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Simulating Inflation Forecasting in Real-Time

Simulating Inflation Forecasting in Real-Time »

Source: Simulating Inflation Forecasting in Real-Time : How Useful Is a Simple Phillips Curve in Germany, the UK, and the US?

Volume/Issue: 2010/52

Series: IMF Working Papers

Author(s): Jens Clausen , and Bianca Clausen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451963380

Keywords: Real-time data, output gap, Phillips curve, inflation forecast, monetary policy, forecasting inflation, inflation forecasts,

This paper simulates out-of-sample inflation forecasting for Germany, the UK, and the US. In contrast to other studies, we use output gaps estimated with unrevised real-time GDP data. This exercise assumes an infor...

Do Forecasters Believe in Okun’s Law? An Assessment of Unemployment and Output Forecasts

Do Forecasters Believe in Okun’s Law? An Assessment of Unemployment and Output Forecasts »

Source: Do Forecasters Believe in Okun's Law? An Assessment of Unemployment and Output Forecasts

Volume/Issue: 2014/24

Series: IMF Working Papers

Author(s): Laurence Ball , João Tovar Jalles , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 February 2014

ISBN: 9781475584097

Keywords: forecast revisions, Okun&;amp;#x2019;s Law, Great Recession, forecast assessment, unemployment rate, unemployment forecasts, recession, employment, Forecasting and Other Model Applications, Forecasting and Simulation

This paper provides an assessment of the consistency of unemployment and output forecasts. We show that, consistent with Okun's Law, forecasts of real GDP growth and the change in unemployment are negatively correl...

Measuring a Roller Coaster

Measuring a Roller Coaster »

Source: Measuring a Roller Coaster : Evidenceon the Finnish Output Gap

Volume/Issue: 2004/57

Series: IMF Working Papers

Author(s): Andreas Billmeier

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451847802

Keywords: output gap, inflation forecasting, unemployment, unemployment rate, forecasting, statistics, rate of unemployment, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,

The output gap-which measures the deviation of actual output from its potential-is frequently used as an indicator of slack in an economy. This paper estimates the Finnish output gap using various empirical methods...

Information Rigidities in Economic Growth Forecasts

Information Rigidities in Economic Growth Forecasts »

Source: Information Rigidities in Economic Growth Forecasts : Evidence from a Large International Panel

Volume/Issue: 2013/56

Series: IMF Working Papers

Author(s): Jonas Dovern , Ulrich Fritsche , Prakash Loungani , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

ISBN: 9781475562958

Keywords: forecast, economic, information, emerging economies, real gdp, gdp growth, growth rate, Forecasting and Simulation, Forecasting and Simulation,

We examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989-2010. Our main findings are as follows. First, our evidence d...

Information Rigidity and the Expectations Formation Process

Information Rigidity and the Expectations Formation Process »

Source: 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

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...

Do Asset Price Drops Foreshadow Recessions?

Do Asset Price Drops Foreshadow Recessions? »

Source: Do Asset Price Drops Foreshadow Recessions?

Volume/Issue: 2013/203

Series: IMF Working Papers

Author(s): John Bluedorn , Jörg Decressin , and Marco Terrones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 October 2013

ISBN: 9781484353363

Keywords: Macroeconomic forecasting, Uncertainty, Binary dependent variable models, price, prices, market, spread, volatility, Forecasting and Simulation, Financial Forecasting and Simulation,

This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. I...

Ghostbusting

Ghostbusting »

Source: Ghostbusting : Which Output Gap Measure Really Matters?

Volume/Issue: 2004/146

Series: IMF Working Papers

Author(s): Andreas Billmeier

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2004

ISBN: 9781451856675

Keywords: Output gap, inflation forecasting, forecasting, statistics, statistic, inflationary pressures, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,

This paper investigates various output gap measures in a simple inflation forecasting framework. Reflecting the cyclical position of an economy, an (unobservable) output gap has important implications for economic...

Empirical Exchange Rate Models of the Nineties

Empirical Exchange Rate Models of the Nineties »

Source: Empirical Exchange Rate Models of the Nineties : Are Any Fit to Survive?

Volume/Issue: 2004/73

Series: IMF Working Papers

Author(s): Yin-Wong Cheung , Antonio Garcia Pascual , and Menzie Chinn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2004

ISBN: 9781451849493

Keywords: monetary model, forecasting performance, exchange rate, forecasting, random walk, statistic, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity...

Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel

Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel »

Source: Information Rigidities : Comparing Average and Individual Forecasts for a Large International Panel

Volume/Issue: 2014/31

Series: IMF Working Papers

Author(s): Jonas Dovern , Ulrich Fritsche , Prakash Loungani , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 February 2014

ISBN: 9781484305201

Keywords: Rational inattention, aggregation bias, growth forecasts, information rigidity, forecast behaviour, emerging economies, econometrics, parameters, Forecasting and Simulation,

We study forecasts for real GDP growth using a large panel of individual forecasts from 36 advanced and emerging economies during 1989-2010. We show that the degree of information rigidity in average forecasts is s...

Implementation Plan in Response to the Board-Endorsed Recommendations for the IEO Evaluation of IMF Forecasts - Process, Quality, and Country Perspective

Implementation Plan in Response to the Board-Endorsed Recommendations for the IEO Evaluation of IMF Forecasts - Process, Quality, and Country Perspective »

Source: Implementation Plan in Response to the Board-Endorsed Recommendations for the IEO Evaluation of IMF Forecasts - Process, Quality, and Country Perspective

Volume/Issue: 2015/052

Series: Policy Papers

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 September 2015

ISBN: 9781498344203

Keywords: Current account balances, Data processing, Human capital, Fiscal policy, Forecasting models, WEO, IEO, forecast error, forecast, medium-term

This paper sets out Management's response to the Independent Evaluation Office's (IEO) evaluation of IMF Forecasts: Process, Quality, and Country Perspectives. The implementation plan proposes specific actions to a...