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Cointegrated TFP Processes and International Business Cycles / / Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal
| Cointegrated TFP Processes and International Business Cycles / / Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal |
| Autore | Tuesta Vicente |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 53 p. : ill |
| Altri autori (Persone) |
Rubio-RamirezJuan
RabanalPau |
| Collana | IMF Working Papers |
| Soggetto topico |
Business cycles - Econometric models
Foreign exchange rates - Econometric models Econometrics Foreign Exchange Macroeconomics Production and Operations Management Production Cost Capital and Total Factor Productivity Capacity Multiple or Simultaneous Equation Models Multiple Variables: General Macroeconomics: Consumption Saving Wealth Environment and Growth Currency Foreign exchange Econometrics & economic statistics Economic growth Real exchange rates Total factor productivity Vector error correction models Consumption Sustainable growth Industrial productivity Econometric models Economics Economic development |
| 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-9910788226303321 |
Tuesta Vicente
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Cointegrated TFP Processes and International Business Cycles / / Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal
| Cointegrated TFP Processes and International Business Cycles / / Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal |
| Autore | Tuesta Vicente |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 53 p. : ill |
| Disciplina | 332.1;332.15 |
| Altri autori (Persone) |
RabanalPau
Rubio-RamirezJuan |
| Collana | IMF Working Papers |
| Soggetto topico |
Business cycles - Econometric models
Foreign exchange rates - Econometric models Capacity Capital and Total Factor Productivity Consumption Cost Currency Econometric models Econometrics & economic statistics Econometrics Economic development Economic growth Economics Environment and Growth Foreign Exchange Foreign exchange Industrial productivity Macroeconomics Macroeconomics: Consumption Multiple or Simultaneous Equation Models Multiple Variables: General Production and Operations Management Production Real exchange rates Saving Sustainable growth Total factor productivity Vector error correction models Wealth |
| 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 |
|
Tuesta Vicente
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Deciding to enter a monetary union [[electronic resource] ] : the role of trade and financial linkages / / prepared by Ruy Lama and Pau Rabanal
| Deciding to enter a monetary union [[electronic resource] ] : the role of trade and financial linkages / / prepared by Ruy Lama and Pau Rabanal |
| Autore | Lama Ruy <1975-> |
| Pubbl/distr/stampa | Washington, DC, : International Monetary Fund, 2012 |
| Descrizione fisica | 1 online resource (53 p.) |
| Altri autori (Persone) | RabanalPau |
| Collana | IMF working paper |
| Soggetto topico |
Monetary unions
International trade |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4755-1226-0
1-4755-1225-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; 1. Introduction; 2. The Model; 2.1 Households, International Assets Markets, and Staggered Wage Setting; 2.2 Firms; 2.3 Closing the Model; 3. Bayesian Estimation; 3.1 Data; 3.2 Model Dynamics and Data Transformations; 3.3 Estimation: Priors and Posteriors; Tables; Table 1 Calibrated Parameters; Table 2 Prior Distributions; Table 3 Posterior Distributions, structural parameters; Table 4 Posterior Distributions, shocks parameters; 4. Policy Analysis: Welfare Gains of Entering a Monetary Union; Table 5 Second Moments; Table 6 Steady State Effects and Welfare Gains
Table 7 Business Cycle Effects and Welfare Gains5. Sensitivity Analysis; 6. Conclusions; Technical Appendix; References; Figures; Figure 1 Monetary Policy Rates in United Kingdom and the Euro Area: 1999-2011; Figure 2 Trade with Euro Area in France, Germany, Italy, Spain and the United Kingdom; Figure 3 Risk Premium in France, Italy, Spain the United Kingdom; Figure 4 Impulse Response Functions to 25 basis points increase in UIP Shock; Figure 5 Sensitivity Analysis of Welfare |
