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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...

Assessing Monthly Progress towards Annual Fiscal Revenue Targets

Assessing Monthly Progress towards Annual Fiscal Revenue Targets »

Source: Assessing Monthly Progress towards Annual Fiscal Revenue Targets

Volume/Issue: 2002/116

Series: IMF Working Papers

Author(s): Daniel Kanda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2002

ISBN: 9781451853940

Keywords: fiscal, revenue, hypothesis testing, statistic, tax revenue, equation, tax collections, Model Construction and Estimation, Forecasting and Other Model Applications,

A simple statistical methodology is developed to help evaluate monthly progress toward an annual fiscal revenue target, and the applicability of the methodology to both developing and industrial countries is demons...

Asymmetric Effects of Government Spending

Asymmetric Effects of Government Spending »

Source: Asymmetric Effects of Government Spending : Does the Level of Real Interest Rates Matter?

Volume/Issue: 2005/7

Series: IMF Working Papers

Author(s): Woon Choi , and Michael Devereux

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2005

ISBN: 9781451860269

Keywords: Ricardian equivalence, regime switching, threshold vector autoregression, inflation, real rates, Multiple or Simultaneous Equation Models: Time-Series Models, Model Construction and Estimation,

This paper empirically explores how fiscal policy (represented by increases in government spending) has asymmetric effects on economic activity at different levels of real interest rates. It suggests that the effec...

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...

Credit Growth and Economic Recovery in Europe After the Global Financial Crisis

Credit Growth and Economic Recovery in Europe After the Global Financial Crisis »

Source: Credit Growth and Economic Recovery in Europe After the Global Financial Crisis

Volume/Issue: 2017/256

Series: IMF Working Papers

Author(s): Sergei Antoshin , Marco Arena , Nikolay Gueorguiev , Tonny Lybek , John Ralyea , and Etienne Yehoue

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 November 2017

ISBN: 9781484329610

Keywords: Financial crises, Europe, Economic recovery, credit growth, creditless recoveries, bank profitability, global financial crisis, Models with Panel Data, Single Equation Models, Single Variables

This paper reviews the empirical relationships between credit growth, economic recovery, and bank profitability in Europe after the global financial crisis (GFC). We find that the post-GFC recoveries in Europe have...

Currency Mismatches and Corporate Default Risk

Currency Mismatches and Corporate Default Risk »

Source: Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications

Volume/Issue: 2006/269

Series: IMF Working Papers

Author(s): Andre Santos , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865295

Keywords: Default risk, currency mismatch, econometric estimation, financial surveillance, probability, equation, diffusion model, bond, calibration,

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for f...

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...

Energy Subsidies and Public Social Spending

Energy Subsidies and Public Social Spending »

Source: Energy Subsidies and Public Social Spending : Theory and Evidence

Volume/Issue: 2015/101

Series: IMF Working Papers

Author(s): Christian Ebeke , and Constant Lonkeng Ngouana

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 May 2015

ISBN: 9781475580747

Keywords: Energy subsidies, Public social spending, Causality, subsidy, tax, energy subsidy, Cross-Sectional Models, Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation, Causality.,

This paper shows that high energy subsidies and low public social spending can emerge as an equilibrium outcome of a political game between the elite and the middle-class when the provision of public goods is subje...

An Estimated Small Open Economy Model of the Financial Accelerator

An Estimated Small Open Economy Model of the Financial Accelerator »

Source: An Estimated Small Open Economy Model of the Financial Accelerator

Volume/Issue: 2005/44

Series: IMF Working Papers

Author(s): Alejandro Justiniano Espigares , Selim Elekdag , and Ivan Tchakarov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

ISBN: 9781451860634

Keywords: Financial accelerator, Bayesian estimation of DSGE models, Taylor rules, exchange rate, standard deviation, probability, exchange rates, equation, Bayesian Analysis, Open Economy Macroeconomics,

This paper develops a small open economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We us...

Excessive Private Sector Leverage and Its Drivers

Excessive Private Sector Leverage and Its Drivers »

Source: Excessive Private Sector Leverage and Its Drivers : Evidence from Advanced Economies

Volume/Issue: 2017/72

Series: IMF Working Papers

Author(s): Mariusz Jarmuzek , and Rossen Rozenov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 March 2017

ISBN: 9781475589573

Keywords: household and corporate leverage; corporate capital structure; taxation; private debt sustainability, household and corporate leverage, corporate capital structure, taxation, private debt sustainability, Models with Panel Data, Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation, Consumer Economics: Empirical Analysis, Personal Finance, Business Taxes and Subsidies

Nonfinancial private sector debt increased significantly in advanced economies prior to the global financial crisis and, with a few exceptions, deleveraging has been limited. Furthermore, in some countries househol...