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Adding Latin America to the Global Projection Model1

Adding Latin America to the Global Projection Model1 »

Source: Adding Latin America to the Global Projection Model

Volume/Issue: 2009/85

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872323

Keywords: Macroeconomic Modeling, Bayesian Estimation, inflation, equation, forecasting, real interest rate,

This is the fourth of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit to which e...

An Assessment of Estimates of Term Structure Models for the United States

An Assessment of Estimates of Term Structure Models for the United States »

Source: An Assessment of Estimates of Term Structure Models for the United States

Volume/Issue: 2011/247

Series: IMF Working Papers

Author(s): Carlos Medeiros , and Ying He

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463923266

Keywords: Term structure models, term structure of interest rates, yield curves, yields on U.S. Treasury securities, equation, bond, covariance, bonds, equations, Financial Markets and the Macroeconomy,

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox,...

Bank Capital and Uncertainty

Bank Capital and Uncertainty »

Source: Bank Capital and Uncertainty

Volume/Issue: 2010/208

Series: IMF Working Papers

Author(s): Fabian Valencia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455205394

Keywords: Banking Capital, Risk, Uncertainty, bank capital, equation, statistics, independent variables,

An important role for bank capital is that of a buffer against unexpected losses. As uncertainty about these losses increases, the theory predicts an increase in the optimal level of bank capital. This paper invest...

Bankruptcy and Firm Dynamics

Bankruptcy and Firm Dynamics »

Source: Bankruptcy and Firm Dynamics : The Case of the Missing Firms

Volume/Issue: 2010/41

Series: IMF Working Papers

Author(s): Jose Daniel Rodríguez-Delgado

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451962932

Keywords: firm dynamics, financial constraints, bond, probability, equation, bond price, statistics,

Financial frictions have been documented as an important determinant of firm dynamics. In this paper I model bankruptcy procedures, liquidation in particular, as an institutional feature that affects both sides of...

Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model

Bayesian Dynamic Factor Analysis of a Simple Monetary DSGE Model »

Source: 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

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...

The Brazilian State Value-Added Tax

The Brazilian State Value-Added Tax »

Source: IMF Staff papers : Volume 20 No. 1

Volume: XX

Series: IMF Staff Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1973

ISBN: 9781451956351

Keywords: capital movements, equation, short-term capital, equations, correlation

This paper focuses on theoretical and policy issues posed by financial integration among industrial countries since the mid-1950s. The problems of measuring international financial integration and of estimating its...

Constructing Forecast Confidence Bands During the Financial Crisis

Constructing Forecast Confidence Bands During the Financial Crisis »

Source: Constructing Forecast Confidence Bands During the Financial Crisis

Volume/Issue: 2009/214

Series: IMF Working Papers

Author(s): Kevin Clinton , Marianne Johnson , Huigang Chen , Ondrej Kamenik , and Douglas Laxton

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873610

Keywords: forecasting and simulation, forecast confidence bands, inflation, equation, confidence interval, confidence intervals,

We derive forecast confidence bands using a Global Projection Model covering the United States, the euro area, and Japan. In the model, the price of oil is a stochastic process, interest rates have a zero floor, an...

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...

The Demand for M1 in the United States

The Demand for M1 in the United States »

Source: The Demand for M1 in the United States : A Commenton Baba, Hendry, and Starr

Volume/Issue: 1993/24

Series: IMF Working Papers

Author(s): James Boughton

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1993

ISBN: 9781451920963

Keywords: equation, money demand, equations, dummy variable, monetary fund

A recent paper by Baba, Hendry, and Starr presents an error-correction model of the demand for M1 in the United States, which shows a dramatic improvement in both fit and stability over earlier models. This note es...

The Determinants of International Portfolio Holdings and Home Bias

The Determinants of International Portfolio Holdings and Home Bias »

Source: The Determinants of International Portfolio Holdings and Home Bias

Volume/Issue: 2004/34

Series: IMF Working Papers

Author(s): Shujing Li , Hamid Faruqee , and Isabel Yan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451845297

Keywords: International portfolio choice, Home bias, Transaction cost, Information cost, equation, correlation, market size, survey, statistics,

Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity...