Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

316     [ Page 37 of 68, No. 1 ]

Date

2013-03

Author

Adolfo Barajas, Thorsten Beck, Era Dabla-Norris, and Seyed Reza Yousefi

Affiliation

Strategy, Policy, and Review Department, IMF

Title

Too Cold, Too Hot, Or Just Right? Assessing Financial Sector Development Across the Globe

Summary /
Abstract

This paper introduces the concept of the financial possibility frontier as a constrained optimum level of financial development to gauge the relative performance of financial systems across the globe. This frontier takes into account structural country characteristics, institutional, and macroeconomic factors that impact financial system deepening. We operationalize this framework using a benchmarking exercise, which relates the difference between the actual level of financial development and the level predicted by structural characteristics, to an array of policy variables. We also show that an overshooting of the financial system significantly beyond levels predicted by its structural fundamentals is associated with credit booms and busts.

Keywords

Financial Development; Financial Sector Policies; Benchmarking

URL

http://www.imf.org/external/pubs/ft/wp/2013/wp1381.pdf



Record ID

315     [ Page 37 of 68, No. 2 ]

Date

2010-02

Author

Martin Fukac

Affiliation

Federal Reserve Bank of Kansas City

Title

Impulse Response Identification in DSGE Models

Summary /
Abstract

Dynamic stochastic general equilibrium (DSGE) models have become a widely used tool for policymakers. This paper modifies the global identification theory used for structural vectorautoregressions, and applies it to DSGE models. We use this theory to check whether a DSGE model structure allows for unique estimates of structural shocks and their dynamic effects. The potential cost of a lack of identification for policy oriented models along that specific dimension is huge, as the same model can generate a number of contrasting yet theoretically and empirically justifiable recommendations. The problem and methodology are illustrated using a simple New Keynesian business cycle model.

Keywords

Identification of DSGE models, impulse response, identification, minimal system realisation

URL

http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1553933_code694895.pdf?abstractid=1553933&mirid=2



Record ID

314     [ Page 37 of 68, No. 3 ]

Date

2010-02

Author

Adrian Pagan and Martin Fukac

Affiliation

Australian National University (ANU) - Research School of Social Sciences (RSSS), University of New South Wales - Australian School of Business - School of Economics, and Federal Reserve Bank of Kansas City

Title

Structural Macro-Econometric Modelling in a Policy Environment

Summary /
Abstract

In this paper we review the evolution of macroeconomic modelling in a policy environment that took place over the past sixty years. We identify and characterize four generations of macro models. Particular attention is paid to the fourth generation - dynamic stochastic general equilibrium models. We discuss some of the problems in how these models are implemented and quantified.

Keywords

History of macroeconomic modeling, policy oriented models, structural model evaluation, DSGE models

URL

http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1553948_code694895.pdf?abstractid=1553948&mirid=2



Record ID

313     [ Page 37 of 68, No. 4 ]

Date

2010-02

Author

Pier Francesco Asso, George A. Kahn, and Robert Leeson

Affiliation

University of Palermo, Federal Reserve Bank of Kansas City, and Hoover Institution

Title

The Taylor Rule and the Practice of Central Banking

Summary /
Abstract

The Taylor rule has revolutionized the way many policymakers at central banks think about monetary policy. It has framed policy actions as a systematic response to incoming information about economic conditions, as opposed to a period-by-period optimization problem. It has emphasized the importance of adjusting policy rates more than one-for-one in response to an increase in inflation. And, various versions of the Taylor rule have been incorporated into macroeconomic models that are used at central banks to understand and forecast the economy.

This paper examines how the Taylor rule is used as an input in monetary policy deliberations and decision-making at central banks. The paper characterizes the policy environment at the time of the development of the Taylor rule and describes how and why the Taylor rule became integrated into policy discussions and, in some cases, the policy framework itself. Speeches by policymakers and transcripts and minutes of policy meetings are examined to explore the practical uses of the Taylor rule by central bankers. While many issues remain unresolved and views still differ about how the Taylor rule can best be applied in practice, the paper shows that the rule has advanced the practice of central banking.

