Narrow Your Choices

Refine By Topic

Refine By Series

Refine By Language

Refine By Date

—

Refine By IMF Taxonomy

Refine By JEL Taxonomy

Refine by LOC Taxonomy

Refine By THEMA Taxonomy

  • Print
  • Save

Middle East and Central Asia > Qatar

You are looking at 1 - 3 of 3 items for :

  • Type: Journal Issue x
  • Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes x
Clear All Modify Search
Cover IMF Working Papers
Shocks to Inflation Expectations
Mr. Philip Barrett
and
Jonathan J. Adams
The consensus among central bankers is that higher inflation expectations can drive up inflation today, requiring tighter policy. We assess this by devising a novel method for identifying shocks to inflation expectations, estimating a semi-structural VAR where an expectation shock is identified as that which causes measured expectations to diverge from rationality. Using data for the United States, we find that a positive inflation expectations shock is deflationary and contractionary: inflation, output, and interest rates all fall. These results are inconsistent with the standard New Keynesian model, which predicts inflation and interest rate hikes. We discuss possible resolutions to this new puzzle.
Keywords:
Inflation; Sentiments; Expectations; Monetary Policy; inflation expectation; interest rate hike; sentiment shock; forecasted inflation; expectations multiplier; inflation impulse; Inflation; Neoclassical theory; Rational expectations; Vector autoregression; Machine learning
Cover IMF Working Papers
A Newton's Method for Benchmarking Time Series According to a Growth Rates Preservation Principle
Mr. Marco Marini
and
Mr. Tommaso Di Fonzo
This work presents a new technique for temporally benchmarking a time series according to the growth rates preservation principle (GRP) by Causey and Trager (1981). A procedure is developed which (i) transforms the original constrained problem into an unconstrained one, and (ii) applies a Newton's method exploiting the analytic Hessian of the GRP objective function. We show that the proposed technique is easy to implement, computationally robust and efficient, all features which make it a plausible competitor of other benchmarking procedures (Denton, 1971; Dagum and Cholette, 2006) also in a data-production process involving a considerable amount of series.
Keywords:
WP; objective function; Benchmarking; Movement preservation; Linearly equality constrained non-linear optimization; Newton’s method; benchmarking procedure; BFGS performance; Hessian matrix; GRP criterion; GRP procedure; minimization problem; time series; benchmarked estimate; optimization procedure; Artificial intelligence; Global
Cover IMF Working Papers
Sukuk vs. Eurobonds: Is There a Difference in Value-at-Risk?
Ms. Faezeh Raei
and
Mr. Selim Cakir
This paper assesses the impact of bonds issued according to Islamic principles (Sukuk), on the cost and risk structure of investment portfolios by using the Value-at-Risk (VaR) framework. The market for Sukuk has grown tremendously in recent years at about 45 percent a year. Sukuk provide sovereign governments and corporations with access to the huge and growing Islamic liquidity pool, in addition to the conventional investor base. The paper analyzes whether secondary market behavior of Eurobonds and Sukuk issued by the same issuer are significantly different to provide gains from diversification. The analysis, employing the delta-normal as well as Monte-Carlo simulation methods, implies such gains are present and in certain cases very significant.
Keywords:
WP; portfolio; bond; bond portfolio simulation; return