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Cointegrated TFP processes and international business cycles [[electronic resource] /] / prepared by Pau Rabanal, Juan F. Rubio-Ramírez, and Vicente Tuesta
| Cointegrated TFP processes and international business cycles [[electronic resource] /] / prepared by Pau Rabanal, Juan F. Rubio-Ramírez, and Vicente Tuesta |
| Autore | Rabanal Pau |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 |
| Descrizione fisica | 53 p. : ill |
| Altri autori (Persone) |
Rubio-RamírezJuan Francisco
TuestaVicente |
| Collana | IMF working paper |
| Soggetto topico |
Business cycles - Econometric models
Foreign exchange rates - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-7796-3
1-4518-7359-X 1-4527-5510-8 1-282-84418-0 9786612844188 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910463712503321 |
Rabanal Pau
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| [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Cointegrated TFP processes and international business cycles / / prepared by Pau Rabanal, Juan F. Rubio-Ramirez, and Vicente Tuesta
| Cointegrated TFP processes and international business cycles / / prepared by Pau Rabanal, Juan F. Rubio-Ramirez, and Vicente Tuesta |
| Autore | Rabanal Pau |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 |
| Descrizione fisica | 53 p. : ill |
| Disciplina | 332.1;332.15 |
| Altri autori (Persone) |
Rubio-RamirezJuan Francisco
TuestaVicente |
| Collana | IMF working paper |
| Soggetto topico |
Business cycles - Econometric models
Foreign exchange rates - Econometric models |
| ISBN |
1-4623-7796-3
1-4518-7359-X 1-4527-5510-8 1-282-84418-0 9786612844188 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Cover Page -- Title Page -- Copyright Page -- Contents -- I. Introduction -- II. The Great Moderation and Real Exchange Rate Volatility -- 1. Standard Deviation of HP-Filtered Data. USA and UK -- 2. Standard Deviation of HP-Filtered Data. Canada and Australia -- III. The Model -- A. Households -- B. Firms -- B.1 Final goods producers -- B.2 Intermediate goods producers -- B.3 The processes for TFP -- C. Market Clearing -- D. Equilibrium -- D.1 Equilibrium definition -- D.2 Equilibrium conditions -- E. Balanced Growth and the Restriction on the Cointegrating Vector -- IV. Estimation of the VECM -- A. Data -- 3. TFP Processes for the US and the "Rest of the World" -- B. Integration and Cointegration Properties -- 1. Unit Root tests for TFP -- 2. Cointegration Statistics I -- 3. Cointegration Statistics II: Johansen's test -- C. The VECM Model -- 4. Likelihood ratio tests -- 5. VECM model -- V. Results -- A. Parameterization -- B. Matching Real Exchange Rate Volatility -- 6a. Results -- 6b. Results -- 6c. Results -- C. Intuition -- 4. Impulse Response to a Home Country TFP shock. Model with Stationary TFP Shocks -- 5. Impulse Response to a Home-Country TFP shock. Model with Stationary TFP Shocks -- 7. Changing ρa and к -- 6. Impulse Response to a Home-Country TFP shock. Model with Cointegrated TFP Shocks -- 7. Impulse Response to a Home-Country TFP shock. Model with Cointegrated TFP Shocks -- D. Matching the Increase in Real Exchange Rate Volatility -- E. The "Backus-Smith Puzzle" -- 8. Investment-Specific Technology shocks -- VI. Concluding Remarks -- A. Normalize Equilibrium Conditions -- References -- Footnotes. |
| Record Nr. | UNINA-9910828970603321 |
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Rabanal Pau
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| [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The Drivers of Housing Cycles in Spain / / Pau Rabanal, Oriol Aspachs-Bracons
| The Drivers of Housing Cycles in Spain / / Pau Rabanal, Oriol Aspachs-Bracons |
| Autore | Rabanal Pau |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (63 p.) |
| Disciplina | 363.5 |
| Altri autori (Persone) | Aspachs-BraconsOriol |
| Collana | IMF Working Papers |
| Soggetto topico |
Global Financial Crisis, 2008-2009
Monetary policy Risk Infrastructure Investments: General Macroeconomics Real Estate Financial Markets and the Macroeconomy Monetary Policy International Conflicts Negotiations Sanctions Macroeconomics: Consumption Saving Wealth Economic Development: Urban, Rural, Regional, and Transportation Analysis Housing Housing Supply and Markets Labor Economics: General Investment Capital Intangible Capital Capacity Property & real estate Labour income economics Consumption Housing prices Labor Return on investment National accounts Prices Saving and investment Economics Labor economics |
