Browse

You are looking at 1 - 10 of 24 items :

  • Keywords: Estimation x
  • Keywords: Bayesian Analysis x
Clear All
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...

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...

An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy

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

Source: 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

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...

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...

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...

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...

Measuring Disinflation Credibility in Emerging Markets
			: A Bayesian Approach with An Application to Turkey

Measuring Disinflation Credibility in Emerging Markets : A Bayesian Approach with An Application to Turkey »

Volume/Issue: 2004/208

Series: IMF Working Papers

Author(s): Alessandro Rebucci , and Marco Rossi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

DOI: http://dx.doi.org/10.5089/9781451874730.001

ISBN: 9781451874730

Keywords: Bayesian Learning, Credibility, Mixing Estimation, inflation, monetary policy, inflation process, inflation rate, inflation targeting, Bayesian Analysis, International Finance Forecasting and Simulation,

This paper presents an empirical measure of disinflation credibility and discusses its evolution in Turkey since the 2001 crisis. The results indicate that credibility has improved markedly over this period, boding...

Monetary and Fiscal Policy Interactions in the Post-war U.S

Monetary and Fiscal Policy Interactions in the Post-war U.S »

Volume/Issue: 2010/243

Series: IMF Working Papers

Author(s): Susan Yang , and Nora Traum

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

DOI: http://dx.doi.org/10.5089/9781455209439.001

ISBN: 9781455209439

Keywords: Monetary and Fiscal and Monetary Policy Interactions, New Keynesian Models, Bayesian Estimation, inflation, monetary authority, nominal interest rate, monetary economics, Bayesian Analysis, Fiscal Policies and Behavior of Economic Agents: General,

A New Keynesian model allowing for an active monetary and passive fiscal policy (AMPF) regime and a passive monetary and active fiscal policy (PMAF) regime is fit to various U.S. samples from 1955 to 2007. Data in...