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Predicting Recessions
			: A New Approach for Identifying Leading Indicators and Forecast Combinations

Predicting Recessions : A New Approach for Identifying Leading Indicators and Forecast Combinations »

Volume/Issue: 2011/235

Series: IMF Working Papers

Author(s): Turgut Kisinbay , and Chikako Baba

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

DOI: http://dx.doi.org/10.5089/9781463922016.001

ISBN: 9781463922016

Keywords: forecast encompassing, forecast combination, forecasting, recessions, probability, significance level, significance levels, Multiple or Simultaneous Equation Models: General, Multiple or Simultaneous Equation Models: Time-Series Models, Model Evaluation and Selection

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast...

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...

The Inflation-Unemployment Trade-off at Low Inflation

The Inflation-Unemployment Trade-off at Low Inflation »

Volume/Issue: 2009/34

Series: IMF Working Papers

Author(s): Luca Ricci , and Pierpaolo Benigno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

DOI: http://dx.doi.org/10.5089/9781451871814.001

ISBN: 9781451871814

Keywords: Phillips curve, downward nominal rigidities, wage, wage inflation, wages, low inflation,

Wage setters take into account the future consequences of their current wage choices in the presence of downward nominal wage rigidities. Several interesting implications arise. First, a closed-form solution for a...

The Use of Encompassing Tests for Forecast Combinations

The Use of Encompassing Tests for Forecast Combinations »

Volume/Issue: 2007/264

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

DOI: http://dx.doi.org/10.5089/9781451868272.001

ISBN: 9781451868272

Keywords: forecast combination, forecast encompassing, thick-modeling, forecasting, significance level, time series, significance levels, econometrics,

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulne...

Long-Run Exchange Rate Modeling
			: A Survey of the Recent Evidence

Long-Run Exchange Rate Modeling : A Survey of the Recent Evidence »

Volume/Issue: 1995/14

Series: IMF Working Papers

Author(s): Ronald MacDonald

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1995

DOI: http://dx.doi.org/10.5089/9781451843064.001

ISBN: 9781451843064

Keywords: exchange rate, exchange rates, cointegration, real exchange rate, real exchange rates

In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which tests for a unit root in real exchange rates and the close...

International Capital Markets
			: Recent Develpments and Short-Term Prospects, 1981

International Capital Markets : Recent Develpments and Short-Term Prospects, 1981 »

Series: Occasional Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 August 1981

DOI: http://dx.doi.org/10.5089/9781557750709.084

ISBN: 9781557750709

Keywords: bond, capital markets, international capital markets, capital market, bond issues

This paper provides a review of recent developments and an assessment of short-term prospects for private international capital markets, which constitute one of the main sources of international capital flows....