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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...

Financial Frictions in Data
			: Evidence and Impact

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

DOI: http://dx.doi.org/10.5089/9781484336557.001

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
			: The Global Projection Model with 6 Regions

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

DOI: http://dx.doi.org/10.5089/9781484318942.001

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...

Policy and Spillover Analysis in the World Economy
			: A Panel Dynamic Stochastic General Equilibrium Approach

Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach »

Volume/Issue: 2014/200

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2014

DOI: http://dx.doi.org/10.5089/9781616355784.001

ISBN: 9781616355784

Keywords: Monetary policy analysis, Fiscal policy analysis, Spillover analysis, World economy, Panel dynamic stochastic general equilibrium model, Bayesian econometrics, consumption, equilibrium, demand, Bayesian Analysis

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and rea...

Policy and Spillover Analysis in the World Economy

Policy and Spillover Analysis in the World Economy »

Source: Policy and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Volume/Issue: 2014/200

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2014

ISBN: 9781616355784

Keywords: Monetary policy analysis, Fiscal policy analysis, Spillover analysis, World economy, Panel dynamic stochastic general equilibrium model, Bayesian econometrics, consumption, equilibrium, demand, Bayesian Analysis

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and rea...