yields in 22 advanced economies over the 1980-2010 period using panel cointegration techniques. The application of cointegration methodology allows distinguishing between l...