Selected Reference and Reading Materials compiled by Dan Villanueva


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Record ID

226     [ Page 46 of 68, No. 1 ]

Date

2012-04

Author

Luis Fernando Melo and Rubén Albeiro Loaiza Maya

Affiliation

Bank of the Republic of Colombia

Title

Bayesian Forecast Combination for Inflation Using Rolling Windows: An Emerging Country Case

Summary /
Abstract

Typically, when forecasting inflation rates, there are a variety of individual models and a combination of several of these models. We implement a Bayesian shrinkage combination methodology to include information that is not captured by the individual models using expert forecasts as prior information. To take into account two common characteristics in emerging countries’ economies, possible parameter instabilities and non-stationary dynamics, we use a rolling estimation windows technique for series integrated of order one. The empirical results of Colombian inflation show that the Bayesian forecast combination model outperforms the individual models and the random walk predictions for every evaluated forecast horizon. Moreover, these results outperform shrinkage forecasts that consider other priors as equal or zero weights.

Keywords

Forecast combination, shrinkage, expert forecasts, rolling window estimation, inflation forecasts.

URL

http://d.repec.org/n?u=RePEc:col:000094:009511&r=cba



Record ID

225     [ Page 46 of 68, No. 2 ]

Date

2012-05

Author

Opoku-Afari, Maxwell and Dixit, Shiv

Affiliation

African Department, IMF

Title

Tracking Short-Term Dynamics of Economic Activity in Low-Income Countries in the Absence of High-Frequency GDP Data

Summary /
Abstract

This paper uses a set of routinely collected high-frequency data in low-income countries (LICs) to construct an aggregate and a comprehensive index of economic activity which could serve (i) as a measure of the direction of economic activity; and (ii) as a useful input in analyzing contemporaneous real sector performance in LICs in the absence of high-frequency, and often outdated, GDP data. It could also serve as a useful tool for policymakers to gauge short-term dynamics of economic activity and shape appropriate and timely policy responses.

Keywords

Short-Term Dynamics, Economic Activity, GDP

URL

http://www.imf.org/external/pubs/ft/wp/2012/wp12119.pdf



Record ID

224     [ Page 46 of 68, No. 3 ]

Date

2012-04

Author

Caglayan, Mustafa; Jehan, Zainab; and Mouratidis, Kostas

Affiliation

University of Sheffield

Title

Asymmetric monetary policy rules for open economies: Evidence from four countries

Summary /
Abstract

This study presents an analytical framework to examine the policy reaction function of a central bank in an open economy context while allowing for asymmetric preferences. The paper then empirically examines the policy rule obtained from this framework using quarterly data for the US, Canada, Japan, and the UK. The results, based on GMM approach, provide evidence that domestic policy is affected by changes in the foreign interest rate and exchange rate. We also provide evidence of the presence of asymmetries in response to the inflation rate and output gap for all the sample countries.

Keywords

Monetary policy rule; asymmetric preferences; open economy

URL

http://mpra.ub.uni-muenchen.de/37401/1/MPRA_paper_37401.pdf



Record ID

223     [ Page 46 of 68, No. 4 ]

Date

2012-02

Author

In Choi and Seong Jin Hwang

Affiliation

Department of Economics, Sogang University, Seoul

Title

Forecasting Korean inflation

Summary /
Abstract

This paper studies the performance of various forecasting models for Ko- rean inflation rates. The models studied in this paper are the AR(p) model, the dynamic predictive regression model with such exogenous variables as the unemployment rate and the term spread, the inflation target model, the random walk model, and the dynamic predictive regression model using estimated factors along with the unemployment rate and the term spread. The sampling period studied in this paper is 2000M11-2011M06. Among the studied models, the dynamic predictive regression model using estimated factors along with the unemployment rate and the term spread tends to perform best at the 6-month horizon when the factors are extracted from I(0) series and the variables for the factor extraction are selected by the criterion of the correlation of each variable with the inflation rate. The dynamic predictive regression models with the unemployment rate and the term spread also work well at shorter horizons.

Keywords

Inflation forecasting, Phillips curve, term spread, factor model, principal-component estimation, generalized principal-component estimation

URL

http://d.repec.org/n?u=RePEc:sgo:wpaper:1202&r=mon



Record ID

222     [ Page 46 of 68, No. 5 ]

Date

2012-04

Author

Chen, Jiaqian and Imam, Patrick A.

Affiliation

Money and Capital Markets Department, IMF

Title

Consequences of Asset Shortages in Emerging Markets

Summary /
Abstract

We assess econometrically the impact of asset shortages on economic growth, asset bubbles, the probability of a crisis, and the current account for a group of 41 Emerging markets for 1995-2008. The econometric estimations confirm that asset shortages pose a serious danger to EMs in terms of reducing economic growth, raising the probability of a crisis, and leading to asset price bubbles. Moreover, asset shortages can also explain the current account positions of EMs. The findings suggest that the consequences of asset shortages for macroeconomic stability are significant, and must be tackled urgently. We conclude with policy implications.

