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Unemployment and Productivity in the Long Run

Unemployment and Productivity in the Long Run »

Source: Unemployment and Productivity in the Long Run : the Role of Macroeconomic Volatility

Volume/Issue: 2010/259

Series: IMF Working Papers

Author(s): Paolo Surico , Luca Ricci , and Pierpaolo Benigno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209590

Keywords: macroeconomic volatility, downward wage rigidities, unemployment rate, employment, unemployment rates, rate of unemployment, Macroeconomics and Monetary Economics: General, Macroeconomics: Consumption, Saving, Production

We propose a theory of low-frequency movements in unemployment based on asymmetric real wage rigidities. The theory generates two main predictions: long-run unemployment increases with (i) a fall in long-run produc...

Causes of Asset Shortages in Emerging Markets

Causes of Asset Shortages in Emerging Markets »

Source: Causes of Asset Shortages in Emerging Markets

Volume/Issue: 2011/114

Series: IMF Working Papers

Author(s): Jiaqian Chen , and Patrick Imam

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455262373

Keywords: Asset Shortage, Emerging Market, Capital Market, Regulation, financial assets, interest rates, capital markets, capital account, pension funds, Money and Interest Rates: General

We first illustrate that emerging markets (EMs) face a shortage of financial assets, with financial assets not growing as rapidly as domestic savings. We then estimate the asset shortage in EMs for 1995-2008. We de...

The Puzzle of Persistently Negative Interest Rate-Growth Differentials

The Puzzle of Persistently Negative Interest Rate-Growth Differentials »

Source: The Puzzle of Persistently Negative Interest Rate-Growth Differentials : Financial Repression or Income Catch-Up?

Volume/Issue: 2011/260

Series: IMF Working Papers

Author(s): Anna Shabunina , Julio Escolano , and Jaejoon Woo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463924553

Keywords: interest rate-growth differential, debt dynamics, dynamic efficiency, income catch-up, financial repression, inflation, government debt, real interest rate, private credit, Money And Interest Rates

The interest rate-growth differential (IRGD) shows a marked correlation with GDP per capita. It has been on average around 1 percentage point for large advanced economies during 1999-2008; but below -7 percentage p...

Interest Rate Pass-Through in Romania and Other Central European Economies

Interest Rate Pass-Through in Romania and Other Central European Economies »

Source: Interest Rate Pass-Through in Romania and Other Central European Economies

Volume/Issue: 2004/211

Series: IMF Working Papers

Author(s): Alexander Tieman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

ISBN: 9781451874877

Keywords: Monetary policy transmission, Interest rate, Central European Economies, equation, inflation, equations, statistic, Monetary Policy, Central Banking, and the Supply of Money and Credit: General,

Interest rate pass-through from policy interest rates to market rates and inflation has been hypothesized to play a lesser role in Romania than in other Central European transition economies. This paper tests this...

Determinants of Emerging Market Sovereign Bond Spreads

Determinants of Emerging Market Sovereign Bond Spreads »

Source: Determinants of Emerging Market Sovereign Bond Spreads : Fundamentals vs Financial Stress

Volume/Issue: 2010/281

Series: IMF Working Papers

Author(s): Iva Petrova , Michael Papaioannou , and Dimitri Bellas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455210886

Keywords: Sovereign bond spreads, Emerging markts, sovereign bond, bond, bond spreads, external debt, current account, International Lending and Debt Problems, Money And Interest Rates,

This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. D...

Monetary Policy and Risk-Premium Shocks in Hungary

Monetary Policy and Risk-Premium Shocks in Hungary »

Source: Monetary Policy and Risk-Premium Shocks in Hungary : Results from a Large Bayesian VAR

Volume/Issue: 2011/259

Series: IMF Working Papers

Author(s): Adina Popescu , and Alina Carare

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463923983

Keywords: Risk premium shocks, Transmission mechanism, Large Bayesian VAR, inflation, central bank, financial stability, foreign currency, General Aggregative Models: Forecasting and Simulation, Money and Interest Rates: Forecasting and Simulation, Bayesian Analysis

We document the transmission of monetary policy and risk-premium shocks in Hungary, by applying recent advances in the Bayesian estimation of large VAR models. The method allows extracting information from over 100...

Consequences of Asset Shortages in Emerging Markets

Consequences of Asset Shortages in Emerging Markets »

Source: Consequences of Asset Shortages in Emerging Markets

Volume/Issue: 2012/102

Series: IMF Working Papers

Author(s): Patrick Imam , and Jiaqian Chen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2012

ISBN: 9781475502923

Keywords: Asset Shortage, Emerging Market, Crisis, Asset Bubble, financial assets, bond, bonds, asset bubbles, Money and Interest Rates: General, Financial Economics: General,

We assess econometrically the impact of asset shortages on economic growth, asset bubbles, the probability of a crisis, and the current account for a group of 41 Emerging markets for 1995-2008. The econometric esti...

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...

Econometric Analysis of Discrete Reforms

Econometric Analysis of Discrete Reforms »

Source: Econometric Analysis of Discrete Reforms

Volume/Issue: 2001/156

Series: IMF Working Papers

Author(s): Alexei Kireyev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451857405

Keywords: exogeneity, testing reforms, econometric policy analysis, exchange rate, cointegration, equation, granger causality, exchange rate unification, Multiple or Simultaneous Equation Models: Time-Series Models, Multiple or Simultaneous Equation Models: Models with Panel Data

The paper suggests an econometric methodology for testing the effectiveness of reforms implemented in one major step, i.e., discrete reforms. The methodology is based on the exogeneity properties of variables in an...

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...