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An Estimated Model with Macrofinancial Linkages for India

An Estimated Model with Macrofinancial Linkages for India »

Source: An Estimated Model with Macrofinancial Linkages for India

Volume/Issue: 2010/21

Series: IMF Working Papers

Author(s): Magnus Saxegaard , Rahul Anand , and Shanaka Peiris

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451962321

Keywords: financial accelerator, macro-financial linkages, optimal policy, bayesian estimation, inflation, foreign currency, nominal interest rate, monetary economics,

This paper develops a small open economy dynamic stochastic general-equilibrium model with macrofinancial linkages. The model includes a financial accelerator--entrepreneurs are assumed to partially finance investm...

An Estimated Small Open Economy Model of the Financial Accelerator

An Estimated Small Open Economy Model of the Financial Accelerator »

Source: 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

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...

Estimates of Potential Output and the Neutral Rate for the U.S. Economy

Estimates of Potential Output and the Neutral Rate for the U.S. Economy »

Source: Estimates of Potential Output and the Neutral Rate for the U.S. Economy

Volume/Issue: 2018/152

Series: IMF Working Papers

Author(s): Ali Alichi , Rania Al-Mashat , Hayk Avetisyan , Jaromir Benes , Olivier Bizimana , Aram Butavyan , Robert Ford , Narek Ghazaryan , Vahagn Grigoryan , Mane Harutyunyan , Anahit Hovhannisyan , Edgar Hovhannisyan , Hayk Karapetyan , Mariam Kharaishvili , Douglas Laxton , Akaki Liqokeli , Karolina Matikyan , Gevorg Minasyan , Shalva Mkhatrishvili , Armen Nurbekyan , Andrei Orlov , Babken Pashinyan , Garik Petrosyan , Yekaterina Rezepina , Aleksandr Shirkhanyan , Tamta Sopromadze , Lusine Torosyan , Erik Vardanyan , Hou Wang , and Jiaxiong Yao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 July 2018

ISBN: 9781484366325

Keywords: United States, Western Hemisphere, Potential output, Macroeconomic Modeling, Neutral Rate, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects)

Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions...

Estimating a Structural Model of Herd Behavior in Financial Markets

Estimating a Structural Model of Herd Behavior in Financial Markets »

Source: Estimating a Structural Model of Herd Behavior in Financial Markets

Volume/Issue: 2010/288

Series: IMF Working Papers

Author(s): Antonio Guarino , and Marco Cipriani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455211692

Keywords: Herd Behavior, Market Microstructure, Structural Estimation, probability, financial markets, probabilities, standard deviation, financial economics, Asymmetric and Private Information, Estimation,

We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the mode...

Estimating Markov Transition Matrices Using Proportions Data

Estimating Markov Transition Matrices Using Proportions Data »

Source: Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk

Volume/Issue: 2005/219

Series: IMF Working Papers

Author(s): Matthew Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

ISBN: 9781451862386

Keywords: Markov transition matrix, nonperforming loans, interest coverage, probabilities, probability, probability model, interest coverage ratio, banking, Estimation,

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications...

Estimating the Demand for Reserve Assets Across Diverse Groups of Countries1

Estimating the Demand for Reserve Assets Across Diverse Groups of Countries1 »

Source: Estimating the Demand for Reserve Assets Across Diverse Groups

Volume/Issue: 2018/47

Series: IMF Working Papers

Author(s): Rina Bhattacharya , Katja Mann , and Mwanza Nkusu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 March 2018

ISBN: 9781484345146

Keywords: Central banks, Demand, Foreign exchange, Econometric models, Financial crises, International reserves, Central banks and their policies, Panel data estimation, Models with Panel Data

This paper takes a fresh look at the determinants of reserves holding with the aim of highlighting similarities and differences in the motives for holding reserves among emerging markets (EMs), advanced economies (...

Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model

Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model »

Source: 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

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...

Excessive Private Sector Leverage and Its Drivers

Excessive Private Sector Leverage and Its Drivers »

Source: Excessive Private Sector Leverage and Its Drivers : Evidence from Advanced Economies

Volume/Issue: 2017/72

Series: IMF Working Papers

Author(s): Mariusz Jarmuzek , and Rossen Rozenov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 March 2017

ISBN: 9781475589573

Keywords: household and corporate leverage; corporate capital structure; taxation; private debt sustainability, household and corporate leverage, corporate capital structure, taxation, private debt sustainability, Models with Panel Data, Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation, Consumer Economics: Empirical Analysis, Personal Finance, Business Taxes and Subsidies

Nonfinancial private sector debt increased significantly in advanced economies prior to the global financial crisis and, with a few exceptions, deleveraging has been limited. Furthermore, in some countries househol...

Exchange Rate Pass-Through in the Euro Area

Exchange Rate Pass-Through in the Euro Area »

Source: IMF Staff Papers, Volume 53, No. 1

Volume: 53

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 April 2006

ISBN: 9781589065093

Keywords: russia, trade flows, import duties, standard errors, trade restrictions, Capital Stock, Credit Market, Economic Shocks, Estimation Theory, Expertise

This first issue for 2006 is anchored by two papers on Russia. The opening paper discusses Russia and the World Trade Organization, and the concluding paper, by John Odling-Smee (former Director of the IMF's Europe...

Exchange Rate Regimes, Location, and Specialization

Exchange Rate Regimes, Location, and Specialization »

Source: IMF Staff Papers, Volume 53, No. 1

Volume: 53

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 April 2006

ISBN: 9781589065093

Keywords: russia, trade flows, import duties, standard errors, trade restrictions, Capital Stock, Credit Market, Economic Shocks, Estimation Theory, Expertise

This first issue for 2006 is anchored by two papers on Russia. The opening paper discusses Russia and the World Trade Organization, and the concluding paper, by John Odling-Smee (former Director of the IMF's Europe...