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Bayesian Vars

Bayesian Vars »

Source: Bayesian Vars : A Survey of the Recent Literature with An Application to the European Monetary System

Volume/Issue: 2003/102

Series: IMF Working Papers

Author(s): Matteo Ciccarelli , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2003

ISBN: 9781451852639

Keywords: Bayesian VAR, Gibbs sampling, Time- Varying Reaction Function, EMS, forecasting, equation, monetary policy, outliers, covariance, Bayesian Analysis

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology origi...

Fragmentation and Monetary Policy in the Euro Area

Fragmentation and Monetary Policy in the Euro Area »

Source: Fragmentation and Monetary Policy in the Euro Area

Volume/Issue: 2013/208

Series: IMF Working Papers

Author(s): Ali Al-Eyd , and Pelin Berkmen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 October 2013

ISBN: 9781484328750

Keywords: fragmentation, interest, markets, lending, Financial Markets and the Macroeconomy, Monetary Policy (Targets, Instruments, and Effects),

The ECB has taken a range of actions to address bank funding problems, eliminate excessive risk in sovereign markets, and safeguard monetary transmission. But euro area financial markets have remained fragmented, d...

Wage Moderation in Crises
			: Policy Considerations and Applications to the Euro Area

Wage Moderation in Crises : Policy Considerations and Applications to the Euro Area »

Volume/Issue: 2015/22

Series: Staff Discussion Notes

Author(s): Jörg Decressin , Raphael Espinoza , Ioannis Halikias , Michael Kumhof , Daniel Leigh , Prakash Loungani , Paulo Medas , Susanna Mursula , Antonio Spilimbergo , and TengTeng Xu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 November 2015

DOI: http://dx.doi.org/10.5089/9781513537009.006

ISBN: 9781513537009

Keywords: Wage bargaining, Euro Area, Wage adjustments, Negative spillovers, Monetary policy, Euro area, Crisis, Current account, Internal devaluation, Unemployment

The paper studies the impacts of wage moderation in the euro area. Simulation results show that if a single euro area crisis-hit economy undertakes wage moderation, the impact on output is positive for that economy...

Bayesian Vars
			: A Survey of the Recent Literature with An Application to the European Monetary System

Bayesian Vars : A Survey of the Recent Literature with An Application to the European Monetary System »

Volume/Issue: 2003/102

Series: IMF Working Papers

Author(s): Matteo Ciccarelli , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2003

DOI: http://dx.doi.org/10.5089/9781451852639.001

ISBN: 9781451852639

Keywords: Bayesian VAR, Gibbs sampling, Time- Varying Reaction Function, EMS, forecasting, equation, monetary policy, outliers, covariance, Bayesian Analysis

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology origi...

Fragmentation and Monetary Policy in the Euro Area

Fragmentation and Monetary Policy in the Euro Area »

Volume/Issue: 2013/208

Series: IMF Working Papers

Author(s): Ali Al-Eyd , and Pelin Berkmen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 October 2013

DOI: http://dx.doi.org/10.5089/9781484328750.001

ISBN: 9781484328750

Keywords: fragmentation, interest, markets, lending, Financial Markets and the Macroeconomy, Monetary Policy (Targets, Instruments, and Effects),

The ECB has taken a range of actions to address bank funding problems, eliminate excessive risk in sovereign markets, and safeguard monetary transmission. But euro area financial markets have remained fragmented, d...

Information Rigidity and the Expectations Formation Process
			: A Simple Framework and New Facts

Information Rigidity and the Expectations Formation Process : A Simple Framework and New Facts »

Volume/Issue: 2012/296

Series: IMF Working Papers

Author(s): Olivier Coibion , and Yuriy Gorodnichenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 December 2012

DOI: http://dx.doi.org/10.5089/9781475519242.001

ISBN: 9781475519242

Keywords: Numbers, Information Rigidity, Survey Forecasts, inflation, rational expectations, monetary policy, inflation forecasts, monetary economics, Survey Forecasts., General,

We propose a new approach to test the full-information rational expectations hypothesis which can identify whether rejections of the arise from information rigidities. This approach quantifies the economic signifi...

Monetary Policy Under EMU
			: Differences in the Transmission Mechanism?

Monetary Policy Under EMU : Differences in the Transmission Mechanism? »

Volume/Issue: 2001/102

Series: IMF Working Papers

Author(s): Benedict Clements , Zenon Kontolemis , and Joaquim Levy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451852615.001

ISBN: 9781451852615

Keywords: Transmission Mechanism, inflation, monetary transmission, central bank, monetary transmission mechanism, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation, Monetary Policy, Central Banking

This study identifies differences in the monetary policy transmission mechanism across the countries in the euro area. It is argued that part of the differences in the response of economic activity to monetary poli...

Some Simulation Properties of the Major Euro Area Economies in Multimod

Some Simulation Properties of the Major Euro Area Economies in Multimod »

Volume/Issue: 2003/31

Series: IMF Working Papers

Author(s): Douglas Laxton , and Benjamin Hunt

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2003

DOI: http://dx.doi.org/10.5089/9781451845044.001

ISBN: 9781451845044

Keywords: Macroeconomic models, simulation properties, inflation, monetary policy, aggregate demand, nominal interest rate, monetary authority, Model Evaluation and Selection, General Aggregative Models: Forecasting and Simulation, Public Economics: General,

This paper was prepared as part of a euro area macroeconomic model comparisons project. Four standard macroeconomic experiments are considered to illustrate the differences in dynamic adjustment properties of two v...

The Payments System and its Effectson Monetary Operations
			: Recent Experience in the Russian Federation

The Payments System and its Effectson Monetary Operations : Recent Experience in the Russian Federation »

Volume/Issue: 1994/133

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1994

DOI: http://dx.doi.org/10.5089/9781451855425.001

ISBN: 9781451855425

Keywords: payments, central bank, credit, monetary policy, inflation

Recent developments and reforms in the Russian payments system are discussed from the perspective of their impact on monetary policy. The large and highly variable payment float in the balance sheet of the Central...

The Transmission Mechanism of European Monetary Policy
			: Is There Heterogeneity? Is it Changing over Time?

The Transmission Mechanism of European Monetary Policy : Is There Heterogeneity? Is it Changing over Time? »

Volume/Issue: 2002/54

Series: IMF Working Papers

Author(s): Matteo Ciccarelli , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2002

DOI: http://dx.doi.org/10.5089/9781451847529.001

ISBN: 9781451847529

Keywords: Bayesian estimation, European monetary policy, Gibbs sampling, Heterogeneity, Transmission mechanism, inflation, central bank, monetary transmission, Multiple or Simultaneous Equation Models: Models with Panel Data, Bayesian Analysis

This paper investigates the transmission mechanism of monetary policy in the four largest euro area countries by means Bayesian estimation of dynamic econometric models. Based on pre-EMU evidence from Germany, Fran...