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A Small Quarterly Projection Model of the US Economy1

A Small Quarterly Projection Model of the US Economy1 »

Source: A Small Quarterly Projection Model of the US Economy

Volume/Issue: 2008/278

Series: IMF Working Papers

Author(s): Igor Ermolaev , Michel Juillard , Ioan Carabenciov , Charles Freedman , Douglas Laxton , Ondrej Kamenik , and Dmitry Korshunov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

ISBN: 9781451871364

Keywords: Macroeconomic Modeling, Bayesian Estimation, inflation, equation, correlation, forecasting, standard deviation,

This is the first of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both...

A Practical Model-Based Approach to Monetary Policy Analysis-Overview

A Practical Model-Based Approach to Monetary Policy Analysis-Overview »

Source: A Practical Model-Based Approach to Monetary Policy Analysis-Overview

Volume/Issue: 2006/80

Series: IMF Working Papers

Author(s): Douglas Laxton , Andrew Berg , and Philippe Karam

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

ISBN: 9781451863406

Keywords: forecasting and simulation, model construction, and estimation, inflation, monetary fund, aggregate demand, central bank,

This paper motivates and describes an approach to forecasting and monetary policy analysis based on the use of a simple structural macroeconomic model, along the lines of those in use in a number of central banks....

Testing the Transparency Benefits of Inflation Targeting

Testing the Transparency Benefits of Inflation Targeting »

Source: Testing the Transparency Benefits of Inflation Targeting : Evidence from Private Sector Forecasts

Volume/Issue: 2006/289

Series: IMF Working Papers

Author(s): Christopher Crowe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865493

Keywords: inflation forecasts, central bank transparency, propensity score matching, central bank, Asymmetric and Private Information,

I test whether inflation targeting (IT) enhances transparency using inflation forecast data for 11 IT adoption countries. IT adoption promotes convergence in forecast errors, suggesting that it enhances transparenc...

Practical Model-Based Monetary Policy Analysis

Practical Model-Based Monetary Policy Analysis »

Source: Practical Model-Based Monetary Policy Analysis : A How-To Guide

Volume/Issue: 2006/81

Series: IMF Working Papers

Author(s): Douglas Laxton , Andrew Berg , and Philippe Karam

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

ISBN: 9781451863413

Keywords: Forecasting and Simulation, Model construction and estimation, computational techniques, inflation, aggregate demand, monetary fund, real interest rate,

This paper provides a how-to guide to model-based forecasting and monetary policy analysis. It describes a simple structural model, along the lines of those in use in a number of central banks. This workhorse model...

Monetary Policy Analysis and Forecasting in the Group of Twenty

Monetary Policy Analysis and Forecasting in the Group of Twenty »

Source: Monetary Policy Analysis and Forecasting in the Group of Twenty : A Panel Unobserved Components Approach

Volume/Issue: 2010/152

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2010

ISBN: 9781455201358

Keywords: Monetary policy analysis, Panel unobserved components model, Bayesian conditioning on judgment, inflation, monetary conditions, nominal interest rate, Bayesian Analysis, Multiple or Simultaneous Equation Models: Models with Panel Data, Model Construction and Estimation, Forecasting and Other Model Applications

This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into twenty national economies along the lines of the Group of Twenty. This structu...

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...

A Small Quarterly Projection Model of the US Economy

A Small Quarterly Projection Model of the US Economy »

Volume/Issue: 2008/278

Series: IMF Working Papers

Author(s): Igor Ermolaev , Michel Juillard , Ioan Carabenciov , Charles Freedman , Douglas Laxton , Ondrej Kamenik , and Dmitry Korshunov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

DOI: http://dx.doi.org/10.5089/9781451871364.001

ISBN: 9781451871364

Keywords: Macroeconomic Modeling, Bayesian Estimation, inflation, equation, correlation, forecasting, standard deviation,

This is the first of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both...

A Practical Model-Based Approach to Monetary Policy Analysis-Overview

A Practical Model-Based Approach to Monetary Policy Analysis-Overview »

Volume/Issue: 2006/80

Series: IMF Working Papers

Author(s): Douglas Laxton , Andrew Berg , and Philippe Karam

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

DOI: http://dx.doi.org/10.5089/9781451863406.001

ISBN: 9781451863406

Keywords: forecasting and simulation, model construction, and estimation, inflation, monetary fund, aggregate demand, central bank,

This paper motivates and describes an approach to forecasting and monetary policy analysis based on the use of a simple structural macroeconomic model, along the lines of those in use in a number of central banks....

Testing the Transparency Benefits of Inflation Targeting
			: Evidence from Private Sector Forecasts

Testing the Transparency Benefits of Inflation Targeting : Evidence from Private Sector Forecasts »

Volume/Issue: 2006/289

Series: IMF Working Papers

Author(s): Christopher Crowe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

DOI: http://dx.doi.org/10.5089/9781451865493.001

ISBN: 9781451865493

Keywords: inflation forecasts, central bank transparency, propensity score matching, central bank, Asymmetric and Private Information,

I test whether inflation targeting (IT) enhances transparency using inflation forecast data for 11 IT adoption countries. IT adoption promotes convergence in forecast errors, suggesting that it enhances transparenc...

Practical Model-Based Monetary Policy Analysis
			: A How-To Guide

Practical Model-Based Monetary Policy Analysis : A How-To Guide »

Volume/Issue: 2006/81

Series: IMF Working Papers

Author(s): Douglas Laxton , Andrew Berg , and Philippe Karam

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

DOI: http://dx.doi.org/10.5089/9781451863413.001

ISBN: 9781451863413

Keywords: Forecasting and Simulation, Model construction and estimation, computational techniques, inflation, aggregate demand, monetary fund, real interest rate,

This paper provides a how-to guide to model-based forecasting and monetary policy analysis. It describes a simple structural model, along the lines of those in use in a number of central banks. This workhorse model...