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The Comovement in Commodity Prices

The Comovement in Commodity Prices »

Source: The Comovement in Commodity Prices : Sources and Implications

Volume/Issue: 2013/140

Series: IMF Working Papers

Author(s): Ron Alquist , and Olivier Coibion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 June 2013

ISBN: 9781484378144

Keywords: comovement, factor models, factor analysis, global production, agricultural commodities, idiosyncratic shocks, International Business Cycles, comovement: factor models,

We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the co...

The Effectiveness of Monetary Policy Transmission Under Capital Inflows

The Effectiveness of Monetary Policy Transmission Under Capital Inflows »

Source: The Effectiveness of Monetary Policy Transmission Under Capital Inflows : Evidence from Asia

Volume/Issue: 2012/265

Series: IMF Working Papers

Author(s): Sonali Jain-Chandra , and Filiz Unsal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 November 2012

ISBN: 9781475525823

Keywords: Monetary policy transmission, dynamic factor model, structural VAR, long-term interest rates, bond yields, Monetary Policy (Targets, Instruments, and Effects), Open Economy Macroeconomics,

The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The...

Policies and Prospects in Japan and the Implications for the Asia-Pacific Region

Policies and Prospects in Japan and the Implications for the Asia-Pacific Region »

Source: Policies and Prospects in Japan and the Implications for the Asia-Pacific Region

Volume/Issue: 2001/131

Series: IMF Working Papers

Author(s): Tim Callen , and Warwick McKibbin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2001

ISBN: 9781451855289

Keywords: Asia-Pacific region, macroeconomic model, fiscal consolidation, equity prices, government expenditure, government bonds, International Factor Movements and International Business: General, Open Economy Macroeconomics, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

This paper uses the G-Cubed (Asia-Pacific) model-a macroeconomic model with rich cross-country links-to explore the implications for Japan and Asia of several shocks to the Japanese economy. The results suggest tha...

Asian Financial Integration

Asian Financial Integration »

Source: Asian Financial Integration : Trends and Interruptions

Volume/Issue: 2011/4

Series: IMF Working Papers

Author(s): Eduardo Borensztein , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2011

ISBN: 9781455211821

Keywords: equity premium, gravity model, home bias, risk-sharing, herding, investors, bond, foreign investors, bonds, international investors

The paper compares trends in financial integration within Asia with those in industrialized countries and other regional groups. Declines in cross-country dispersion in equity returns and interest rates suggest inc...

A Quantitative Assessment of Financial Conditions in Asia

A Quantitative Assessment of Financial Conditions in Asia »

Source: A Quantitative Assessment of Financial Conditions in Asia

Volume/Issue: 2011/170

Series: IMF Working Papers

Author(s): Carolina Osorio Buitron , Filiz Unsal , and Runchana Pongsaparn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

ISBN: 9781462314331

Keywords: Financial sector, Economic growth, Economic conditions, Asia, Forecasting models, Gross domestic product, Global Financial Crisis 2008-2009, Financial conditions index, VAR, Dynamic Factor Analysis

We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting...

The Comovement in Commodity Prices
			: Sources and Implications

The Comovement in Commodity Prices : Sources and Implications »

Volume/Issue: 2013/140

Series: IMF Working Papers

Author(s): Ron Alquist , and Olivier Coibion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 June 2013

DOI: http://dx.doi.org/10.5089/9781484378144.001

ISBN: 9781484378144

Keywords: comovement, factor models, factor analysis, global production, agricultural commodities, idiosyncratic shocks, International Business Cycles, comovement: factor models,

We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the co...

The Effectiveness of Monetary Policy Transmission Under Capital Inflows
			: Evidence from Asia

The Effectiveness of Monetary Policy Transmission Under Capital Inflows : Evidence from Asia »

Volume/Issue: 2012/265

Series: IMF Working Papers

Author(s): Sonali Jain-Chandra , and Filiz Unsal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 November 2012

DOI: http://dx.doi.org/10.5089/9781475525823.001

ISBN: 9781475525823

Keywords: Monetary policy transmission, dynamic factor model, structural VAR, long-term interest rates, bond yields, Monetary Policy (Targets, Instruments, and Effects), Open Economy Macroeconomics,

The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The...

Policies and Prospects in Japan and the Implications for the Asia-Pacific Region

Policies and Prospects in Japan and the Implications for the Asia-Pacific Region »

Volume/Issue: 2001/131

Series: IMF Working Papers

Author(s): Tim Callen , and Warwick McKibbin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2001

DOI: http://dx.doi.org/10.5089/9781451855289.001

ISBN: 9781451855289

Keywords: Asia-Pacific region, macroeconomic model, fiscal consolidation, equity prices, government expenditure, government bonds, International Factor Movements and International Business: General, Open Economy Macroeconomics, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

This paper uses the G-Cubed (Asia-Pacific) model-a macroeconomic model with rich cross-country links-to explore the implications for Japan and Asia of several shocks to the Japanese economy. The results suggest tha...

Asian Financial Integration
			: Trends and Interruptions

Asian Financial Integration : Trends and Interruptions »

Volume/Issue: 2011/4

Series: IMF Working Papers

Author(s): Eduardo Borensztein , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2011

DOI: http://dx.doi.org/10.5089/9781455211821.001

ISBN: 9781455211821

Keywords: equity premium, gravity model, home bias, risk-sharing, herding, investors, bond, foreign investors, bonds, international investors

The paper compares trends in financial integration within Asia with those in industrialized countries and other regional groups. Declines in cross-country dispersion in equity returns and interest rates suggest inc...

A Quantitative Assessment of Financial Conditions in Asia

A Quantitative Assessment of Financial Conditions in Asia »

Volume/Issue: 2011/170

Series: IMF Working Papers

Author(s): Carolina Osorio Buitron , Filiz Unsal , and Runchana Pongsaparn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

DOI: http://dx.doi.org/10.5089/9781462314331.001

ISBN: 9781462314331

Keywords: Financial sector, Economic growth, Economic conditions, Asia, Forecasting models, Gross domestic product, Global Financial Crisis 2008-2009, Financial conditions index, VAR, Dynamic Factor Analysis

We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting...