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Author: Michal Andrle
Publisher: International Monetary Fund
ISBN: 1484399552
Category : Business & Economics
Languages : en
Pages : 45
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Book Description
This paper discusses several popular methods to estimate the ‘output gap’. It provides a unified, natural concept for the analysis, and demonstrates how to decompose the output gap into contributions of observed data on output, inflation, unemployment, and other variables. A simple bar-chart of contributing factors, in the case of multi-variable methods, sharpens the intuition behind the estimates and ultimately shows ‘what is in your output gap.’ The paper demonstrates how to interpret effects of data revisions and new data releases for output gap estimates (news effects) and how to obtain more insight into real-time properties of estimators.
Author: Michal Andrle
Publisher: International Monetary Fund
ISBN: 1484399552
Category : Business & Economics
Languages : en
Pages : 45
Get Book Here
Book Description
This paper discusses several popular methods to estimate the ‘output gap’. It provides a unified, natural concept for the analysis, and demonstrates how to decompose the output gap into contributions of observed data on output, inflation, unemployment, and other variables. A simple bar-chart of contributing factors, in the case of multi-variable methods, sharpens the intuition behind the estimates and ultimately shows ‘what is in your output gap.’ The paper demonstrates how to interpret effects of data revisions and new data releases for output gap estimates (news effects) and how to obtain more insight into real-time properties of estimators.
Author: Michal Andrle
Publisher: International Monetary Fund
ISBN: 1484360516
Category : Business & Economics
Languages : en
Pages : 45
Get Book Here
Book Description
This paper discusses several popular methods to estimate the ‘output gap’. It provides a unified, natural concept for the analysis, and demonstrates how to decompose the output gap into contributions of observed data on output, inflation, unemployment, and other variables. A simple bar-chart of contributing factors, in the case of multi-variable methods, sharpens the intuition behind the estimates and ultimately shows ‘what is in your output gap.’ The paper demonstrates how to interpret effects of data revisions and new data releases for output gap estimates (news effects) and how to obtain more insight into real-time properties of estimators.
Author: Gilles Dufrénot
Publisher: Springer Nature
ISBN: 3030542521
Category : Business & Economics
Languages : en
Pages : 387
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Book Description
The book provides a comprehensive overview of the latest econometric methods for studying the dynamics of macroeconomic and financial time series. It examines alternative methodological approaches and concepts, including quantile spectra and co-spectra, and explores topics such as non-linear and non-stationary behavior, stochastic volatility models, and the econometrics of commodity markets and globalization. Furthermore, it demonstrates the application of recent techniques in various fields: in the frequency domain, in the analysis of persistent dynamics, in the estimation of state space models and new classes of volatility models. The book is divided into two parts: The first part applies econometrics to the field of macroeconomics, discussing trend/cycle decomposition, growth analysis, monetary policy and international trade. The second part applies econometrics to a wide range of topics in financial economics, including price dynamics in equity, commodity and foreign exchange markets and portfolio analysis. The book is essential reading for scholars, students, and practitioners in government and financial institutions interested in applying recent econometric time series methods to financial and economic data.
Author: Michal Andrle
Publisher: International Monetary Fund
ISBN: 1498381812
Category : Business & Economics
Languages : en
Pages : 50
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Book Description
This paper studies economic and financial spillovers from the euro area to Poland in a two-country semi-structural model. The model incorporates various channels of macrofinancial linkages and cross-border spillovers. We parameterize the model through an extensive calibration process, and provide a wide range of model properties and evaluation exercises. Simulation results suggest a prominent role of foreign demand shocks (euro area and global) in driving Poland’s output, inflation and interest rate dynamics, particularly in recent years. Our model also has the capability for medium-term conditional forecasting and policy analysis.
Author: International Monetary Fund. Research Dept.
Publisher: International Monetary Fund
ISBN: 1475558538
Category : Business & Economics
Languages : en
Pages : 16
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Book Description
The Research Summaries in the September 2013 IMF Research Bulletin focus on “External Conditions and Debt Sustainability in Latin America” (Gustavo Adler and Sebastian Sosa) and “Monetary Policy Cyclicality in Emerging Markets” (Donal McGettigan, Kenji Moriyama, and Chad Steinberg). In the Q&A, Itai Aigur and Sunil Sharma discuss “Seven Questions on Macroprudential Policy Frameworks.” The Research Bulletin also includes an updated listing of recent IMF Working Papers, Staff Discussion Notes, and Recommended Readings from the IMF Bookstore, as well as information on a forthcoming conference. The IMF Economic Review’s new Impact Factor is also highlighted.
