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Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Source: 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

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...

Did Botswana Escape from the Resource Curse?

Did Botswana Escape from the Resource Curse? »

Source: Did Botswana Escape from the Resource Curse?

Volume/Issue: 2006/138

Series: IMF Working Papers

Author(s): Atsushi Iimi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451863987

Keywords: natural resource, natural resource abundance, natural resource management, middle-income countries, Estimation, Exhaustible Resources and Economic Development,

Botswana is typical of the countries that are endowed with abundant natural resources. Although it is commonly accepted that resource-rich economies tend to fail in accelerating growth, Botswana has experienced the...

Did Korean Monetary Policy Help Soften the Impact of the Global Financial Crisis of 2008-2009?

Did Korean Monetary Policy Help Soften the Impact of the Global Financial Crisis of 2008-2009? »

Source: Did Korean Monetary Policy Help Soften the Impact of the Global Financial Crisis of 2008-2009?

Volume/Issue: 2012/5

Series: IMF Working Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463930547

Keywords: financial accelerator, Bayesian estimation, DSGE model, Korea, emerging economies, exchange rate, inflation, economy,

Korea was one of the Asian economies hardest hit by the global financial crisis. Anticipating the downturn that would follow the episode of extreme financial stress, the Bank of Korea (BOK) let the exchange rate de...

Did Output Recover from the Asian Crisis?

Did Output Recover from the Asian Crisis? »

Source: IMF Staff Papers, Volume 52, No. 1

Volume: 52

Series: IMF Staff Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 April 2005

ISBN: 9781589064195

Keywords: recessions, recession, asian crisis, probability, probabilities, Capital Stock, Convergence (economics), Correlation (statistics), Decomposition Method, Economic Development. Econometric Models

This first issue of IMF Staff Papers for 2005 contains 7 papers that discuss: whether output recovered after the Asian crisis; the value of a country's trading partners to its own economic growth; whether interdepe...

Did the Global Financial Crisis Break the U.S. Phillips Curve?

Did the Global Financial Crisis Break the U.S. Phillips Curve? »

Source: Did the Global Financial Crisis Break the U.S. Phillips Curve?

Volume/Issue: 2016/126

Series: IMF Working Papers

Author(s): Stefan Laseen , and Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 July 2016

ISBN: 9781498348645

Keywords: Phillips curve, Inflation, Unemployment, Financial Frictions, Conditional Forecast, Regime Switching and Bayesian Estimation.

Inflation dynamics, as well as its interaction with unemployment, have been puzzling since the Global Financial Crisis (GFC). In this empirical paper, we use multivariate, possibly time-varying, time-series models...

Do Fiscal Rules Cause Better Fiscal Balances? A New Instrumental Variable Strategy

Do Fiscal Rules Cause Better Fiscal Balances? A New Instrumental Variable Strategy »

Source: Do Fiscal Rules Cause Better Fiscal Balances? A New Instrumental Variable Strategy

Volume/Issue: 2019/49

Series: IMF Working Papers

Author(s): Francesca Caselli , and Julien Reynaud

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 March 2019

ISBN: 9781498300865

Keywords: Fiscal rules, Fiscal balance, Fiscal consolidation, Fiscal framework, Fiscal sustainability, Instrument variable (IV) estimation, Fiscal rules, Fiscal balances., endogeneity, instrumental variable

This paper estimates the causal effect of fiscal rules on fiscal balances in a panel of 142 countries over the period 1985-2015. Our instrumental variable strategy exploits the geographical diffusion of fiscal rule...

Economic Policy Uncertainty in Turkey

Economic Policy Uncertainty in Turkey »

Source: Economic Policy Uncertainty in Turkey

Volume/Issue: 2018/272

Series: IMF Working Papers

Author(s): La-Bhus Fah Jirasavetakul , and Antonio Spilimbergo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 December 2018

ISBN: 9781484387740

Keywords: Turkey, Europe, Policy uncertainty, economic uncertainty, firm-level, sector-level, investment decisions, employment growth, leverage strategies, diff-in-diff estimation

Uncertainty over economic policy plays a key role in economic outcomes. But evidence and quantification for emerging markets are elusive because of measurement and reverse causality issues. In this paper, we constr...

Empirical Estimation of Fiscal Multipliers in MENA Oil-Exporting Countries with an Application to Algeria

Empirical Estimation of Fiscal Multipliers in MENA Oil-Exporting Countries with an Application to Algeria »

Source: Empirical Estimation of Fiscal Multipliers in MENA Oil-Exporting Countries with an Application to Algeria

Volume/Issue: 2018/124

Series: IMF Working Papers

Author(s): Maria Elkhdari , Moez Souissi , and Andrew Jewell

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 31 May 2018

ISBN: 9781484357972

Keywords: Algeria, Middle East, Fiscal policy; State-dependent multipliers; Output gap; Spending direction; Algeria; Structural Vector Autoregressive Model; Local Projection Methodology, Fiscal policy, State-dependent multipliers, Output gap, Spending direction, Structural Vector Autoregressive Model, Local Projection Methodology, Model Construction and Estimation

At a time when Algeria must undertake considerable fiscal consolidation to restore sustainability, the issue of fiscal multipliers has come to the fore. This paper estimates short-term and long-term fiscal multipli...

Energy Subsidies and Public Social Spending

Energy Subsidies and Public Social Spending »

Source: Energy Subsidies and Public Social Spending : Theory and Evidence

Volume/Issue: 2015/101

Series: IMF Working Papers

Author(s): Christian Ebeke , and Constant Lonkeng Ngouana

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 May 2015

ISBN: 9781475580747

Keywords: Energy subsidies, Public social spending, Causality, subsidy, tax, energy subsidy, Cross-Sectional Models, Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation, Causality.,

This paper shows that high energy subsidies and low public social spending can emerge as an equilibrium outcome of a political game between the elite and the middle-class when the provision of public goods is subje...

An Estimated DSGE Model for Monetary Policy Analysis in Low-Income Countries

An Estimated DSGE Model for Monetary Policy Analysis in Low-Income Countries »

Source: An Estimated DSGE Model for Monetary Policy Analysis in Low-Income Countries

Volume/Issue: 2007/282

Series: IMF Working Papers

Author(s): Shanaka Peiris , and Magnus Saxegaard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868456

Keywords: DSGE, Bayesian Estimation, inflation, monetary policy rules, monetary fund,

This paper evaluates monetary policy-tradeoffs in low-income countries using a dynamic stochastic general equilibrium (DSGE) model estimated on data for Mozambique taking into account the sources of major exogenous...