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Is Inflation Domestic or Global? Evidence from Emerging Markets

Is Inflation Domestic or Global? Evidence from Emerging Markets »

Volume/Issue: 2018/241

Series: IMF Working Papers

Author(s): Rudolfs Bems , Francesca Caselli , Francesco Grigoli , Bertrand Gruss , and Weicheng Lian

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 November 2018

DOI: http://dx.doi.org/10.5089/9781484381595.001

ISBN: 9781484381595

Keywords: Globalization, Inflation, Emerging markets, Inflation expectations, Central banks and their policies, Phillips Curve, Globalization: Macroeconomic Impacts

Following a period of disinflation during the 1990s and early 2000s, inflation in emerging markets has remained remarkably low and stable. Was this related to a global disinflation environment triggered by China's...

Global Liquidity Transmission to Emerging Market Economies, and Their Policy Responses

Global Liquidity Transmission to Emerging Market Economies, and Their Policy Responses »

Volume/Issue: 2017/222

Series: IMF Working Papers

Author(s): Woon Choi , Taesu Kang , Geun-Young Kim , and Byongju Lee

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

DOI: http://dx.doi.org/10.5089/9781484325216.001

ISBN: 9781484325216

Keywords: Global liquidity, Inflation targeting, Panel Factor-Augmented VAR, International Policy Coordination and Transmission

This paper distills and identifies global liquidity (GL) momenta from the macro-financial data of advanced economies through a factor model with sign restrictions as policy-driven, market-driven, and risk aversenes...

Did the Global Financial Crisis Break the U.S. Phillips Curve?

Did the Global Financial Crisis Break the U.S. Phillips Curve? »

Volume/Issue: 2016/126

Series: IMF Working Papers

Author(s): Stefan Laseen , and Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 July 2016

DOI: http://dx.doi.org/10.5089/9781498348645.001

ISBN: 9781498348645

Keywords: Phillips curve, Inflation, Unemployment, Financial Frictions, Conditional Forecast, Regime Switching and Bayesian Estimation.

Inflation dynamics, as well as its interaction with unemployment, have been puzzling since the Global Financial Crisis (GFC). In this empirical paper, we use multivariate, possibly time-varying, time-series models...

A Global Projection Model for Euro Area Large Economies

A Global Projection Model for Euro Area Large Economies »

Volume/Issue: 2015/50

Series: IMF Working Papers

Author(s): Zoltan Jakab , Pavel Lukyantsau , and Shengzu Wang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 March 2015

DOI: http://dx.doi.org/10.5089/9781498399609.001

ISBN: 9781498399609

Keywords: Global projection model, inflation, interest rate, economies, demand, exchange rate, Forecasting and Other Model Applications, Open Economy Macroeconomics,

The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. This paper creates a special version of GPM that includes the four largest Euro Area (EA) countries. The...

Regional Economic Outlook, April 2014, Sub-Saharan Africa
			: Fostering Durable and Inclusive Growth

Regional Economic Outlook, April 2014, Sub-Saharan Africa : Fostering Durable and Inclusive Growth »

Series: Regional Economic Outlook

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 April 2014

DOI: http://dx.doi.org/10.5089/9781484342886.086

ISBN: 9781484342886

Keywords: inflation, exchange rate, exchange rate pegs, central bank

The five Regional Economic Outlooks published biannually by the IMF cover Asia and Pacific, Europe, the Middle East and Central Asia, Sub-Saharan Africa, and the Western Hemisphere. In each volume, recent econo...

Adding China to the Global Projection Model

Adding China to the Global Projection Model »

Volume/Issue: 2013/256

Series: IMF Working Papers

Author(s): Patrick Blagrave , Peter Elliott , Roberto Garcia-Saltos , Douglas Hostland , Douglas Laxton , and Fan Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 December 2013

DOI: http://dx.doi.org/10.5089/9781484317631.001

ISBN: 9781484317631

Keywords: Global Macroeconomic Model, inflation target, real interest rate, General, Global Outlook, General,

We extend the Global Projection Model (GPM) to include a separate block for China. China plays an important role in shaping global economic outcomes, given its sheer size and trade integration with other key econom...

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

DOI: http://dx.doi.org/10.5089/9781475513516.001

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...

Cross-Country Linkages in Europe
			: A Global VAR Analysis

Cross-Country Linkages in Europe : A Global VAR Analysis »

Volume/Issue: 2013/194

Series: IMF Working Papers

Author(s): Yan Sun , Frigyes Heinz , and Giang Ho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2013

DOI: http://dx.doi.org/10.5089/9781484345474.001

ISBN: 9781484345474

Keywords: Spillover, Global VAR, regional model, macro-financial linkages, emerging Europe, gdp growth, real gdp, inflation, growth rate, long-term interest rates

This paper uses the Global VAR (GVAR) model proposed by Pesaran et al. (2004) to study cross-country linkages among euro area countries, other advanced European countries (including the Nordics, the UK, etc.), and...

GPM6
			: The Global Projection Model with 6 Regions

GPM6 : The Global Projection Model with 6 Regions »

Volume/Issue: 2013/87

Series: IMF Working Papers

Author(s): Ioan Carabenciov , Charles Freedman , Roberto Garcia-Saltos , Douglas Laxton , Ondra Kamenik , and Petar Manchev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 April 2013

DOI: http://dx.doi.org/10.5089/9781484318942.001

ISBN: 9781484318942

Keywords: Macroeconomic Modeling, Bayesian Estimation, exchange rate, inflation, real exchange rate, real interest rate, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects),

This is the sixth of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit to which economist...

Getting to Know GIMF
			: The Simulation Properties of the Global Integrated Monetary and Fiscal Model

Getting to Know GIMF : The Simulation Properties of the Global Integrated Monetary and Fiscal Model »

Volume/Issue: 2013/55

Series: IMF Working Papers

Author(s): Derek Anderson , Benjamin Hunt , Mika Kortelainen , Michael Kumhof , Douglas Laxton , Dirk Muir , Susanna Mursula , and Stephen Snudden

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

DOI: http://dx.doi.org/10.5089/9781475559415.001

ISBN: 9781475559415

Keywords: business cycle, fiscal multipliers, general equilibrium models, interest rates, macroeconomic interdependence, policy effects, simulation, inflation, real interest rate, real interest rates

The Global Integrated Monetary and Fiscal model (GIMF) is a multi-region, forward-looking, DSGE model developed by the Economic Modeling Division of the IMF for policy analysis and international economic research....