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The Comovement in Commodity Prices

The Comovement in Commodity Prices »

Source: The Comovement in Commodity Prices : Sources and Implications

Volume/Issue: 2013/140

Series: IMF Working Papers

Author(s): Ron Alquist , and Olivier Coibion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 June 2013

ISBN: 9781484378144

Keywords: comovement, factor models, factor analysis, global production, agricultural commodities, idiosyncratic shocks, International Business Cycles, comovement: factor models,

We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the co...

Estimates of Potential Output and the Neutral Rate for the U.S. Economy

Estimates of Potential Output and the Neutral Rate for the U.S. Economy »

Source: Estimates of Potential Output and the Neutral Rate for the U.S. Economy

Volume/Issue: 2018/152

Series: IMF Working Papers

Author(s): Ali Alichi , Rania Al-Mashat , Hayk Avetisyan , Jaromir Benes , Olivier Bizimana , Aram Butavyan , Robert Ford , Narek Ghazaryan , Vahagn Grigoryan , Mane Harutyunyan , Anahit Hovhannisyan , Edgar Hovhannisyan , Hayk Karapetyan , Mariam Kharaishvili , Douglas Laxton , Akaki Liqokeli , Karolina Matikyan , Gevorg Minasyan , Shalva Mkhatrishvili , Armen Nurbekyan , Andrei Orlov , Babken Pashinyan , Garik Petrosyan , Yekaterina Rezepina , Aleksandr Shirkhanyan , Tamta Sopromadze , Lusine Torosyan , Erik Vardanyan , Hou Wang , and Jiaxiong Yao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 July 2018

ISBN: 9781484366325

Keywords: United States, Western Hemisphere, Potential output, Macroeconomic Modeling, Neutral Rate, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects)

Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions...

Output and Inflation Co-movement

Output and Inflation Co-movement »

Source: Output and Inflation Co-movement : An Update on Business-Cycle Stylized Facts

Volume/Issue: 2016/241

Series: IMF Working Papers

Author(s): Michal Andrle , Jan Bruha , and Serhat Solmaz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 December 2016

ISBN: 9781475560329

Keywords: General equilibrium models, Business cycles, Developed countries, Demand, Inflation, Production, Business cycle, demand shocks, DSGE models, dynamic principal components

What are the drivers of business cycle fluctuations? And how many are there? By documenting strong and predictable co-movement of real variables during the business cycle in a sample of advanced economies, we argue...

Trade and Integration in the Caribbean

Trade and Integration in the Caribbean »

Source: Trade and Integration in the Caribbean

Volume/Issue: 2002/148

Series: IMF Working Papers

Author(s): Philippe Egoume Bossogo , and Chandima Mendis

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451856835

Keywords: integration, gravity model, dummy variable, equation, trade liberalization, bilateral trade, average trade, Neoclassical Models of Trade, Bahamas,

This paper analyzes trade in the Caribbean community (CARICOM) using a gravity model framework. The paper seeks to shed light on the dynamics of trade among CARICOM member countries, as well with the rest of world...

Morocco: A Practical Approach to Monetary Policy Analysis in a Country with Capital Controls

Morocco: A Practical Approach to Monetary Policy Analysis in a Country with Capital Controls »

Source: Morocco: A Practical Approach to Monetary Policy Analysis in a Country with Capital Controls

Volume/Issue: 2018/27

Series: IMF Working Papers

Author(s): Mokhtar Benlamine , Ales Bulir , Meryem Farouki , Ágnes Horváth , Faical Hossaini , Hasnae El Idrissi , Zineb Iraoui , Mihály Kovács , Douglas Laxton , Anass Maaroufi , Katalin Szilágyi , Mohamed Taamouti , and David Vávra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 February 2018

ISBN: 9781484341810

Keywords: Middle East, Monetary policy, Morocco, forecasting and simulation, model construction, Monetary Policy (Targets, Instruments, and Effects), Model Construction and Estimation

The Central Bank of Morocco has been working on developing a Forecasting and Policy Analysis System (FPAS) to support a gradual move toward a more flexible exchange rate regime and the eventual adoption of a full-f...

Multivariate Filter Estimation of Potential Output for the United States

Multivariate Filter Estimation of Potential Output for the United States »

Source: Multivariate Filter Estimation of Potential Output for the United States

Volume/Issue: 2017/106

Series: IMF Working Papers

Author(s): Ali Alichi , Olivier Bizimana , Douglas Laxton , Kadir Tanyeri , Hou Wang , Jiaxiong Yao , and Fan Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 May 2017

ISBN: 9781475598384

Keywords: United States, Western Hemisphere, Potential output, Macroeconomic Modeling, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects)

Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by La...

Inflation-Forecast Targeting for India

Inflation-Forecast Targeting for India »

Source: Inflation-Forecast Targeting for India : An Outline of the Analytical Framework

Volume/Issue: 2017/32

Series: IMF Working Papers

Author(s): Jaromir Benes , Kevin Clinton , Asish George , Joice John , Ondra Kamenik , Douglas Laxton , Pratik Mitra , G.V. Nadhanael , Hou Wang , and Fan Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 February 2017

ISBN: 9781475578690

Keywords: Asia and Pacific, Disinflation, India, Inflation targeting, Forecasting models, Monetary policy, Price stabilization, Central banks and their policies, inflation targeting; Reserve Bank of India; inflation episodes in India; forecasting models; monetary policy models; model calibration; monetary policy rules; monetary policy simulations, Reserve Bank of India

India formally adopted flexible inflation targeting (FIT) in June 2016 to place price stability, defined in terms of a target CPI inflation, as the primary objective of monetary policy. In this context, the paper d...

Policy Analysis and Forecasting in the  World Economy

Policy Analysis and Forecasting in the World Economy »

Source: Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach

Volume/Issue: 2012/149

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

ISBN: 9781475504187

Keywords: Monetary policy analysis, Fiscal policy analysis, Spillover analysis, World economy, Panel unobserved components model, Bayesian econometrics, inflation, domestic demand, terms of trade, price inflation

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a...

Net Foreign Asset Positions and Consumption Dynamics in the International Economy

Net Foreign Asset Positions and Consumption Dynamics in the International Economy »

Source: Net Foreign Asset Positions and Consumption Dynamics in the International Economy

Volume/Issue: 2005/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

ISBN: 9781451861013

Keywords: Net foreign assets, consumption tilting, foreign assets, foreign asset, net foreign asset, foreign asset positions, Open Economy Macroeconomics, Multiple or Simultaneous Equation Models: Models with Panel Data,

We examine the effect of non-zero, long-run foreign asset positions on consumption dynamics in response to productivity shocks in a two-country, dynamic, general equilibrium model, with different discount factors a...

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections »

Source: Overfitting in Judgment-based Economic Forecasts: The Case of IMF Growth Projections

Volume/Issue: 2018/260

Series: IMF Working Papers

Author(s): Klaus-Peter Hellwig

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 December 2018

ISBN: 9781484386187

Keywords: forecast evaluation, bias-variance trade-off, machine learning, Forecasting, GDP growth, Model Evaluation and Testing, Forecasting and Other Model Applications, Forecasting and Simulation

I regress real GDP growth rates on the IMF's growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimati...