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  • 1
    Book
    Book
    The ECB's monetary analysis revisited / (2008)
    Berlin :Freie Univ.,
    Details
    UID:
    almafu_BV026961190
    Format: 61 Bl. : , graph. Darst.
    ISBN: 3-938369-85-X
    Series Statement: Diskussionsbeiträge des Fachbereichs Wirtschaftswissenschaft der Freien Universität Berlin 2008,14 : Volkswirtschaftliche Reihe
    Language: English
    Keywords: Geldpolitik ; Makroökonomisches Modell
    Author information: Harjes, Thomas 1969-
    Author information: Berger, Helge 1965-
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  • 2
    Online Resource
    Online Resource
    Measures of underlying inflation in the Euro area : assessment and role for informing monetary policy (2006)
    [Washington, D.C.] :International Monetary Fund, Research Dept.,
    Details
    UID:
    edoccha_9958124466702883
    Format: 1 online resource (37 p.)
    Edition: 1st ed.
    ISBN: 1-4623-6190-0 , 1-4527-1583-1 , 1-283-51769-8 , 9786613830142 , 1-4519-9202-5
    Series Statement: IMF working paper ; WP/06/197
    Content: The paper evaluates the 24-month ahead inflation forecasting performance of various indicators of underlying inflation and structural models. The inflation forecast errors resulting from model misspecification are larger than the errors resulting from forecasting of exogenous variables. Also, measures derived using the generalized dynamic factor model (GDFM) overperform other measures over the monetary policy horizon and are leading indicators of headline inflation. Trimmed means, although weaker than GDFM indicators, have good forecasting performance, while indicators by permanent exclusion underperform but provide useful information about short-term dynamics. The forecasting performance of theoretically-founded models that relate monetary aggregates, the output gap, and inflation improves with the time horizon but generally falls short of that of the GDFM. A composite measure of underlying inflation, derived by averaging the statistical indicators and the model-based estimates, improves forecast accuracy by eliminating bias and offers valuable insight about the distribution of risks.
    Note: "August 2006." , ""Contents""; ""I. INTRODUCTION""; ""II. TAXONOMY OF UNDERLYING INFLATION INDICATORS""; ""III. FEATURES OF THE INDICATORS""; ""IV. FORECASTING METHODOLOGY AND ASSESSMENT OF FORECASTING PERFORMANCE""; ""V. CONCLUDING REMARKS""; ""References"" , English
    Additional Edition: ISBN 1-4518-6457-4
    Language: English
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    FU Berlin
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  • 3
    Online Resource
    Online Resource
    The information content of money in forecasting euro area inflation / (2008)
    [Washington, District of Columbia] :International Monetary Fund,
    Details
    UID:
    edoccha_9958124720302883
    Format: 1 online resource (31 p.)
    Edition: 1st ed.
    ISBN: 1-4623-1341-8 , 1-4527-4908-6 , 1-4518-7024-8 , 1-282-84117-3 , 9786612841170
    Series Statement: IMF working paper ;
    Content: This paper contributes to the debate on the role of money in monetary policy by analyzing the information content of money in forecasting euro-area inflation. We compare the predictive performance within and among various classes of structural and empirical models in a consistent framework using Bayesian and other estimation techniques. We find that money contains relevant information for inflation in some model classes. Money-based New Keynesian DSGE models and VARs incorporating money perform better than their cashless counterparts. But there are also indications that the contribution of money has its limits. The marginal contribution of money to forecasting accuracy is often small, money adds little to dynamic factor models, and it worsens forecasting accuracy of partial equilibrium models. Finally, non-monetary models dominate monetary models in an all-out horserace.
    Note: Description based upon print version of record. , Contents; I. Introduction; II. Related Literature; III. Models of Inflation; A. DSGE Models; B. Partial Equilibrium Models; C. Empirical Models; IV. Empirical Methods and Data; A. Estimation Techniques; B. Prior Distribution of Parameters for the Bayesian Estimates; C. Forecasting and the Information Content of Money; D. Data; V. Results; A. The Marginal Contribution of Money; Figures; 1. Forecast Performance of DSGE Models; 2. Forecast Performance of Empirical Models; 3. Forecast Performance of P* and Phillips Curve Models; B. Comparison of Money-Based Models; C. Comparison Across All Models , Tables1. Out-of-Sample Forecasting Performance of Models; VI. Conclusions; References; Appendices; I. Empirical Specifications; II. Bayesian Priors , English
    Additional Edition: ISBN 1-4519-1477-6
    Language: English
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    FU Berlin
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  • 4
    Online Resource
    Online Resource
    Great Recession and the inflation puzzle / (2013)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edocfu_9958080751202883
    Format: 1 online resource (13 p.)
    ISBN: 1-4843-0087-4 , 1-4843-1106-X , 1-4843-5542-3
    Series Statement: IMF working paper ; WP/13/124
    Content: Notwithstanding persistently-high unemployment following the Great Recession, inflation in the United States has been remarkably stable. We find that a traditional Phillips curve describes the behavior of inflation reasonably well since the 1960s. Using a non-linear Kalman filter that allows for time-varying parameters, we find that three factors have contributed to the observed stability of inflation: inflation expectations have become better anchored and to a lower level; the slope of the Phillips curve has flattened; and the importance of import-price inflation has increased.
    Note: Description based upon print version of record. , Cover; Contents; I. Introduction; II. Model and Estimation; A. Model; B. Data; C. Non-linear Kalman Filter with State Constraints; D. Estimation; III. Results; IV. Conclusion; References; Figures; Figure 1. Unemployment, Inflation, and Predictions; Figure 2: Estimated Parameters (+/- 1 std. dev); Figure 3: Decomposition of Inflation in the Great Recession , English
    Additional Edition: ISBN 1-4843-3472-8
    Additional Edition: ISBN 1-299-67802-5
    Language: English
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    FU Berlin
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  • 5
    Online Resource
    Online Resource
    Growth and inflation dispersions in EMU : reasons, the role of adjustment channels, and policy implications (2007)
    [Washington, D.C.] :International Monetary Fund, European Dept.,
    Details
    UID:
    edocfu_9958098533602883
    Format: 1 online resource (28 p.)
    ISBN: 1-4623-1950-5 , 1-4527-8139-7 , 1-283-51658-6 , 9786613829030 , 1-4519-1184-X
    Series Statement: IMF working paper ; WP/07/167
    Content: This paper's analysis of growth and inflation dispersions in the euro area reveals several findings. First, these dispersions have declined appreciably since EMU; remaining dispersions are small but persistent, relating mainly to country-specific shocks, not differences in the transmission of common shocks. Second, the different behavior of interest rates just before and after the introduction of the euro has contributed significantly to growth dispersions. However, this has been a one-off shock whose effects, particularly on construction, should be declining over time. Third, financial sector integration could do much more to insure countries against shocks and increase consumption smoothing.
    Note: "July 2007". , Contents; I. Introduction; II. Literature Review; III. Analytical Framework and Estimation Results; A. Common versus country-specific shocks; B. Country-specific developments and income and price level convergence; C. Persistence of country-specific developments; D. Shock transmission and relative importance of channels; E. Cross-country consumption and income smoothing; IV. Conclusions; References; Figures; 1. Growth and Inflation Dispersions; 2. Unit Labor Costs and Current Account; 3. Contribution of Common Shocks to Inflation and Growth, Pre-EMU and EMU , 4a. Contribution of Country-specific Shocks to Growth Dispersions, Pre-EMU and EMU4b. Contribution of Country-specific Shocks to Growth Dispersions, Pre-EMU and EMU (Concluded); 5a. Contribution of Country-specific Shocks to Inflation Dispersions, Pre-EMU and EMU; 5b. Contribution of Country-specific Shocks to Inflation Dispersions, Pre-EMU and EMU (Concluded); 6. Interest Rates and Growth Dispersions; 7. House Prices and Growth Dispersions; 8. Impulse Response of Output to House Price Shock; Appendixes; Dynamic General Equilibrium Model , English
    Additional Edition: ISBN 1-4518-6731-X
    Language: English
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    FU Berlin
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  • 6
    Online Resource
    Online Resource
    Forces driving inflation in the new EU10 members / (2009)
    [Washington, D.C.] :International Monetary Fund, European Dept.,
    Details
    UID:
    edocfu_9958108329902883
    Format: 1 online resource (18 p.)
    Edition: 1st ed.
    ISBN: 1-4623-9815-4 , 1-4527-8841-3 , 1-4518-7199-6 , 9786612842733 , 1-282-84273-0
    Series Statement: IMF working paper ; WP/09/51
    Content: The paper analyzes the forces driving inflation in the new EU10 member countries. A significant part of headline inflation in these countries is due to common factors, such as price level convergence and EU integration. However, idiosyncratic factors have also played a role in the inflation process. These factors are related to the country-specific financial conditions, pass-through from foreign prices, and demand-supply situation in each country, although administered price adjustments and increases of indirect taxes associated with EU accession are also likely to have played a role.
    Note: "March 2009." , Contents; I. Introduction; II. Related Literature; III. Inflation Dynamics in MNS: Background; Tables; 1. NMS and Euro Area: Energy and Food Intensity; Figures; 1. Euro Area: Contribution of Energy and Food to Headline Inflation; 2. NMS: Contribution of Energy and Food to Headline Inflation; IV. Methods and Data; A. Generalized Dynamic Factor Model; 3. NMS: Price level, Inflation, and Exchange Rate Regime; B. Modeling Common and Country-specific Components; C. Data Description; V. Discussion of the Results; A. GDFM Results; 4. Cumulative Share of Data Variance Explained by Common Factors , 5. NMS: Headline and One Common Factor InflationB. Determinants of Common and Country-specific Inflation; 2. NMS: Determinants of Common Component; VI. Concluding Remarks; 3. NMS: Determinants of Country-specific Component; References , English
    Additional Edition: ISBN 1-4519-1634-5
    Language: English
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    FU Berlin
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  • 7
    Online Resource
    Online Resource
    Euro area monetary policy in uncharted waters / (2009)
    [Washington, D.C.] :International Monetary Fund, European Dept.,
    Details
    UID:
    edocfu_9958078121202883
    Format: 34 p. : , ill.
    Edition: 1st ed.
    ISBN: 1-4623-1540-2 , 1-4518-7332-8 , 9786612843952 , 1-4527-5208-7 , 1-282-84395-8
    Series Statement: IMF working paper ; WP/09/185
    Content: We analyze the European Central Bank's (ECB's) response to the global financial crisis. Our results suggest that even during the crisis, the core part of ECB's monetary policy transmission-from policy rates to market rates-has continued to operate, but at a decreased efficiency. We also find some evidence that the ECB's non-standard measures, namely the lengthening of the maturity of monetary policy operations and the provision of funds at the fixed rate, reduced money market term spreads, facilitating the pass-through from policy to market rates. Furthermore, the results imply that the substantial increase in the ECB's balance sheet may have contributed to a reduction in government bond term spreads.
    Note: "August 2009." , Intro -- Contents -- I. Introduction -- II. ECB's Policy Response to the Crisis -- III. Has the Transmission Been Impaired? -- A. Transmission Channels -- B. Methodology -- C. Results -- IV. Monetary Policy and The Return of The Liquidity Trap -- A. Overview -- B. Empirical Assessment -- V. Conclusions -- References -- Tables -- 1. VAR Parameter Estimates -- 2. Risk Factor Loadings -- Figures -- 1. Euro Area: Recent Developments of the ECB's Liquidity Operations -- 2. Euro Area: Cost of Borrowing by Businesses and Households -- 3. Euro Area: Pass-through of The ECB Policy Rate Changes to Market Rates -- 4. Euro Area: The Impact of Crisis on Policy Rate Pass-through -- 5. Euro Area: VAR Residuals of Market Rates -- 6. Euro Area: Effectiveness of Monetary Policy -- 7. Euro Area Macro-Financial Model: Government Bond Yields and Model -- Appendix -- I. Small Theory-based Model for the Euro Area. , English
    Additional Edition: ISBN 1-4519-1757-0
    Language: English
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  • 8
    Online Resource
    Online Resource
    The equilibrium real exchange rate in a commodity exporting country : the case of Russia (2003)
    [Washington, D.C.] :International Monetary Fund, Europeam II Department,
    Details
    UID:
    edocfu_9958061616702883
    Format: 1 online resource (19 p.)
