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Handbook on Residential Property Prices (RPPIs)

Handbook on Residential Property Prices (RPPIs) »

Series: Manuals & Guides

Author(s): Statistical Office of the European Communities;International Labour Office;International Monetary Fund;Organization for Economic Co-operation and Development;United Nations;World Bank

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 May 2013

DOI: http://dx.doi.org/10.5089/9789279259845.069

ISBN: 9789279259845

Keywords: real estate, mortgage, regression model, stratification, real estate price

For most citizens, buying a residential property (dwelling) is the most important transaction during their lifetime. Residential properties represent the most significant component of households’ expenses an...

Money Demand in the Euro Area

Money Demand in the Euro Area »

Source: Money Demand in the Euro Area : Where Do We Stand (Today)?

Volume/Issue: 2002/185

Series: IMF Working Papers

Author(s): Zenon Kontolemis

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2002

ISBN: 9781451859423

Keywords: EMU, Taylor Rule, Cointegration, inflation, equation, equations, Multiple or Simultaneous Equation Models: Time-Series Models,

The paper reviews the stability of long-run money demand in the euro area in the light of recent revisions to M3 data. The analysis confirms the existence of a stable long-run money demand, although the estimated e...

Ensuring Fiscal Sustainability in G-7 Countries

Ensuring Fiscal Sustainability in G-7 Countries »

Source: Ensuring Fiscal Sustainability in G-7 Countries

Volume/Issue: 2007/187

Series: IMF Working Papers

Author(s): Daniel Leigh , David Hauner , and Michael Skaarup

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867510

Keywords: general equilibrium models, pension, public debt, health care, Genenral Equilibrium Models,

Rising longevity, falling fertility rates, and the retirement of the baby boom generation will substantially raise age-related government spending in most advanced and many emerging market countries. This paper ass...

Some Simulation Properties of the Major Euro Area Economies in Multimod

Some Simulation Properties of the Major Euro Area Economies in Multimod »

Source: Some Simulation Properties of the Major Euro Area Economies in Multimod

Volume/Issue: 2003/31

Series: IMF Working Papers

Author(s): Douglas Laxton , and Benjamin Hunt

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2003

ISBN: 9781451845044

Keywords: Macroeconomic models, simulation properties, inflation, monetary policy, aggregate demand, nominal interest rate, monetary authority, Model Evaluation and Selection, General Aggregative Models: Forecasting and Simulation, Public Economics: General,

This paper was prepared as part of a euro area macroeconomic model comparisons project. Four standard macroeconomic experiments are considered to illustrate the differences in dynamic adjustment properties of two v...

A Global Projection Model for Euro Area Large Economies

A Global Projection Model for Euro Area Large Economies »

Source: A Global Projection Model for Euro Area Large Economies

Volume/Issue: 2015/50

Series: IMF Working Papers

Author(s): Zoltan Jakab , Pavel Lukyantsau , and Shengzu Wang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 March 2015

ISBN: 9781498399609

Keywords: Global projection model, inflation, interest rate, economies, demand, exchange rate, Forecasting and Other Model Applications, Open Economy Macroeconomics,

The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. This paper creates a special version of GPM that includes the four largest Euro Area (EA) countries. The...

Euro Area Money Demand

Euro Area Money Demand »

Source: Euro Area Money Demand : Measuring the Opportunity Costs Appropriately

Volume/Issue: 2001/179

Series: IMF Working Papers

Author(s): Joaquim Levy , Alessandro Calza , and Dieter Gerdesmeier

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2001

ISBN: 9781451859034

Keywords: own rate of money, M3, cointegration, equation, statistics, significance level, Multiple or Simultaneous Equation Models: Time-Series Models,

The existence of a well-specified and stable relationship between money and prices has long been perceived as a prerequisite for the use of monetary aggregates in the conduct of monetary policy. This paper contribu...

A Simple Forecasting Accuracy Criterion Under Rational Expectations

A Simple Forecasting Accuracy Criterion Under Rational Expectations »

Source: A Simple Forecasting Accuracy Criterion Under Rational Expectations : Evidence From the World Economic Outlook and Time Series Models

Volume/Issue: 1992/48

Series: IMF Working Papers

Author(s): José Barrionuevo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1992

ISBN: 9781451972238

Keywords: time series, time series models, statistics, forecasting, statistic

A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expecta...

Assessing Dsge Models with Capital Accumulation and Indeterminacy

Assessing Dsge Models with Capital Accumulation and Indeterminacy »

Source: Assessing Dsge Models with Capital Accumulation and Indeterminacy

Volume/Issue: 2012/83

Series: IMF Working Papers

Author(s): Vadim Khramov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

ISBN: 9781475502350

Keywords: Monetary DSGE Models, Indeterminacy, monetary policy rule, interest rates, capital, inflation, Bayesian Analysis, Model Evaluation and Selection, Existence and Stability Conditions of Equilibrium,

The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of ca...

Transmission of Financial Stress in Europe

Transmission of Financial Stress in Europe »

Source: Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece

Volume/Issue: 2014/76

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 May 2014

ISBN: 9781484368190

Keywords: Volatility, Contagion, Credit Default Swaps, financial crisis, financial markets, Time-Series Models, Model Construction and Estimation, Financial Markets and the Macroeconomy, Asset Pricing,

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyse...

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Source: Global Factors in the Term Structure of Interest Rates

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...