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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...

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...

Financial Structures and Economic Outcomes

Financial Structures and Economic Outcomes »

Source: Financial Structures and Economic Outcomes : An Empirical Analysis

Volume/Issue: 2013/121

Series: IMF Working Papers

Author(s): Tom Gole , and Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2013

ISBN: 9781484335420

Keywords: financial structures, economic outcomes, fixed-effects panel estimation, financial structure, financial system, financial systems, financial stability

This paper investigates the potential relationships between financial structures and economic outcomes. The empirical results that withstand a battery of methods suggest that some financial intermediation structure...

Global Bonding

Global Bonding »

Source: Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?

Volume/Issue: 2012/298

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Trung Bui

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 December 2012

ISBN: 9781475586633

Keywords: Identification, international financial linkages, bond, equity markets, bond yields, financial markets, Estimation, Time-Series Models, General,

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results su...

GPM6

GPM6 »

Source: GPM6 : The Global Projection Model with 6 Regions

Volume/Issue: 2013/87

Series: IMF Working Papers

Author(s): Ioan Carabenciov , Charles Freedman , Roberto Garcia-Saltos , Douglas Laxton , Ondra Kamenik , and Petar Manchev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 April 2013

ISBN: 9781484318942

Keywords: Macroeconomic Modeling, Bayesian Estimation, exchange rate, inflation, real exchange rate, real interest rate, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects),

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

Growth Determinants Revisited

Growth Determinants Revisited »

Source: Growth Determinants Revisited

Volume/Issue: 2009/268

Series: IMF Working Papers

Author(s): Charalambos Tsangarides , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874136

Keywords: growth regressions, Bayesian Model Averaging, dynamic panel estimation, limited information estimation, probability, econometrics, probabilities, equation, growth model,

This paper revisits the cross-country growth empirics debate using a novel Limited Information Bayesian Model Averaging framework to address model uncertainty in the context of a dynamic growth model in panel data...

A Small Quarterly Multi-Country Projection Model

A Small Quarterly Multi-Country Projection Model »

Volume/Issue: 2008/279

Series: IMF Working Papers

Author(s): Jared Laxton , Igor Ermolaev , Charles Freedman , Ondrej Kamenik , Michel Juillard , Douglas Laxton , Ioan Carabenciov , and Dmitry Korshunov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

DOI: http://dx.doi.org/10.5089/9781451871371.001

ISBN: 9781451871371

Keywords: Macroeconomic Modeling, Bayesian Estimation, inflation, equation, correlations, equations, Model Construction and Estimation,

This is the second 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 for studyi...

A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices

A Small Quarterly Multi-Country Projection Model with Financial-Real Linkages and Oil Prices »

Volume/Issue: 2008/280

Series: IMF Working Papers

Author(s): Michel Juillard , Charles Freedman , Dmitry Korshunov , Douglas Laxton , Ondrej Kamenik , Ioan Carabenciov , Igor Ermolaev , and Jared Laxton

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

DOI: http://dx.doi.org/10.5089/9781451871388.001

ISBN: 9781451871388

Keywords: Macroeconomic Modeling, Bayesian Estimation, inflation, equation, rate of inflation, equations,

This is the third 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 for studyin...

Adding Latin America to the Global Projection Model

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

DOI: http://dx.doi.org/10.5089/9781451872323.001

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...

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...