Keywords

Taylor rule, monetary policy, rules versus discretion

URL

http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1553978_code694895.pdf?abstractid=1553978&mirid=2



Record ID

312     [ Page 37 of 68, No. 5 ]

Date

2013-03

Author

Luis Felipe Cespedes, Roberto Chang, and Andres Velasco

Affiliation

Universidad Adolfo Ibáñez, Rutgers University and National Bureau of Economic Research, and Columbia University and National Bureau of Economic Research

Title

Is Inflation Targeting Still on Target? The Recent Experience of Latin America

Summary /
Abstract

This paper reviews the recent experience of a half-dozen Latin American inflation targeting (IT) nations. Repeated and large deviations from the standard IT framework are documented: exchange market interventions have been lasting and widespread; the real exchange rate has often become a target of policy, though this target is seldom made explicit; a range of other non-conventional policy tools, especially changes in reserve requirements but occasionally taxes or restrictions on international capital movements, also came into common use. As in developed nations, during the 2008-2009 crisis issues of liquidity provision took center stage. A first evaluation of the emerging modified framework of monetary policy is also attempted. In general terms, the new approach seems to have been effective, at the very least since the region weathered the crisis reasonably well. But also, and perhaps more importantly, many questions remain about the desirability of non-conventional monetary policies in Latin America.

Keywords

Inflation targeting, monetary policy, financial crisis

URL

http://idbdocs.iadb.org/wsdocs/getdocument.aspx?docnum=37635005

Remarks

Are countries in the region moving toward a new monetary policy framework? Or are they simply adding bells and whistles to the basic Inflation Targeting logic? The authors of this paper are inclined to take the second alternative. What seems to be emerging is not an alternative regime to IT, but rather an expanded and enriched version. The old IT may no longer be on target, but perhaps a new version soon will be.



Record ID

311     [ Page 37 of 68, No. 6 ]

Date

2013-01

Author

Armand Fouejieu A. and Scott Roger

Affiliation

International Monetary Fund

Title

Inflation Targeting and Country Risk: an Empirical Investigation

Summary /
Abstract

The sovereign debt crisis in Europe has highlighted the role of country risk premia as a link between countries’ fiscal and external balances, financial conditions and monetary policy. The purpose of this paper is to estimate how adoption of inflation targeting (IT) affects spreads. It is hypothesized that country risk premia for IT countries (especially among emerging market economies) may be lower than for other countries owing to greater policy predictability and more stable long-term inflation. The findings suggest that IT reduces the risk premium, both through adoption of the IT regime, and through the observed track record in stabilizing inflation.

Keywords

Inflation targeting, risk premium, external debt

URL

http://www.imf.org/external/pubs/ft/wp/2013/wp1321.pdf



Record ID

310     [ Page 37 of 68, No. 7 ]

Date

2013-01

Author

Benes, Jaromir ; Berg, Andrew ; Portillo, Rafael ; Vavra, David

Affiliation

Research Department, IMF

Title

Modeling Sterilized Interventions and Balance Sheet Effects of Monetary Policy in a New-Keynesian Framework

Summary /
Abstract

We study a wide range of hybrid inflation-targeting (IT) and managed exchange rate regimes, analyzing their implications for inflation, output and the exchange rate in the presence of various domestic and external shocks. To this end, we develop an open economy new-Keynesian model featuring sterilized interventions in the foreign exchange (FX) market as an additional central bank instrument operating alongside the Taylor rule, and affecting the economy through portfolio balance sheet effects in the financial sector. We find that there can be advantages to combining IT with some degree of exchange rate management via FX interventions. Unlike "pure" IT or exchange rate management via interest rates, FX interventions can help insulate the economy against certain shocks, especially shocks to international financial conditions. However, managing the exchange rate through FX interventions may also hinder necessary exchange rate adjustments, e.g., in the presence of terms of trade shocks.

Keywords

Sterilized FX inte rventions, monetary policy, emer ging markets, new-Keynesian economics.

