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Inflation Reports and Models »
Source: Inflation Reports and Models : How Well Do Central Banks Really Write?
Volume/Issue: 2014/91
Series: IMF Working Papers
Author(s): Ales Bulir , Jaromír Hurník , and Katerina Smidkova
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 29 May 2014
ISBN: 9781498387613
Keywords: Kalman filter, monetary policy communication, inflation, central bank, aggregate demand, Forecasting and Simulation, Forecasting and Simulation,
We offer a novel methodology for assessing the quality of inflation reports. In contrast to the existing literature, which mostly evaluates the formal quality of these reports, we evaluate their economic content by...
Consensus Forecasts and Inefficient Information Aggregation »
Source: Consensus Forecasts and Inefficient Information Aggregation
Volume/Issue: 2010/178
Series: IMF Working Papers
Author(s): Christopher Crowe
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 July 2010
ISBN: 9781455201891
Keywords: Consensus Forecasts, Information Aggregation, Forecast Efficiency, efficiency, forecast horizons, forecast errors, forecast horizon, forecast error, Forecasting and Other Model Applications, General Aggregative Models: Forecasting and Simulation,
Consensus forecasts are inefficient, over-weighting older information already in the public domain at the expense of new private information, when individual forecasters have different information sets. Using a cro...
Forecasting Thailand's Core Inflation »
Source: Forecasting Thailand's Core Inflation
Volume/Issue: 2004/90
Series: IMF Working Papers
Author(s): Tao Sun
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2004
ISBN: 9781451851427
Keywords: Core Inflation, cointegration, statistics, equation, Forecasting and Other Model Applications, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,
This paper develops an approach for forecasting in Thailand core inflation. The key innovation is to anchor the projections derived from the short-term time-series properties of core inflation to its longer-run evo...
Forecasting Inflation in Indonesia »
Source: Forecasting Inflation in Indonesia
Volume/Issue: 2002/111
Series: IMF Working Papers
Author(s): Uma Ramakrishnan , and Athanasios Vamvakidis
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 June 2002
ISBN: 9781451853483
Keywords: inflation forecasting, monetary policy, price inflation, monetary fund, money supply, Model Construction and Estimation, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,
A reliable inflation-forecasting model is central for a sound monetary policy framework. In this paper, we study the domestic and international transmission effects on inflation in Indonesia and analyze the possibl...
A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam »
Source: A Macro-Model Approach to Monetary Policy Analysis and Forecasting for Vietnam
Volume/Issue: 2015/273
Series: IMF Working Papers
Author(s): Allan Dizioli , and Jochen M. Schmittmann
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 23 December 2015
ISBN: 9781513595665
Keywords: Bayesian Estimation, exchange rate, interest rates, monetary policy rule, central bank, Forecasting and Simulation, Monetary Policy (Targets, Instruments, and Effects),
The paper develops a small New-Keynesian FPAS model for Vietnam. The model closely matches actual data from 2000-2014. We derive an optimal monetary policy rule that minimizes variability of output, inflation, and...
Currency Crises in Developed and Emerging Market Economies »
Source: Currency Crises in Developed and Emerging Market Economies : A Comparative Empirical Treatment
Volume/Issue: 2005/13
Series: IMF Working Papers
Author(s): Thomson Fontaine
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2005
ISBN: 9781451860320
Keywords: exchange rate, contagion, currency crisis, fixed exchange rate, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,
This paper takes a step in empirically testing the implications of a number of theoretical models that attempt to highlight the dynamics behind currency crises. By focusing on countries with broadly disparate econo...
Global Food Price Inflation and Policy Responses in Central Asia »
Source: Global Food Price Inflation and Policy Responses in Central Asia
Volume/Issue: 2012/86
Series: IMF Working Papers
Author(s): International Monetary Fund
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2012
ISBN: 9781475502497
Keywords: central bank, monetary fund, price stability, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation, Kyrgyzstan, Food Price Shocks, Policy Responses,
This paper examines the implications of elevated global food prices for inflation in select Central Asian economies - Kazakhstan, the Kyrgyz Republic, Tajikistan, and Uzbekistan. The findings suggest that global fo...
Assessing Early Warning Systems »
Source: Assessing Early Warning Systems : How Have they Worked in Practice?
Volume/Issue: 2004/52
Series: IMF Working Papers
Author(s): Andrew Berg , Eduardo Borensztein , and Catherine Pattillo
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 March 2004
ISBN: 9781451847284
Keywords: vulnerability indicators, crisis prediction, forecasting accuracy, balance of payments crisis, probability, predictions, currency crisis, probabilities, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,
Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork...
Export Spillovers from Global Shocks for the Middle East and Central Asia »
Source: Export Spillovers from Global Shocks for the Middle East and Central Asia
Volume/Issue: 2014/80
Series: IMF Working Papers
Author(s): Alberto Behar , and Jaime Espinosa-Bowen
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 09 May 2014
ISBN: 9781484380796
Keywords: Gravity model, Caucasus, oil exports, oil exporters, exporters, services exports, exporter, Trade Forecasting and Simulation, International Business Cycles,
This paper quantifies the effect of realized and potential global growth disappointments on export volumes from the Middle East, North Africa, the Caucasus, and Central Asia. Estimates of export elasticities with r...
Default, Credit Growth, and Asset Prices »
Source: Default, Credit Growth, and Asset Prices
Volume/Issue: 2006/223
Series: IMF Working Papers
Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 2006
ISBN: 9781451864830
Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation
This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...