| ISBN |
1-4623-4870-X
1-4527-6721-1 1-283-51370-6 9786613826152 1-4519-1772-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover Page; Title Page; Copyright Page; Contents; Figures; Tables; I. Introduction; 1. Residential Investment (y-o-y real growth rate); 2. House Price Indices (y-o-y percent growth rate); 3. 3-Month T-Bill Rates in Spain and in the EMU; 4. Number of Households and Population. Annual Growth Rates; II. The Model; A. Households; B. Producers; B.1 Final Goods Producers; B.2 Intermediate Goods Producers; C. Closing the Model; C.1 Market Clearing Conditions; C.2 Monetary Policy Rule; III. Bayesian Estimation; A. Data; B. Priors and Posteriors; 1. Calibrated parameters
2a. Prior and Posterior Disributions5. Priors (black solid line) and Posteriors (red dashed line); 6. Priors (black solid line) and Posteriors (red dashed line); 2b. Prior and Posterior Disributions; C. Implications of the Model: Posterior Second Moments and Impulse Responses; C.1 Second Moments; 3a. Second Moments in Spain; 3b. Second Moments in the rest of EMU; 4. Variance Decomposition (in percent); C.2 Model Simulation; 7. Model Simulation with Smoothed Shocks. Percent Contribution of Each Shock to Overall Volatility; C.3 Impulse Responses 8. Posterior Impulse Responses (mean and 95% C.I.) to a Technology Shock in the Housing Sector9. Posterior Impulse Responses (mean and 95% C.I.) to a Preference Shock in the Housing Sector; 10. Posterior Impulse Responses (mean and 95% C.I.) to a Monetary Policy Shock in the Euro Area; IV. Robustness: The Role of Financial Frictions and Labor Market Rigidities; 5. Model Comparison; V. Conclusions; References; Footnotes |
| Record Nr. | UNINA-9910788411703321 |
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Rabanal Pau
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Euro-dollar real exchange rate dynamics in an estimated two-country model [[electronic resource] ] : what is important and what is not / / prepared by Pau Rabanal and Vicente Tuesta
| Euro-dollar real exchange rate dynamics in an estimated two-country model [[electronic resource] ] : what is important and what is not / / prepared by Pau Rabanal and Vicente Tuesta |
| Autore | Rabanal Pau |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, 2006 |
| Descrizione fisica | 1 online resource (42 p.) |
| Altri autori (Persone) | TuestaVicente |
| Collana | IMF working paper |
| Soggetto topico |
Euro-dollar market - Econometric models
Foreign exchange rates - United States - Econometric models Foreign exchange rates - European Union countries - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-4879-3
1-4527-4408-4 1-283-51766-3 9786613830111 1-4519-8792-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. THE MODEL""; ""III. EXTENSIONS TO THE BASELINE MODEL ""; ""IV. ESTIMATION AND MODEL COMPARISON""; ""V. RESULTS""; ""VI. CONCLUDING REMARKS""; ""APPENDIX: THE METROPOLIS-HASTINGS ALGORITHM""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464356303321 |
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Rabanal Pau
|
||
| [Washington, D.C.], : International Monetary Fund, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Euro-dollar real exchange rate dynamics in an estimated two-country model : what is important and what is not / / prepared by Pau Rabanal and Vicente Tuesta
| Euro-dollar real exchange rate dynamics in an estimated two-country model : what is important and what is not / / prepared by Pau Rabanal and Vicente Tuesta |
| Autore | Rabanal Pau |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, 2006 |
| Descrizione fisica | 1 online resource (42 p.) |
| Altri autori (Persone) | TuestaVicente |
| Collana | IMF working paper |
| Soggetto topico |
Euro-dollar market - Econometric models
Foreign exchange rates - United States - Econometric models Foreign exchange rates - European Union countries - Econometric models |
| ISBN |
1-4623-4879-3
1-4527-4408-4 1-283-51766-3 9786613830111 1-4519-8792-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. THE MODEL""; ""III. EXTENSIONS TO THE BASELINE MODEL ""; ""IV. ESTIMATION AND MODEL COMPARISON""; ""V. RESULTS""; ""VI. CONCLUDING REMARKS""; ""APPENDIX: THE METROPOLIS-HASTINGS ALGORITHM""; ""REFERENCES"" |
| Record Nr. | UNINA-9910821802903321 |
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Rabanal Pau
|
||
| [Washington, D.C.], : International Monetary Fund, 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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