Keywords

Asset Shortage, Emerging Market, Crisis, Current Account, Asset Bubble

URL

http://www.imf.org/external/pubs/ft/wp/2012/wp12102.pdf



Record ID

221     [ Page 46 of 68, No. 6 ]

Date

2011-09

Author

Jurgen von Hagen and Haiping Zhang

Affiliation

University of Bonn, Indiana University and CEPR, and School of Economics, Singapore Management University

Title

International Capital Flows with Limited Commitment and Incomplete Markets

Summary /
Abstract

Recent literature has proposed two alternative types of financial frictions, i.e., limited commitment and incomplete markets, to explain the patterns of international capital flows between developed and developing countries observed in the past two decades. This paper integrates both types of frictions into a two-country overlapping-generations framework to facilitate a direct comparison of their effects. In our model, limited commitment distorts the investment made by agents with different productivity, which creates a wedge between the interest rates on equity capital vs. credit capital; while incomplete markets distort the investment among projects with different riskiness, which creates a wedge between the risk-free rate and the mean rate of return to risky capital. We show that the two approaches are observationally equivalent with respect to their implications for international capital flows, production efficiency, and aggregate output.

Keywords

Financial development, financial frictions, foreign direct investment, incomplete markets, limited commitment, international capital flows

URL

http://d.repec.org/n?u=RePEc:siu:wpaper:10-2012&r=cba



Record ID

220     [ Page 46 of 68, No. 7 ]

Date

2012-02

Author

Frédérique Bec and Songlin Zeng

Affiliation

THEMA - Théorie économique, modélisation et applications - CNRS : UMR8184 - Université de Cergy Pontoise

Title

Are Southeast Asian Real Exchange Rates Mean Reverting?

Summary /
Abstract

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationary models under the alternative than the commonly used Self-Exciting Threshold or Exponantial Smooth Transition AutoRegressions. Second, while different nonlinear models survive the mis-specification tests, a Monte Carlo experiment from generalized impulse response functions is used to compare their relative relevance. Our results i) support the nonlinear mean-reverting hypothesis, and hence the Purchasing Power Parity, in most of the ASEAN-5 countries and ii) point to the Multiple Regime-Logistic Smooth Transition and the Exponantial Smooth Transition AutoRegression models as the most likely data generating processes of these real exchange rates.

Keywords

Purchasing Power Parity; Nonlinear ThresholdModels; Southeast Asian Real Exchange Rates

URL

http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00685812&r=cba



Record ID

219     [ Page 46 of 68, No. 8 ]

Date

2012-04

Author

Glocker, Ch. and Towbin P.

Affiliation

Austrian Institute of Economic Research and Banque de France

Title

The Macroeconomic Effects of Reserve Requirements

Summary /
Abstract

Monetary authorities in emerging markets are often reluctant to raise interest rates when dealing with credit booms driven by capital inflows, as they fear that an increase attracts even more capital and appreciates the currency. A number of countries therefore use reserve requirements as an additional policy instrument. The present study provides evidence on their macroeconomic effects. We estimate a vector autoregressive (VAR) model for the Brazilian economy and identify interest rate and reserve requirement shocks. For both instruments a discretionary tightening leads to a decline in domestic credit. We find, however, very different effects for other macroeconomic aggregates. In contrast to interest rate policy, a positive reserve requirement shock leads to an exchange rate depreciation and an improvement in the current account, but also to an increase in prices. The results suggest that reserve requirement policy can complement interest rate policy in pursuing a financial stability objective, but cannot be its substitute with regards to a price stability objective.






Keywords

Reserve Requirements, Capital flows, Monetary Policy, Business Cycle

URL

http://d.repec.org/n?u=RePEc:bfr:banfra:374&r=cba



Record ID

218     [ Page 46 of 68, No. 9 ]

Date

2012-03

Author

Goodhart, Ch. A. E., Kashyap, A. K., Tsomocos, D. P., and Vardoulakis, A. P.

Affiliation

London School of Economics, Federal Reserve Bank of Chicago, Oxford University, and Banque de France

Title

Financial Regulation in General Equilibrium

Summary /
Abstract

This paper explores how different types of financial regulation could combat many of the phenomena that were observed in the financial crisis of 2007 to 2009. The primary contribution is the introduction of a model that includes both a banking system and a “shadow banking system” that each help households finance their expenditures. Households sometimes choose to default on their loans, and when they do this triggers forced selling by the shadow banks. Because the forced selling comes when net worth of potential buyers is low, the ensuing price dynamics can be described as a fire sale. The proposed framework can assess five different policy options that officials have advocated for combating defaults, credit crunches and fire sales, namely: limits on loan to value ratios, capital requirements for banks, liquidity coverage ratios for banks, dynamic loan loss provisioning for banks, and margin requirements on repurchase agreements used by shadow banks. The paper aims to develop some general intuition about the interactions between the tools and to determine whether they act as complements and substitutes.

Keywords

Price setting, changeover, euro, inflation

URL

http://d.repec.org/n?u=RePEc:bfr:banfra:372&r=cba



Record ID

217     [ Page 46 of 68, No. 10 ]

Date

2012-02

Author

Günes Kamber and Christoph Thoenissen

Affiliation

Reserve Bank of New Zealand

Title

The financial accelerator and monetary policy rules

Summary /
Abstract

The ability of financial frictions to amplify the output response of monetary policy, as in the financial accelerator model of Bernanke et al (1999), is analysed for a wider class of policy rules where the policy interest rate responds to both inflation and the output gap. When policy makers respond to the output gap as well as inflation, the standard financial accelerator model reacts less to an interest rate shock than does a comparable model without an operational financial accelerator mechanism. In recessions, when firm-specific volatility rises, financial acceleration due to financial frictions is further reduced, even under pure inflation targeting.

Keywords

Financial accelerator, Inflation targeting

URL

http://d.repec.org/n?u=RePEc:nzb:nzbdps:2012/01&r=cba



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