Download or read book Multivariate Unobserved Components Models in a Globalised World written by Ping Wu and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Identification of Multivariate Correlated Unobserved Components Models written by Carsten Trenkler and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Multivariate Simultaneous Unobserved Components Model and Identification Via Heteroskedasticity written by Mengheng Li and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only driven by transitory shocks by considering the possible spillover effects between structural innovations. The direction of spillover has a structural interpretation, whose identification is achieved via heteroskedasticity. We provide identifiability conditions and develop an efficient Bayesian MCMC procedure for estimation. Empirical implementations for both Okun's law and the Phillips curve show evidence of significant spillovers between trend and cycle components.
Download or read book New Topics in Emerging Markets written by and published by BoD – Books on Demand. This book was released on 2024-01-24 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlock the future of global economics and business with New Topics in Emerging Markets. This captivating edited volume is your gateway to understanding the dynamic forces shaping economies on the rise. Delve into critical themes like financial resilience in times of crisis, the impact of technology in Sub-Saharan Africa, the evolving landscape of education in the metaverse, and much more. With diverse insights from leading minds, this book explores the intricacies of banking, innovation ecosystems, leadership in sports, and the ever-changing realm of e-commerce in a Web3 world. Gain a deeper understanding of emerging markets and their pivotal role in the global landscape. Whether you are a seasoned expert or just starting your journey in economics and business, this book offers a thought-provoking and accessible exploration of the challenges and opportunities that define the future. Don’t miss your chance to stay ahead of the curve – grab your copy today and embark on a journey into the heart of emerging markets.
Download or read book An Unobserved Components Model That Yields Business and Medium Run Cycles written by Jun Ma and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: We generalize the Unobserved Components (UC) model to allow the permanent component to have different dynamics than the transitory components when decomposing US economic activity using a multivariate UC model of (log) output, consumption and investment. We find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components. Our approach provides an alternative explanation for the growth cycles identified by Comin and Gertler (2006) that is related to the cyclical movements in technology, in a framework consistent with the Beveridge-Nelson (1981) decomposition.
Download or read book A Closed Form Multivariate Linear Filter written by Mr.Francis Vitek and published by International Monetary Fund. This book was released on 2018-12-10 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalty term difference orders and static restrictions, as well as to a generalized problem featuring heterogeneous penalty term difference orders and dynamic restrictions. We use our Generalized Multivariate Linear Filter to jointly estimate potential output, the natural rate of unemployment and the natural rate of interest, conditional on selected equilibrium conditions from a calibrated New Keynesian model.
Download or read book Falling Long Term Growth Prospects written by M. Ayhan Kose and published by World Bank Publications. This book was released on 2024-03-06 with total page 703 pages. Available in PDF, EPUB and Kindle. Book excerpt: A structural growth slowdown is under way across the world: at current trends, the global rate of potential growth is expected to fall to a three-decade low over the remainder of the 2020s. Nearly all the forces that have powered growth and prosperity since the early 1990s have weakened. In addition, a series of shocks has affected the global economy over the past three years. A persistent and broad-based decline in long-term growth prospects imperils the ability of emerging market and developing economies to combat poverty, tackle climate change, and meet other key development objectives. The challenges presented by this potential inability call for an ambitious policy response at the national and global levels. This book presents the first detailed analysis of the growth slowdown and a rich menu of policy options to deliver better growth outcomes. ------------------------------------------------------------------------------------------------------------- This book presents a sobering analysis of the secular growth slowdown based on the most comprehensive database of potential growth estimates available to date. With nearly all the forces that have driven growth and prosperity in recent decades now weakened, the book argues that a prolonged period of weakness is under way, with serious implications for emerging market and developing economies. The authors call for bold policy actions at both the national and global levels to lift growth prospects. The book is essential reading for policy makers, economists, and anyone concerned about the future of the global economy. Beatrice Weder di Mauro Professor of International Economics, Geneva Graduate Institute, and President of the Centre for Economic Policy Research (CEPR) Economic policy making is becoming increasingly complicated in the 2020s. In addition to tackling traditional trade-offs in aggregate demand management and improving efficiency on the supply side, policy makers need to address new priorities and challenges, from addressing climate change and its impacts to improving income distribution, all in the context of lower growth rates, waning productivity growth, and flattening of the globalization process that has brought unprecedented prosperity across the globe and lifted more than a billion people out of poverty. In Falling Long-Term Growth Prospects, the authors do a phenomenal job of assessing these trends at the global and regional levels, identifying and unpacking salient twenty-first-century policy challenges, and providing thoughtful and evidence-based policy prescriptions for leaders in advanced, emerging market, and developing economies. Importantly, the book underscores that these challenges tend to be global and, hence, global cooperation at all levels is necessary to achieve optimal results. Alas, we seem to be going in the opposite direction; this book offers a road map to put us back on the path to creating a more integrated, prosperous, and equitable global community. Michael G. Plummer Director, SAIS Europe and ENI Professor of International Economics, The Johns Hopkins University
Download or read book Readings in Unobserved Components Models written by Harvey, Andrew C. Harvey and published by . This book was released on 2005 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Policy Analysis and Forecasting in the World Economy written by Francis Vitek and published by International Monetary Fund. This book was released on 2012-06-01 with total page 77 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism, and extensive macrofinancial linkages, both within and across economies. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated, based on a Bayesian framework for conditioning on judgment.
