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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...

Tales From Two Neighbors

Tales From Two Neighbors »

Source: Tales From Two Neighbors : Productivity Growth in Canada and the United States

Volume/Issue: 2000/169

Series: IMF Working Papers

Author(s): Martin Cerisola , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2000

ISBN: 9781451858334

Keywords: Equipment Investment, General Equilibrium Model, isp, tfp, total factor productivity, technologies, growth rate

This paper assesses productivity trends in Canada vis-a-vis the United States from two perspectives. The first one is based on estimates of total factor productivity. The second one decomposes productivity growth i...

Systemic Risks and the Macroeconomy

Systemic Risks and the Macroeconomy »

Source: Systemic Risks and the Macroeconomy

Volume/Issue: 2010/29

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451962567

Keywords: Dynamic Factor Model, Quantile Regressions, bank credit, forecasting, banking, bank lending, Econometric Modeling, Business Fluctuations, And Cycles, financial Institutions And Services,

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural...

Systemic Real and Financial Risks

Systemic Real and Financial Risks »

Source: Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing

Volume/Issue: 2012/58

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463937768

Keywords: Systemic Risks, Dynamic Factor Model, Quantile Auto-regressions, Density Forecasts, forecasting, bank credit, banking, probability, Econometric Modeling, Business Fluctuations

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial...

Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages

Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages »

Source: Are they All in the Same Boat? the 2000-2001 Growth Slowdown and the G-7 Business Cycle Linkages

Volume/Issue: 2003/46

Series: IMF Working Papers

Author(s): Thomas Helbling , and Tamim Bayoumi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451846577

Keywords: International Business Cycles, Dynamic Factor Models, business cycle, correlation, statistics, growth cycles, Open Economy Macroeconomics, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

This paper reviews the international business cycle among Group of Seven (G-7) countries since 1973 from two angles. An examination of business cycle synchronization among these countries using simple descriptive s...

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...

Globalization, the Business Cycle, and Macroeconomic Monitoring

Globalization, the Business Cycle, and Macroeconomic Monitoring »

Source: Globalization, the Business Cycle, and Macroeconomic Monitoring

Volume/Issue: 2011/25

Series: IMF Working Papers

Author(s): S. Boragan Aruoba , Marco Terrones , Ayhan Kose , and Francis Diebold

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2011

ISBN: 9781455216727

Keywords: Expansion, Contraction, Recession, Turning Point, Dynamic factor model, Nowcasting, Real-time analysis, business cycle, business cycles, correlations

We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observati...

The Comovement in Commodity Prices
			: Sources and Implications

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

DOI: http://dx.doi.org/10.5089/9781484378144.001

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...

Tales From Two Neighbors
			: Productivity Growth in Canada and the United States

Tales From Two Neighbors : Productivity Growth in Canada and the United States »

Volume/Issue: 2000/169

Series: IMF Working Papers

Author(s): Martin Cerisola , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2000

DOI: http://dx.doi.org/10.5089/9781451858334.001

ISBN: 9781451858334

Keywords: Equipment Investment, General Equilibrium Model, isp, tfp, total factor productivity, technologies, growth rate

This paper assesses productivity trends in Canada vis-a-vis the United States from two perspectives. The first one is based on estimates of total factor productivity. The second one decomposes productivity growth i...

Systemic Real and Financial Risks
			: Measurement, Forecasting, and Stress Testing

Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing »

Volume/Issue: 2012/58

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

DOI: http://dx.doi.org/10.5089/9781463937768.001

ISBN: 9781463937768

Keywords: Systemic Risks, Dynamic Factor Model, Quantile Auto-regressions, Density Forecasts, forecasting, bank credit, banking, probability, Econometric Modeling, Business Fluctuations

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial...