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What Do Monetary Contractions Do? Evidence From An Algorithmic Identification Procedure*

What Do Monetary Contractions Do? Evidence From An Algorithmic Identification Procedure* »

Source: What Do Monetary Contractions Do? Evidence From An Algorithmic Identification Procedure

Volume/Issue: 2018/211

Series: IMF Working Papers

Author(s): Tim Willems

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 September 2018

ISBN: 9781484378229

Keywords: Output, Inflation, Monetary policy, Monetary Policy (Targets, Instruments, and Effects)

As the 'Volcker shock' is believed to have generated useful information on the effects of monetary policy, this paper develops a simple procedure to identify other unanticipated monetary contractions. The approach...

The Global Macrofinancial Model

The Global Macrofinancial Model »

Source: The Global Macrofinancial Model

Volume/Issue: 2018/81

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 April 2018

ISBN: 9781484350706

Keywords: Monetary policy; Fiscal policy; Macroprudential policy; Spillovers; Forecasting; Dynamic stochastic general equilibrium model; World economy

This paper documents the theoretical structure and empirical properties of the latest version of the Global Macrofinancial Model (GFM). This dynamic stochastic general equilibrium model of the world economy, disagg...

Monetary Policy and the Relative Price of Durable Goods*

Monetary Policy and the Relative Price of Durable Goods* »

Source: Monetary Policy and the Relative Price of Durable Goods

Volume/Issue: 2017/290

Series: IMF Working Papers

Author(s): Alessandro Cantelmo , and Giovanni Melina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 December 2017

ISBN: 9781484335451

Keywords: Monetary policy, durables, nondurables, price stickiness, relative price, Monetary Policy (Targets, Instruments, and Effects)

In a SVAR model of the US, the response of the relative price of durables to a monetary contraction is either flat or mildly positive. It significantly falls only if narrowly defined as the ratio between new-house...

Inflation News and Euro Area Inflation Expectations

Inflation News and Euro Area Inflation Expectations »

Source: Inflation News and Euro Area Inflation Expectations

Volume/Issue: 2018/167

Series: IMF Working Papers

Author(s): Juan Angel Garcia , and Sebastian Werner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 July 2018

ISBN: 9781484363010

Keywords: Inflation, Monetary policy, Central banks and their policies, market-based inflation expectations, macroeconomic news, Monetary Policy (Targets, Instruments, and Effects)

Do euro area inflation expectations remain well-anchored? This paper finds that the protracted period of low (and below-target) inflation in the euro area since 2013 has weakened their anchoring. Testing their sens...

Sectoral Labor Mobility and Optimal Monetary Policy*

Sectoral Labor Mobility and Optimal Monetary Policy* »

Source: Sectoral Labor Mobility and Optimal Monetary Policy

Volume/Issue: 2017/40

Series: IMF Working Papers

Author(s): Alessandro Cantelmo , and Giovanni Melina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 March 2017

ISBN: 9781475584783

Keywords: Central banks and their policies, Labor mobility, Optimal monetary policy, durable goods, DSGE, Monetary Policy (Targets, Instruments, and Effects)

In an estimated two-sector New-Keynesian model with durable and nondurable goods, an inverse relationship between sectoral labor mobility and the optimal weight the central bank should attach to durables inflation...

The Effective Lower Bound for the Policy Rate in Euroized Economies-An Application to the Case of Albania

The Effective Lower Bound for the Policy Rate in Euroized Economies-An Application to the Case of Albania »

Source: The Effective Lower Bound for the Policy Rate in Euroized Economies-An Application to the Case of Albania

Volume/Issue: 2018/55

Series: IMF Working Papers

Author(s): Guido della Valle , Erald Themeli , Romain Veyrune , Ezequiel Cabezon , and Shaoyu Guo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2018

ISBN: 9781484345313

Keywords: Monetary policy, Europe, Albania, interest rate lower bound, euroization, Monetary Policy (Targets, Instruments, and Effects), Albania

Based on the experience of the Bank of Albania, the paper proposes a framework to estimate the interest rate lower bound in small, open, and euroized economies. The paper introduces a stylized monitoring tool to as...

Czech Magic

Czech Magic »

Source: Czech Magic : Implementing Inflation-Forecast Targeting at the CNB

Volume/Issue: 2017/21

Series: IMF Working Papers

Author(s): Kevin Clinton , Tibor Hlédik , Tomás Holub , Douglas Laxton , and Hou Wang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 January 2017

ISBN: 9781475572971

Keywords: Inflation targeting, Czech Republic, Central banks, Monetary policy, Forecasting models, Inflation Targeting, Monetary Policy, Optimal Control

This paper describes the CNB's experience implementing an inflation-forecast targeting (IFT) regime, and the building of a system for providing the economic information that policymakers need to implement IFT. The...

Monetary Policy and Models of Currency Demand

Monetary Policy and Models of Currency Demand »

Source: Monetary Policy and Models of Currency Demand

Volume/Issue: 2018/28

Series: IMF Working Papers

Author(s): Mariam El Hamiani Khatat

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 February 2018

ISBN: 9781484341926

Keywords: Liquidity forecasting, Currency in circulation, ARIMA models, seasonality, monetary policy

Two types of currency in circulation models are identified: (1) a first generation derived from the theory of money demand and (2) a second generation aimed at producing daily forecasts of currency in circulation....

Monetary Policy Credibility and Exchange Rate Pass-Through°

Monetary Policy Credibility and Exchange Rate Pass-Through° »

Source: Monetary Policy Credibility and Exchange Rate Pass-Through

Volume/Issue: 2016/240

Series: IMF Working Papers

Author(s): Yan Carriere-Swallow , Bertrand Gruss , Nicolas Magud , and Fabian Valencia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 December 2016

ISBN: 9781475560312

Keywords: Price stabilization, Monetary policy, Exchange rate pass-through, Emerging markets, Consumer prices, Developed countries, Cross country analysis, monetary policy credibility

A long-standing conjecture in macroeconomics is that recent declines in exchange rate pass-through are in part due to improved monetary policy performance. In a large sample of emerging and advanced economies, we f...

Optimal Fiscal and Monetary Policy, Debt Crisis and Management*

Optimal Fiscal and Monetary Policy, Debt Crisis and Management* »

Source: Optimal Fiscal and Monetary Policy, Debt Crisis and Management

Volume/Issue: 2017/78

Series: IMF Working Papers

Author(s): Cristiano Cantore , Paul Levine , Giovanni Melina , and Joseph Pearlman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 March 2017

ISBN: 9781475590180

Keywords: Crisis management, Debt consolidation, Optimal fiscal-monetary policy, long-term debt, fiscal limits, Monetary Policy (Targets, Instruments, and Effects)

The initial government debt-to-GDP ratio and the government's commitment play a pivotal role in determining the welfare-optimal speed of fiscal consolidation in the management of a debt crisis. Under commitment, fo...