Download or read book Global Economic Prospects January 2018 written by World Bank Group and published by World Bank Publications. This book was released on 2018-01-26 with total page 575 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economy is in a broad-based cyclical recovery. Investment, manufacturing and trade are on the rebound. Financing conditions are benign, monetary policies are generally accommodative, and the worst impacts of the recent commodity price collapse have begun to dissipate. However, the global economic outlook remains clouded by a number of risks. These include the possibility of financial market disruptions, rising protectionist sentiment, and heightened geopolitical tensions. Of particular concern is evidence of subdued productivity and slowing potential growth. In addition to discussing global and regional economic developments and prospects, this edition of Global Economic Prospects includes a chapter on the causes of the broad-based slowing of potential growth and suggests remedies. The report also contains Special Focus sections on the impact of the 2014-2016 oil price collapse and the relationship between education demographics and global inequality. Global Economic Prospects is a World Bank Group Flagship Report that examines global economic developments and prospects, with a special focus on emerging market and developing countries, on a semiannual basis (in January and June). The January edition includes in-depth analyses of topical policy challenges faced by these economies, while the June edition contains shorter analytical pieces.
Download or read book Regionalization vs Globalization written by Mr.Hideaki Hirata and published by International Monetary Fund. This book was released on 2013-01-22 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: Both global and regional economic linkages have strengthened substantially over the past quarter century. We employ a dynamic factor model to analyze the implications of these linkages for the evolution of global and regional business cycles. Our model allows us to assess the roles played by the global, regional, and country-specific factors in explaining business cycles in a large sample of countries and regions over the period 1960–2010. We find that, since the mid-1980s, the importance of regional factors has increased markedly in explaining business cycles especially in regions that experienced a sharp growth in intra-regional trade and financial flows. By contrast, the relative importance of the global factor has declined over the same period. In short, the recent era of globalization has witnessed the emergence of regional business cycles.
Download or read book State Space and Unobserved Component Models written by Andrew Harvey and published by . This book was released on 2004 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Global Macroeconomic Costs of Raising Bank Capital Adequacy Requirements written by Mr.Scott Roger and published by International Monetary Fund. This book was released on 2012-02-01 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the transitional macroeconomic costs of a synchronized global increase in bank capital adequacy requirements under Basel III, as well as a capital increase covering globally systemically important banks. The analysis, using an estimated multi-country model, contributed to the work of the Macroeconomic Assessment Group analysis, especially in estimating the potential international spillovers associated with a global increase in capital requirements. The magnitude of the effects found in this analysis is relatively modest, especially if monetary policies have scope to ease in response to a widening of interest rate spreads by banks.
Download or read book Regional Economic Outlook November 2008 Asia and Pacific written by International Monetary Fund. Asia and Pacific Dept and published by International Monetary Fund. This book was released on 2008-11-24 with total page 69 pages. Available in PDF, EPUB and Kindle. Book excerpt: The November 2008 Asia and Pacific REO focuses on the difficult economic environment facing policymakers in the region. Chapter 1 provides an overview of the outlook for the region. With growth slowing, and the global financial crisis increasingly affecting the region, macroeconomic and financial policies will need to be proactive. Chapter 2 looks more closely at inflation in Asia, finding that it is increasingly imported and volatile, which raises important questions about monetary policy frameworks in the future. Chapter 3 takes a longer-term look at how the expected rapid aging of the region may affect capital flows and financial markets in the years to come.
Download or read book Monetary Policy Analysis and Forecasting in the Group of Twenty written by Francis Vitek and published by International Monetary Fund. This book was released on 2010-06-01 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a panel unobserved components model of the monetary transmission mechanism in the world economy, disaggregated into twenty national economies along the lines of the Group of Twenty. This structural macroeconometric model features extensive linkages between the real and financial sectors, both within and across economies. A variety of monetary policy analysis and forecasting applications of the estimated model are demonstrated, based on a Bayesian framework for conditioning on judgment.
Download or read book Housing Markets in Europe written by Olivier de Bandt and published by Springer Science & Business Media. This book was released on 2010-10-14 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the recession in the years 2008-2009, the most severe for mature economies in the post-war period, housing markets were often mentioned as having a special responsibility. The objective of this book is to shed light on the cyclical behaviour of the housing markets, its fundamental determinants in terms of supply and demand characteristics, and its relationship with the overall business cycle. The co-movements of house prices across countries are also considered, as well as the channel of transmission of house price changes to the rest of the economy. Particular attention is paid to the effects on private consumption, through possible wealth effects. The book is a compilation of original papers produced by economists and researchers from the four main national central banks in the euro area, also with the participation of leading academics.
Download or read book European Access written by and published by . This book was released on 2000 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt:
