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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...

Price Setting in a Model with Production Chains

Price Setting in a Model with Production Chains »

Source: Price Setting in a Model with Production Chains : Evidence from Sectoral Data

Volume/Issue: 2010/82

Series: IMF Working Papers

Author(s): Maral Shamloo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

ISBN: 9781451982664

Keywords: Multi-sector model, Intermediate inputs, Heterogeneity, New-Keynesian Phillips curve, Production chain, inflation, relative price, monetary economics, aggregate demand, Prices

Reconciling the high frequency of price changes at the micro level and their apparent rigidity at the aggregate level has been the subject of considerable debate in macroeconomics recently. In this paper I show tha...

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...

Liquidity Management under Fixed Exchange Rate with Open Capital Account

Liquidity Management under Fixed Exchange Rate with Open Capital Account »

Source: Liquidity Management under Fixed Exchange Rate with Open Capital Account

Volume/Issue: 2019/58

Series: IMF Working Papers

Author(s): Mariam El Hamiani Khatat , and Romain Veyrune

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 March 2019

ISBN: 9781498302913

Keywords: Central banks, Central bank operations, Monetary policy operational framework, Central bank policy, Bank rates, Fixed exchange rate regime, price-specie flow mechanism, uncovered interest rate parity, offset coefficients, monetary operations

This paper introduces a theoretical framework for liquidity management under fixed exchange rate arrangement, derived from the price-specie flow mechanism of David Hume. The framework highlights that the risk of sh...

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...

2014 Triennial Surveillance Review - External Study - Risks and Spillovers

2014 Triennial Surveillance Review - External Study - Risks and Spillovers »

Source: 2014 Triennial Surveillance Review - External Study - Risks and Spillovers

Volume/Issue: 2014/048

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 July 2014

ISBN: 9781498342926

Keywords: Bilateral surveillance, Financial risk, Macroprudential Policy, Monetary policy, Multilateral surveillance, Spillovers, Surveillance, Asset prices, Assets, Balance sheets

...

Monetary Policy Transmission in Ghana
			: Does the Interest Rate Channel Work?

Monetary Policy Transmission in Ghana : Does the Interest Rate Channel Work? »

Volume/Issue: 2011/275

Series: IMF Working Papers

Author(s): Arto Kovanen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

DOI: http://dx.doi.org/10.5089/9781463925314.001

ISBN: 9781463925314

Keywords: monetary policy transmission, interest rates, monetary policy, central bank, inflation, money market, Money And Interest Rates,

This paper analyzes interest rate pass-through in Ghana. Time series and bank-specific data are utilized to highlight linkages between policy, wholesale market, and retail market interest rates. Our analysis shows...

Factors Underlying the Definition of Broad Money
			: An Examination of Recent U.S. Monetary Statistics and Practices of Other Countries

Factors Underlying the Definition of Broad Money : An Examination of Recent U.S. Monetary Statistics and Practices of Other Countries »

Volume/Issue: 2003/62

Series: IMF Working Papers

Author(s): Ewe-Ghee Lim , and Subramanian Sriram

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

DOI: http://dx.doi.org/10.5089/9781451848304.001

ISBN: 9781451848304

Keywords: Definitions Money, aggregates, money market, inflation, monetary aggregate, Macroeconomics and Monetary Economics: General, Money and Interest Rates, Monetary Policy, Central Banking, and the Supply of Money and Credit,

The paper examines the experiences of countries in defining monetary aggregates, particularly those countries that have undertaken substantial redefinitions. It finds that both the functional and empirical approach...

Inflation Targeting in Dollarized Economies

Inflation Targeting in Dollarized Economies »

Volume/Issue: 2006/157

Series: IMF Working Papers

Author(s): Leonardo Leiderman , Rodolfo Maino , and Eric Parrado

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

DOI: http://dx.doi.org/10.5089/9781451864175.001

ISBN: 9781451864175

Keywords: exchange rate, foreign exchange, real exchange rate, Money And Interest Rates, Monetary Policy, Central Banking, And The Supply Of Money And Credit,

The shift to inflation targeting has contributed to the relatively low inflation observed in some emerging market economies although, as noted by many economists, the preconditions required for a successful impleme...

Setting the Operational Framework for Producing Inflation Forecasts

Setting the Operational Framework for Producing Inflation Forecasts »

Volume/Issue: 2006/122

Series: IMF Working Papers

Author(s): Turgut Kisinbay , Eric Parrado , Rodolfo Maino , and Jorge Canales Kriljenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

DOI: http://dx.doi.org/10.5089/9781451863826.001

ISBN: 9781451863826

Keywords: Inflation forecasting, communication, central bank, inflation forecasts, Money and Interest Rates: Forecasting and Simulation,

How should a central bank organize itself to produce the best possible inflation forecast? This paper discusses elements for building a comprehensive platform for an inflation forecasting framework. It describes th...