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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...

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...

Financial Factors

Financial Factors »

Source: Financial Factors : Implications for Output Gaps

Volume/Issue: 2015/153

Series: IMF Working Papers

Author(s): Pau Rabanal , and Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 July 2015

ISBN: 9781513512860

Keywords: Monetary Union, Output Gap, Financial Frictions, Bayesian Estimation, potential output, credit, costs, monetary policy, Model Construction and Estimation, Monetary Policy (Targets

We suggest a new approach for analyzing the role of financial variables and shocks in computing the output gap. We estimate a two-region DSGE model for the euro area, with financial frictions at the household level...

Financial Frictions and Sources of Business Cycle

Financial Frictions and Sources of Business Cycle »

Source: Financial Frictions and Sources of Business Cycle

Volume/Issue: 2014/194

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2014

ISBN: 9781498347792

Keywords: DSGE, Bayesian Estimation, Financial Frictions, Sources of Business Cycle, business cycle, business cycle fluctuations, Bayesian Analysis, Financial Markets and the Macroeconomy, Forecasting and Simulation, Monetary Policy (Targets

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture th...

Financial Frictions in Data

Financial Frictions in Data »

Source: Financial Frictions in Data : Evidence and Impact

Volume/Issue: 2014/238

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

ISBN: 9781484336557

Keywords: Financial Frictions, Bayesian VAR, External Financing Premium, Default risk, Financial shocks, Generalized IRF, DSGE, default, credit spread, maturity

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector...

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...

A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam

A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam »

Volume/Issue: 2015/273

Series: IMF Working Papers

Author(s): Allan Dizioli , and Jochen M. Schmittmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2015

DOI: http://dx.doi.org/10.5089/9781513595665.001

ISBN: 9781513595665

Keywords: Bayesian Estimation, exchange rate, interest rates, monetary policy rule, central bank, Forecasting and Simulation, Monetary Policy (Targets, Instruments, and Effects),

The paper develops a small New-Keynesian FPAS model for Vietnam. The model closely matches actual data from 2000-2014. We derive an optimal monetary policy rule that minimizes variability of output, inflation, and...

A New Methodology for Estimating the Output Gap in the United States

A New Methodology for Estimating the Output Gap in the United States »

Volume/Issue: 2015/144

Series: IMF Working Papers

Author(s): Ali Alichi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2015

DOI: http://dx.doi.org/10.5089/9781513507569.001

ISBN: 9781513507569

Keywords: Macroeconomic Modeling, Output Gap, output, inflation, unemployment rate, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects),

The gap between potential and actual output-the output gap-is a key variable for policymaking. This paper adapts the methodology developed in Blagrave and others (2015) to estimate the path of output gap in the U.S...

A Simple Multivariate Filter for Estimating Potential Output

A Simple Multivariate Filter for Estimating Potential Output »

Volume/Issue: 2015/79

Series: IMF Working Papers

Author(s): Patrick Blagrave , Roberto Garcia-Saltos , Douglas Laxton , and Fan Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 April 2015

DOI: http://dx.doi.org/10.5089/9781475565133.001

ISBN: 9781475565133

Keywords: Macroeconomic Modeling, output, economy, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects),

Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and o...

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

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

DOI: http://dx.doi.org/10.5089/9781498300865.001

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...