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Dissecting Taylor Rules in a Structural VAR

Dissecting Taylor Rules in a Structural VAR »

Source: Dissecting Taylor Rules in a Structural VAR

Volume/Issue: 2010/20

Series: IMF Working Papers

Author(s): Woon Choi , and Yi Wen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451962291

Keywords: endogenous monetary policy, Taylor rule, structural VAR, spectral decomposition, inflation, monetary economics, gdp deflator, aggregate demand,

This paper uncovers Taylor rules from estimated monetary policy reactions using a structural VAR on U.S. data from 1959 to 2009. These Taylor rules reveal the dynamic nature of policy responses to different structu...

Fiscal Multipliers in Ukraine

Fiscal Multipliers in Ukraine »

Source: Fiscal Multipliers in Ukraine

Volume/Issue: 2015/71

Series: IMF Working Papers

Author(s): Pritha Mitra , and Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 March 2015

ISBN: 9781484305898

Keywords: fiscal multipliers, structural VAR, multipliers, revenue, variables, fiscal policy, capital, General, General,

Amid renewed crisis, falling tax revenues, and rising debt, Ukraine faces serious fiscal consolidation needs. Durable fiscal adjustment can support economic confidence and rebuild buffers but what is its overall...

Modeling Inflation in Chad

Modeling Inflation in Chad »

Source: Modeling Inflation in Chad

Volume/Issue: 2011/57

Series: IMF Working Papers

Author(s): Tidiane Kinda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455221011

Keywords: Rainfall, Public spending, Cointegration, Single-equation model, Structural VAR, money market, monetary fund, discount rate, real money, Multiple or Simultaneous Equation Models: Time-Series Models,

This paper examines the determinants of inflation in Chad using quarterly data from 1983:Q1 to 2009:Q3. The analysis is based on a single-equation model, completed by a structural vector auto regression model to ca...

Identifying Domestic and Imported Core Inflation

Identifying Domestic and Imported Core Inflation »

Source: Identifying Domestic and Imported Core Inflation

Volume/Issue: 2000/4

Series: IMF Working Papers

Author(s): Hilde Bjørnland

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2000

ISBN: 9781451842036

Keywords: Domestic and imported core inflation, inflation target, oil price shocks, structural VAR, inflation, inflation rate, monetary policy, central bank, price level

This paper estimates core inflation in Norway, identified as that component of inflation that has no long-run effect on GDP. The model distinguishes explicitly between domestic and imported core inflation. The resu...

Sources of Nominal Exchange Rate Fluctuations in South Africa

Sources of Nominal Exchange Rate Fluctuations in South Africa »

Source: Sources of Nominal Exchange Rate Fluctuations in South Africa

Volume/Issue: 2003/252

Series: IMF Working Papers

Author(s): Jan Gottschalk , and Ashok Bhundia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875935

Keywords: Nominal exchange rate, real disturbances, nominal disturbances, structural VAR, exchange rate, real exchange rate, monetary policy, exchange rate fluctuations, Open Economy Macroeconomics,

This paper investigates the sources of fluctuations in the rand-U.S. dollar exchange rate in 2001 and 2002 using an empirical exchange rate model which identifies aggregate supply, aggregate demand, and nominal dis...

Crime and the Economy in Mexican States

Crime and the Economy in Mexican States »

Source: Crime and the Economy in Mexican States : Heterogeneous Panel Estimates (1993-2012)

Volume/Issue: 2015/121

Series: IMF Working Papers

Author(s): Concha Verdugo Yepes , Peter Pedroni , and Xingwei Hu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 June 2015

ISBN: 9781513541969

Keywords: Crime, Panel Structural VAR, homicides, homicide, security, crimes, Macroeconomic Analyses of Economic Development, Analysis of Growth, Development, and Changes

This paper studies the transmission of crime shocks to the economy in a sample of 32 Mexican states over the period from 1993 to 2012. The paper uses a panel structural VAR approach which accounts for the heterogen...

The Effectiveness of Monetary Policy Transmission Under Capital Inflows

The Effectiveness of Monetary Policy Transmission Under Capital Inflows »

Source: The Effectiveness of Monetary Policy Transmission Under Capital Inflows : Evidence from Asia

Volume/Issue: 2012/265

Series: IMF Working Papers

Author(s): Sonali Jain-Chandra , and Filiz Unsal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 November 2012

ISBN: 9781475525823

Keywords: Monetary policy transmission, dynamic factor model, structural VAR, long-term interest rates, bond yields, Monetary Policy (Targets, Instruments, and Effects), Open Economy Macroeconomics,

The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The...

Deconstructing the International Business Cycle

Deconstructing the International Business Cycle »

Source: Deconstructing the International Business Cycle : Why does a U.S. sneeze give the rest of the world a cold?

Volume/Issue: 2010/239

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2010

ISBN: 9781455209392

Keywords: international business cycles, identification, structural VAR, business cycle, real gdp, correlation, standard errors, statistics, Multiple or Simultaneous Equation Models: Time-Series Models, International Factor Movements and International Business: General

The 2008 crisis underscored the interconnectedness of the international business cycle, with U.S. shocks leading to the largest global slowdown since the 1930s. We estimate spillover effects across major advanced c...

Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries

Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries »

Source: Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries

Volume/Issue: 2012/191

Series: IMF Working Papers

Author(s): Serhan Cevik , and Katerina Teksoz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505399

Keywords: Monetary policy transmission, credit channel, structural VAR, monetary transmission, aggregate demand, monetary shocks, Model Construction and Estimation, Monetary Policy, Central Banking, and the Supply of Money and Credit: General

This paper empirically investigates the effectiveness of monetary policy transmission in the Gulf Cooperation Council (GCC) countries using a structural vector autoregressive model. The results indicate that the in...

Low-Income Countries' BRIC Linkage

Low-Income Countries' BRIC Linkage »

Source: Low-Income Countries' BRIC Linkage : Are there Growth Spillovers?

Volume/Issue: 2011/267

Series: IMF Working Papers

Author(s): Issouf Samaké , and Yongzheng Yang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463924669

Keywords: low-income countries, BRICs, Global VAR, Structural VAR, exporters, commodity prices, oil exporters, commodity exporters, oil prices, Multiple or Simultaneous Equation Models: Time-Series Models

Trade and financial ties between low-income countries (LICs) and Brazil, Russia, India, and China (BRICs) have expanded rapidly in recent years. This gives rise to the potential for growth to spill over from the la...