UID:
edocfu_9958077073002883
Format:
1 online resource (98 p.)
ISBN:
1-4623-2252-2
,
1-4519-9538-5
,
1-282-44662-2
,
1-4519-1214-5
,
9786613820860
Series Statement:
IMF working paper ; WP/07/197
Content:
The paper presents a DGE model designed as a core projection tool to support monetary policy in inflation-targeting (IT) emerging market economies. The paper uses a particularly simple and flexible general equilibrium model structure that can be amended to account for various phenomena that often complicate policy analysis in emerging markets, such as persistent trends in relative prices. The model's calibration is intuitive and can draw on the vast experience many countries have with calibrating small 'gap' models of monetary policy transmission. Moreover, the definition of the model's steady state in terms of nominal expenditure ratios, rather than levels of real variables, allows for the easy use of the model in a regular forecast production cycle in an IT central bank. The paper tests the model's properties on recent Turkish data, demonstrating that the main stylized features relevant for monetary policy making are well captured by the model.
Note:
"August 2007."
,
CONTENTS; Contents Page; Glossary of Terms and Abbreviations Used in the Figures; I. Introduction; II. Modeling Strategy and Implementation; A. Background; B. A Core Forecasting Model for IT Monetary Policy in an Emerging Market Environment; III. Turkey's Recent Monetary Experience: Stylized Facts; Boxes; 1. Turkey: From Implicit to Full-Fledged I; A. Stylized Facts on Long-term Trends; Figures; 1. Main Long-Term Trends I; 2. Main Long-Term Trends II; B. Stylized Facts on Business Cycle Fluctuations; 3. Business Cycle Fluctuations I; 4. Business Cycle Fluctuations II; IV. Core Model Design
,
A. RequirementsB. Main Model Features; Flowchart 1. The Structure of the Model; 2. The Main Behavioral Equations of the Mode; 3. Non-tradable and Tradable Inflation Rates in the Reaction Function; V. Calibrating the Model and Model Properties; A. Calibration; Tables; 1. Steady-state Characteristics of the Model; 2. Steady-state Parameters; 3. Behavioral Transitory Parameters; B. Model Properties; Impulse Responses; 4. Autoregressive Coefficients; 5. Standard Errors of Shifters; 5. Consumption Shock; 6. General Inflation Shock; 7. T Sector Inflation Shock; 8. NT Sector Inflation Shock
,
9. Monetary Policy Shock10. Risk Premium Shock; 11. Permanent Disinflation; 12. Permanent TOT Improvement; Forecast Error Variance Decomposition; 13. Forecast Error Variance Decomposition; VI. Learning From Recent Turkish Data Using The Model; 14. Estimated Structural Shocks; 15a. Contributions of the Four Most Important Stochastic Shocks to Observed Data Before the Crisis; 15b. Contributions of the Four Most Important Stochastic Shocks to Observed Data After the Crisis; 16. Estimated and Observed Variables; 17. Population Standard Deviations; 18. Population Autocorrelation Coefficient
,
19. Population Contemporaneous Cross-Correlation Coefficients20. Historical Model Forecasts; 21. Historical Model Forecasts with a Risk Premium Fixed on Observed Values; 22. Historical Model Forecasts with a Risk and Policy Rates Fixed at Observed Value; VII. Conclusions; References; Appendices; I. The Reduced Form Description of the Turkish Data; II. A Small DGE Model of the Turkish Economy: The Economic Foundations; Appendix Tables; 1. Steady-State Parameters; 2. Behavioral Transitory Parameters; 3. Autoregressive Coefficients; 4. Standard Errors of Shifters
,
5. Steady-State Characteristics of the Model
,
English
Additional Edition:
ISBN 1-4518-6761-1
Language:
English
Bookmarklink