| Record Nr. | UNINA-9910462245003321 |
|
Lama Ruy <1975->
|
||
| Washington, DC, : International Monetary Fund, 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Deciding to Enter a Monetary Union : : TheRole of Trade and Financial Linkages / / Ruy Lama, Pau Rabanal
| Deciding to Enter a Monetary Union : : TheRole of Trade and Financial Linkages / / Ruy Lama, Pau Rabanal |
| Autore | Lama Ruy |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (53 p.) |
| Altri autori (Persone) | RabanalPau |
| Collana | IMF Working Papers |
| Soggetto topico |
Monetary unions
International trade Banks and Banking Exports and Imports Financial Risk Management Foreign Exchange Macroeconomics Money and Monetary Policy Monetary Policy Open Economy Macroeconomics International Policy Coordination and Transmission International Business Cycles Financial Aspects of Economic Integration Macroeconomics: Consumption Saving Wealth Interest Rates: Determination, Term Structure, and Effects Financial Crises Monetary Systems Standards Regimes Government and the Monetary System Payment Systems International economics Finance Currency Foreign exchange Economic & financial crises & disasters Monetary economics Consumption Interest rate parity Real exchange rates Financial crises Economic integration National accounts Financial services Currencies Money Economics Interest rates |
| ISBN |
1-4755-1226-0
1-4755-1225-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; 1. Introduction; 2. The Model; 2.1 Households, International Assets Markets, and Staggered Wage Setting; 2.2 Firms; 2.3 Closing the Model; 3. Bayesian Estimation; 3.1 Data; 3.2 Model Dynamics and Data Transformations; 3.3 Estimation: Priors and Posteriors; Tables; Table 1 Calibrated Parameters; Table 2 Prior Distributions; Table 3 Posterior Distributions, structural parameters; Table 4 Posterior Distributions, shocks parameters; 4. Policy Analysis: Welfare Gains of Entering a Monetary Union; Table 5 Second Moments; Table 6 Steady State Effects and Welfare Gains
Table 7 Business Cycle Effects and Welfare Gains5. Sensitivity Analysis; 6. Conclusions; Technical Appendix; References; Figures; Figure 1 Monetary Policy Rates in United Kingdom and the Euro Area: 1999-2011; Figure 2 Trade with Euro Area in France, Germany, Italy, Spain and the United Kingdom; Figure 3 Risk Premium in France, Italy, Spain the United Kingdom; Figure 4 Impulse Response Functions to 25 basis points increase in UIP Shock; Figure 5 Sensitivity Analysis of Welfare |
| Record Nr. | UNINA-9910786481403321 |
|
Lama Ruy
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Deciding to Enter a Monetary Union : : TheRole of Trade and Financial Linkages / / Ruy Lama, Pau Rabanal
| Deciding to Enter a Monetary Union : : TheRole of Trade and Financial Linkages / / Ruy Lama, Pau Rabanal |
| Autore | Lama Ruy |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (53 p.) |
| Disciplina | 332.152 |
| Altri autori (Persone) | RabanalPau |
| Collana | IMF Working Papers |
| Soggetto topico |
Monetary unions
International trade Banks and Banking Consumption Currencies Currency Economic & financial crises & disasters Economic integration Economics Exports and Imports Finance Financial Aspects of Economic Integration Financial Crises Financial crises Financial Risk Management Financial services Foreign Exchange Foreign exchange Government and the Monetary System Interest rate parity Interest rates Interest Rates: Determination, Term Structure, and Effects International Business Cycles International economics International Policy Coordination and Transmission Macroeconomics Macroeconomics: Consumption Monetary economics Monetary Policy Monetary Systems Money and Monetary Policy Money National accounts Open Economy Macroeconomics Payment Systems Real exchange rates Regimes Saving Standards Wealth |
| ISBN |
1-4755-1226-0