URL

http://www.imf.org/external/pubs/ft/wp/2013/wp1311.pdf



Record ID

309     [ Page 37 of 68, No. 8 ]

Date

2013-02

Author

Atish R. Ghosh, Jun I. Kim, Enrique G. Mendoza, Jonathan D. Ostry and Mahvash S. Qureshi

Affiliation

International Monetary Fund and University of Pennsyulvania (Mendoza)

Title

FISCAL FATIGUE, FISCAL SPACE AND DEBT SUSTAINABILITY IN ADVANCED ECONOMIES

Summary /
Abstract

How high can public debt rise without compromising fiscal solvency? We answer this question using a stochastic model of sovereign default in which risk-neutral investors lend to a government that displays ‘fiscal fatigue’, whereby its ability to increase primary balances cannot keep pace with rising debt. As a result, the government faces an endogenous debt limit beyond which debt cannot be rolled over. Using data for 23 advanced economies over the period 1970-2007, we find evidence of a fiscal reaction function with these features, and use it to compute ‘fiscal space’, defined as the difference between current debt ratios and the estimated debt limits.

Keywords

Fiscal fatigue, fiscal space, debt sustainability

URL

http://onlinelibrary.wiley.com/doi/10.1111/ecoj.12010/pdf

Remarks

A practical guide to public borrowing.



Record ID

308     [ Page 37 of 68, No. 9 ]

Date

2012-09

Author

Strategy, Policy, and Review Department, in consultation with other Departments

Affiliation

IMF

Title

IMF Policy Paper: Fifth Periodic Monitoring Report on the Status of Implementation Plans in Response to Board-Endorsed IEO Recommendations

Summary /
Abstract

Periodic Monitoring Reports update the status on Management Implementation Plans (MIPs) in response to Executive Board-endorsed IEO recommendations. The last Periodic Monitoring Report (PMR) was discussed by the Board Evaluation Committee (EVC) and then agreed by the Board in August 2011. That report concluded that all key performance benchmarks related to the MIPs covered in that report had either been met or were on track for timely completion, that no new remedial actions were proposed, and that there were no outstanding performance benchmarks to be reviewed in the next PMR. In their assessment to the Executive Board, the EVC did, however, note that further work was needed on three other issues—staff mobility, enhanced coverage of previous implementation plans, and the process for following up on IEO recommendations. This fifth report therefore updates work on these three issues, including a consolidated picture of recent progress on all Board-endorsed recommendations made since the first PMR in 2007. This PMR also presents progress on the Implementation Plan in response to Board-endorsed recommendations arising from the IEO Evaluation of IMF Interactions with Member Countries (hereafter, Interactions Evaluation).

Keywords

Independent Evaluation Office (IEO)

URL

http://www.imf.org/external/np/pp/eng/2012/092412.pdf

Remarks

It would be useful for the BSP and other national authorities in the Philippines to be aware of recent initiatives that the IMF Executive Board had approved or been pursuing or intending to pursue in areas of relationships and obligations between the Philippines and the IMF.



Record ID

307     [ Page 37 of 68, No. 10 ]

Date

2013-03

Author

Shekhar Aiyar, Romain Duval, Damien Puy, Yiqun Wu, and Longmei Zhang

Affiliation

Asia and Pacific Department, IMF

Title

Growth Slowdowns and the Middle-Income Trap

Summary /
Abstract

The “middle-income trap” is the phenomenon of hitherto rapidly growing economies stagnating at middle-income levels and failing to graduate into the ranks of high-income countries. In this study we examine the middle-income trap as a special case of growth slowdowns, which are identified as large sudden and sustained deviations from the growth path predicted by a basic conditional convergence framework. We then examine their determinants by means of probit regressions, looking into the role of institutions, demography, infrastructure, the macroeconomic environment, output structure and trade structure. Two variants of Bayesian Model Averaging are used as robustness checks. The results—including some that indeed speak to the special status of middle-income countries—are then used to derive policy implications, with a particular focus on Asian economies.

Keywords

Growth, slowdown, middle income trap, Bayesian Model Averaging

URL

http://www.imf.org/external/pubs/ft/wp/2013/wp1371.pdf

Remarks

The Philippines is included in this study. The authors, all from the Asia and Pacific Department of the IMF, examine the role of institutions, demography, infrastructure, the macroeconomic environment, output structure and trade structure in the potential risk of growth slowdown. They conclude that "taken at face value, the empirical results imply that, compared with other Asian economies, Malaysia, the Philippines and China would face a larger risk of growth slowdown stemming from institutions." The authors measure "institutions" from indices on (1) government size, (2) rule of law, (3) freedom to trade internationally, (4) regulation, and (5) financial openness.



Total records: 676 | Select no. of records per page: 10 | 20 | 30 | 50 | 100 | Show all | Search
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