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An Assessment of Malaysian Monetary Policy During the Global Financial Crisis of 2008-09

An Assessment of Malaysian Monetary Policy During the Global Financial Crisis of 2008-09 »

Volume/Issue: 2012/35

Series: IMF Working Papers

Author(s): Selim Elekdag , Subir Lall , and Harun Alp

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463933203.001

ISBN: 9781463933203

Keywords: financial accelerator, Bayesian estimation, DSGE model, exchange rate, exchange rate regime, exchange rate flexibility, fixed exchange rate regime, Bayesian Analysis, And The Supply Of Money And Credit,

Malaysia was hit hard by the global financial crisis of 2008-09. Anticipating the downturn that would follow the episode of extreme financial turbulence, Bank Negara Malaysia (BNM) let the exchange rate depreciate...

An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy

An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy »

Volume/Issue: 2011/28

Series: IMF Working Papers

Author(s): Tigran Poghosyan , and Samya Beidas-Strom

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2011

DOI: http://dx.doi.org/10.5089/9781455216758.001

ISBN: 9781455216758

Keywords: DSGE, Bayesian Estimation, Monetary and Exchange Rate Policy, inflation, exchange rate, real exchange rate, real wages, Computable and Other Applied General Equilibrium Models, Bayesian Analysis, Economywide Country Studies: Asia including Middle East,

This paper presents and estimates a small open economy dynamic stochastic general-equilibrium model (DSGE) for the Jordanian economy. The model features nominal and real rigidities, imperfect competition and habit...

An Estimated Small Open Economy Model of the Financial Accelerator

An Estimated Small Open Economy Model of the Financial Accelerator »

Volume/Issue: 2005/44

Series: IMF Working Papers

Author(s): Alejandro Justiniano Espigares , Selim Elekdag , and Ivan Tchakarov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

DOI: http://dx.doi.org/10.5089/9781451860634.001

ISBN: 9781451860634

Keywords: Financial accelerator, Bayesian estimation of DSGE models, Taylor rules, exchange rate, standard deviation, probability, exchange rates, equation, Bayesian Analysis, Open Economy Macroeconomics,

This paper develops a small open economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We us...

Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model

Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model »

Volume/Issue: 2011/219

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

DOI: http://dx.doi.org/10.5089/9781463904210.001

ISBN: 9781463904210

Keywords: Regular and data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, real output, money demand, money balances, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models, Prices

When estimating DSGE models, the number of observable economic variables is usually kept small, and it is conveniently assumed that DSGE model variables are perfectly measured by a single data series. Building upon...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

DOI: http://dx.doi.org/10.5089/9781463903497.001

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...

Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model
			: What is Important and What is Not

Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model : What is Important and What is Not »

Volume/Issue: 2006/177

Series: IMF Working Papers

Author(s): Vicente Tuesta , and Pau Rabanal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2006

DOI: http://dx.doi.org/10.5089/9781451864373.001

ISBN: 9781451864373

Keywords: Bayesian estimation, model comparison, exchange rate, real exchange rate, inflation, monetary policy, Bayesian Analysis, Open Economy Macroeconomics, U.s. Dollar,

We use a Bayesian approach to estimate a standard two-country New Open Economy Macroeconomics model using data for the United States and the euro area, and we perform model comparisons to study the importance of de...

Financial Frictions and Sources of Business Cycle

Financial Frictions and Sources of Business Cycle »

Volume/Issue: 2014/194

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2014

DOI: http://dx.doi.org/10.5089/9781498347792.001

ISBN: 9781498347792

Keywords: DSGE, Bayesian Estimation, Financial Frictions, Sources of Business Cycle, business cycle, business cycle fluctuations, Bayesian Analysis, Financial Markets and the Macroeconomy, Forecasting and Simulation, Monetary Policy (Targets

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture th...

Financial Frictions in Data
			: Evidence and Impact

Financial Frictions in Data : Evidence and Impact »

Volume/Issue: 2014/238

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

DOI: http://dx.doi.org/10.5089/9781484336557.001

ISBN: 9781484336557

Keywords: Financial Frictions, Bayesian VAR, External Financing Premium, Default risk, Financial shocks, Generalized IRF, DSGE, default, credit spread, maturity

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector...

Growth Empirics Under Model Uncertainty
			: Is Africa Different?

Growth Empirics Under Model Uncertainty : Is Africa Different? »

Volume/Issue: 2005/18

Series: IMF Working Papers

Author(s): Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2005

DOI: http://dx.doi.org/10.5089/9781451860375.001

ISBN: 9781451860375

Keywords: growth regressions, Bayesian model averaging, dynamic panel estimation, debt, probability, samples, debt service, external debt, Bayesian Analysis, Multiple or Simultaneous Equation Models: Models with Panel Data

This paper attempts to identify robust patterns of cross-country growth behavior in the world as a whole and Africa. It employs a novel methodology that incorporates a dynamic panel estimator, and Bayesian Model Av...

How External Factors Affect Domestic Economy
			: Nowcasting an Emerging Market

How External Factors Affect Domestic Economy : Nowcasting an Emerging Market »

Volume/Issue: 2015/269

Series: IMF Working Papers

Author(s): Serhat Solmaz , and Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2015

DOI: http://dx.doi.org/10.5089/9781513598987.001

ISBN: 9781513598987

Keywords: Nowcasting, Bayesian estimation, VAR, Emerging Market, economy, domestic economy, risk, economies, external factors, Bayesian Analysis

External headwinds, together with domestic vulnerabilities, have loomed over the prospects of emerging markets in recent years. We propose an empirical toolbox to quantify the impact of external macro-financial sho...