1-4755-1225-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; 1. Introduction; 2. The Model; 2.1 Households, International Assets Markets, and Staggered Wage Setting; 2.2 Firms; 2.3 Closing the Model; 3. Bayesian Estimation; 3.1 Data; 3.2 Model Dynamics and Data Transformations; 3.3 Estimation: Priors and Posteriors; Tables; Table 1 Calibrated Parameters; Table 2 Prior Distributions; Table 3 Posterior Distributions, structural parameters; Table 4 Posterior Distributions, shocks parameters; 4. Policy Analysis: Welfare Gains of Entering a Monetary Union; Table 5 Second Moments; Table 6 Steady State Effects and Welfare Gains
Table 7 Business Cycle Effects and Welfare Gains5. Sensitivity Analysis; 6. Conclusions; Technical Appendix; References; Figures; Figure 1 Monetary Policy Rates in United Kingdom and the Euro Area: 1999-2011; Figure 2 Trade with Euro Area in France, Germany, Italy, Spain and the United Kingdom; Figure 3 Risk Premium in France, Italy, Spain the United Kingdom; Figure 4 Impulse Response Functions to 25 basis points increase in UIP Shock; Figure 5 Sensitivity Analysis of Welfare |
| Record Nr. | UNINA-9910814616103321 |
|
Lama Ruy
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| 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 / / Vicente Tuesta, Pau Rabanal
| Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model : : What is Important and What is Not / / Vicente Tuesta, Pau Rabanal |
| Autore | Tuesta Vicente |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (42 p.) |
| Altri autori (Persone) | RabanalPau |
| Collana | IMF Working Papers |
| Soggetto topico |
Euro-dollar market - Econometric models
Foreign exchange rates - United States - Econometric models Foreign exchange rates - European Union countries - Econometric models Finance: General Foreign Exchange Inflation Macroeconomics Open Economy Macroeconomics Bayesian Analysis: General General Financial Markets: General (includes Measurement and Data) Macroeconomics: Consumption Saving Wealth Price Level Deflation Currency Foreign exchange Finance Real exchange rates Securities markets Consumption Exchange rates National accounts Financial markets Prices Capital market Economics |
| 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-9910788692203321 |
|
Tuesta Vicente
|
||
| 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 / / Vicente Tuesta, Pau Rabanal
| Euro-Dollar Real Exchange Rate Dynamics in an Estimated Two-Country Model : : What is Important and What is Not / / Vicente Tuesta, Pau Rabanal |
| Autore | Tuesta Vicente |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (42 p.) |
| Altri autori (Persone) | RabanalPau |
| Collana | IMF Working Papers |
| Soggetto topico |
Euro-dollar market - Econometric models
Foreign exchange rates - United States - Econometric models Foreign exchange rates - European Union countries - Econometric models Bayesian Analysis: General Capital market Consumption Currency Deflation Economics Exchange rates Finance Finance: General Financial markets Foreign Exchange Foreign exchange General Financial Markets: General (includes Measurement and Data) Inflation Macroeconomics Macroeconomics: Consumption National accounts Open Economy Macroeconomics Price Level Prices Real exchange rates Saving Securities markets Wealth |
| 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 |
|
Tuesta Vicente
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Macroeconomic patterns and monetary policy in the run-up to asset price busts [[electronic resource] /] / prepared by Prakash Kannan, Pau Rabanal, and Alasdair Scott
| Macroeconomic patterns and monetary policy in the run-up to asset price busts [[electronic resource] /] / prepared by Prakash Kannan, Pau Rabanal, and Alasdair Scott |
| Autore | Kannan Prakash |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 |
| Descrizione fisica | 39 p. : ill |
| Altri autori (Persone) |
RabanalPau
ScottAlasdair |
| Collana | IMF working paper |
| Soggetto topico |
Assets (Accounting) - Prices
Macroeconomics Monetary policy |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-1741-3
9786612844492 1-4518-7399-9 1-282-84449-0 1-4527-5409-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910463704203321 |
|
Kannan Prakash
|