    ISBN: 1-4623-4075-X , 1-4527-8245-8 , 1-282-55362-3 , 1-4519-0690-0 , 9786613822208
    Series Statement: IMF working paper ; WP/03/93
    Content: Drawing on the existing literature, I estimate a long-run equilibrium real exchange rate path for Algeria. I find that the Balassa-Samuelson effect together with real oil prices explain the long-run evolution of the equilibrium real exchange rate in Algeria. The half-life of the deviation of the real exchange rate from the estimated equilibrium level is about nine months, similar to that in other commodity-exporting countries. The general conclusions are that: (i) there is a time-varying long-run equilibrium exchange rate in Algeria as in other commodity-exporting countries; and (ii) the real effective exchange rate of the Algerian dinar at end-2003 was broadly in line with this equilibrium.
    Note: "May 2003". , ""Contents""; ""I. INTRODUCTION ""; ""II. DEVELOPMENTS IN THE ALGERIAN EXCHANGE RATE REGIME""; ""III. REVIEW OF THE LITERATURE""; ""IV. DETERMINATION OF THE EQUILIBRIUM REAL EXCHANGE RATE IN ALGERIA""; ""V. CONCLUSIONS""; ""References"" , English
    Additional Edition: ISBN 1-4518-6154-0
    Language: English
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    Online Resource
    FU Berlin
    Charité
  • 9
    Online Resource
    Online Resource
    Current accounts in a currency union / (2009)
    [Washington D.C.] :International Monetary Fund,
    Details
    UID:
    edocfu_9958066541102883
    Format: 1 online resource (25 p.)
    Edition: 1st ed.
    ISBN: 1-4623-2852-0 , 1-4527-6924-9 , 1-282-84341-9 , 9786612843419 , 1-4518-7274-7
    Series Statement: IMF working paper ; WP/09/127
    Content: A fear about EMU was that in the absence of national currencies, country-specific shocks would result in greater current account divergences between member states. This paper finds that divergences across euro-area countries are smaller and have not risen relative to those across 13 other advanced economies with more flexible exchange rates. Also, the size of country-specific current account shocks in EMU countries is smaller and their persistence is greater than in the other advanced economies. However, these differences in current account dynamics do not appear related to different exchange rate dynamics.
    Note: Description based upon print version of record. , Contents; I. Introduction; II. The Literature; III. The Data; IV. Current Account Divergences and Dynamics; Figures; 1. Current Account Dispersions; 2. Adjustment to Country-Specific Current Account Shocks 1/; V. The Role of the Exchange Rate and Other Factors; 3. Real Exchange Rate Dispersions; Tables; 1. Estimates of Speed of Adjustment of Current Accounts; 4a: EMU and Other Countries: Impulse Responses of the Current Account; 4b: EMU and Other Countries: Impulse Responses of the Real Exchange Rate; 2. Current Account and Real Exchange Rate Persistence , 5. EMU and Other Countries: Correlation Between Current Account3. Estimates of the Current Account Equation; 4. EMU Countries: Current Account Dispersions and NFA; 6. EMU Countries: Fundamental Current Account Dispersions; VI. Conclusion; 7. EMU Countries: Dispersions of Determinants of Current Accounts; Appendix; 8: EMU Countries: Testing for Structural Breaks; References
    Language: English
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    FU Berlin
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  • 10
    Online Resource
    Online Resource
    Growth and Inflation Dispersions in EMU : Reasons, the Role of Adjustment Channels, and Policy Implications (2007)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845876368
    Format: Online-Ressource (26 p)
    Edition: Online-Ausg.
    ISBN: 145186731X , 9781451867312
    Series Statement: IMF Working Papers Working Paper No. 07/167
    Content: This paper''s analysis of growth and inflation dispersions in the euro area reveals several findings. First, these dispersions have declined appreciably since EMU; remaining dispersions are small but persistent, relating mainly to country-specific shocks, not differences in the transmission of common shocks. Second, the different behavior of interest rates just before and after the introduction of the euro has contributed significantly to growth dispersions. However, this has been a one-off shock whose effects, particularly on construction, should be declining over time. Third, financial sector integration could do much more to insure countries against shocks and increase consumption smoothing
    Additional Edition: Erscheint auch als Druck-Ausgabe Stavrev, Emil Growth and Inflation Dispersions in EMU: Reasons, the Role of Adjustment Channels, and Policy Implications Washington, D.C. : International Monetary Fund, 2007 ISBN 9781451867312
    Language: English
    DOI: 10.5089/9781451867312.001
    URL: kostenfrei
    URL: kostenfrei
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