Author: Mr.Jiaqian Chen
Publisher: International Monetary Fund
ISBN: 151352786X
Category : Business & Economics
Languages : en
Pages : 28
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Book Description
We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates.
Author: Fabian Bornhorst
Publisher: International Monetary Fund
ISBN: 1475510209
Category : Business & Economics
Languages : en
Pages : 39
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Book Description
Technical Notes and Manuals are produced by IMF departments to expand the dissemination of their technical assistance advice. These papers present general advice and guidance, drawn in part from unpublished technical assistance reports, to a broader audience. This new series was launched in August 2009.
Author: Mr.Pau Rabanal
Publisher: International Monetary Fund
ISBN: 1451875657
Category : Business & Economics
Languages : en
Pages : 68
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Book Description
Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the strong positive comovement between output and labor input measures.
Author: Peter van Overschee
Publisher: Springer Science & Business Media
ISBN: 1461304652
Category : Technology & Engineering
Languages : en
Pages : 263
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Book Description
Subspace Identification for Linear Systems focuses on the theory, implementation and applications of subspace identification algorithms for linear time-invariant finite- dimensional dynamical systems. These algorithms allow for a fast, straightforward and accurate determination of linear multivariable models from measured input-output data. The theory of subspace identification algorithms is presented in detail. Several chapters are devoted to deterministic, stochastic and combined deterministic-stochastic subspace identification algorithms. For each case, the geometric properties are stated in a main 'subspace' Theorem. Relations to existing algorithms and literature are explored, as are the interconnections between different subspace algorithms. The subspace identification theory is linked to the theory of frequency weighted model reduction, which leads to new interpretations and insights. The implementation of subspace identification algorithms is discussed in terms of the robust and computationally efficient RQ and singular value decompositions, which are well-established algorithms from numerical linear algebra. The algorithms are implemented in combination with a whole set of classical identification algorithms, processing and validation tools in Xmath's ISID, a commercially available graphical user interface toolbox. The basic subspace algorithms in the book are also implemented in a set of Matlab files accompanying the book. An application of ISID to an industrial glass tube manufacturing process is presented in detail, illustrating the power and user-friendliness of the subspace identification algorithms and of their implementation in ISID. The identified model allows for an optimal control of the process, leading to a significant enhancement of the production quality. The applicability of subspace identification algorithms in industry is further illustrated with the application of the Matlab files to ten practical problems. Since all necessary data and Matlab files are included, the reader can easily step through these applications, and thus get more insight in the algorithms. Subspace Identification for Linear Systems is an important reference for all researchers in system theory, control theory, signal processing, automization, mechatronics, chemical, electrical, mechanical and aeronautical engineering.
Author: Sergio Consoli
Publisher: Springer Nature
ISBN: 3030668916
Category : Application software
Languages : en
Pages : 357
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Book Description
This open access book covers the use of data science, including advanced machine learning, big data analytics, Semantic Web technologies, natural language processing, social media analysis, time series analysis, among others, for applications in economics and finance. In addition, it shows some successful applications of advanced data science solutions used to extract new knowledge from data in order to improve economic forecasting models. The book starts with an introduction on the use of data science technologies in economics and finance and is followed by thirteen chapters showing success stories of the application of specific data science methodologies, touching on particular topics related to novel big data sources and technologies for economic analysis (e.g. social media and news); big data models leveraging on supervised/unsupervised (deep) machine learning; natural language processing to build economic and financial indicators; and forecasting and nowcasting of economic variables through time series analysis. This book is relevant to all stakeholders involved in digital and data-intensive research in economics and finance, helping them to understand the main opportunities and challenges, become familiar with the latest methodological findings, and learn how to use and evaluate the performances of novel tools and frameworks. It primarily targets data scientists and business analysts exploiting data science technologies, and it will also be a useful resource to research students in disciplines and courses related to these topics. Overall, readers will learn modern and effective data science solutions to create tangible innovations for economic and financial applications.