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| [Washington, D.C.], : International Monetary Fund, Research Dept., 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Macroeconomic Patterns and Monetary Policy in the Run-up to Asset Price Busts / / Alasdair Scott, Pau Rabanal, Prakash Kannan
| Macroeconomic Patterns and Monetary Policy in the Run-up to Asset Price Busts / / Alasdair Scott, Pau Rabanal, Prakash Kannan |
| Autore | Scott Alasdair |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 39 p. : ill |
| Altri autori (Persone) |
RabanalPau
KannanPrakash |
| Collana | IMF Working Papers |
| Soggetto topico |
Assets (Accounting) - Prices
Macroeconomics Monetary policy Exports and Imports Inflation Money and Monetary Policy Real Estate Price Level Deflation Housing Supply and Markets Current Account Adjustment Short-term Capital Movements Monetary Policy, Central Banking, and the Supply of Money and Credit: General Property & real estate International economics Monetary economics Asset prices Housing prices Current account balance Credit Prices Housing Balance of payments |
| ISBN |
1-4623-1741-3
9786612844492 1-4518-7399-9 1-282-84449-0 1-4527-5409-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788223403321 |
|
Scott Alasdair
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Macroeconomic Patterns and Monetary Policy in the Run-up to Asset Price Busts / / Alasdair Scott, Pau Rabanal, Prakash Kannan
| Macroeconomic Patterns and Monetary Policy in the Run-up to Asset Price Busts / / Alasdair Scott, Pau Rabanal, Prakash Kannan |
| Autore | Scott Alasdair |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 39 p. : ill |
| Disciplina | 339.53091724 |
| Altri autori (Persone) |
KannanPrakash
RabanalPau |
| Collana | IMF Working Papers |
| Soggetto topico |
Assets (Accounting) - Prices
Macroeconomics Monetary policy Asset prices Balance of payments Credit Current Account Adjustment Current account balance Deflation Exports and Imports Housing prices Housing Supply and Markets Housing Inflation International economics Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Price Level Prices Property & real estate Real Estate Short-term Capital Movements |
| ISBN |
1-4623-1741-3
9786612844492 1-4518-7399-9 1-282-84449-0 1-4527-5409-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Contents -- I. Introduction -- II. Asset Price Busts in the Modern Era -- A. Defining Asset Price Busts -- B. Patterns in macroeconomic Variables in the Run-Up to a Bust -- III. How Good are These Variables as Indicators of Asset Price Busts? -- IV. Macroeconomic Patterns Ahead of the Current Crisis -- A. The Role of Monetary Policy -- V. Conclusion -- References -- Data Appendix -- Tables -- 1. House Price and Stock Price Busts from 1970 to 2008 -- 2. Classification of Observations Based on variable Thresholds -- 3. Percentiles Used as Thresholds for Alarms -- 4. Marginal Probabilities Based on Probit Regressions -- Figures -- 1. Asset Price Busts -- 2. Selected Macroeconomic Variables Before and During House Price Busts -- 3. Selected Macroeconomic Variables Before and During Stock Price Busts -- 4. Selected Macroeconomic Variables Before and During High-Cost and Other House Price Busts, 1985-2008 -- 5. The Probability of an Asset Price Bust -- 6. The Failure of the Indicators to Predict an Asset Price Bust -- 7. Recent Developments in House and Stock Prices -- 8. Warning Signs for Recent House Price Busts -- 9. Macroeconomic Patterns Underlying Recent House Price Booms -- 10. Recent House Price Booms and Household Balance Sheets -- 11. Monetary Conditions Leading up to the Current Crisis -- 12. Inflation and Output for Advnaced Economies in Recent Years -- 13. House Prices and Monetary Conditions -- 14. Stock Prices and Monetary Conditions -- 15. Growth Rate of Nominal Credit Relative to GDP and Real Policy Rates -- 16. Selected Macroeconomic Variables Before and During House Price Busts -- 17. Selected Macroeconomic Variables Before and During Stock Price Busts. |
| Record Nr. | UNINA-9910812447203321 |
|
Scott Alasdair
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
