A Medium Scale Dsge Model For The Integrated Policy Framework

Author : Mr. Tobias Adrian,Vitor Gaspar,Mr. Francis Vitek
Publisher : International Monetary Fund
Page : 99 pages
File Size : 53,5 Mb
Release : 2022-01-28
Category : Business & Economics
ISBN : 9781616359706

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A Medium-Scale DSGE Model for the Integrated Policy Framework by Mr. Tobias Adrian,Vitor Gaspar,Mr. Francis Vitek Pdf

This paper jointly analyzes the optimal conduct of monetary policy, foreign exchange intervention, fiscal policy, macroprudential policy, and capital flow management. This policy analysis is based on an estimated medium-scale dynamic stochastic general equilibrium (DSGE) model of the world economy, featuring a range of nominal and real rigidities, extensive macrofinancial linkages with endogenous risk, and diverse spillover transmission channels. In the pursuit of inflation and output stabilization objectives, it is optimal to adjust all policies in response to domestic and global financial cycle upturns and downturns when feasible—including foreign exchange intervention and capital flow management under some conditions—to widely varying degrees depending on the structural characteristics of the economy. The framework is applied empirically to four small open advanced and emerging market economies.

Author : Kaili Chen,Marcin Kolasa,Jesper Lindé,Hou Wang,Pawel Zabczyk,Ms. Jianping Zhou
Publisher : International Monetary Fund
Page : 65 pages
File Size : 43,5 Mb
Release : 2023-06-30
Category : Business & Economics
ISBN : 9798400245763

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An Estimated DSGE Model for Integrated Policy Analysis by Kaili Chen,Marcin Kolasa,Jesper Lindé,Hou Wang,Pawel Zabczyk,Ms. Jianping Zhou Pdf

We estimate a New Keynesian small open economy model which allows for foreign exchange (FX) market frictions and a potential role for FX interventions for a large set of emerging market economies (EMEs) and some inflation targeting (IT) advanced economy (AE) countries serving as a control group. Next, we use the estimated model to examine the empirical support for the view that interest rate policy may not be sufficient to stabilize output and inflation following capital outflow shocks, and the extent to which FX interventions (FXI) can improve policy tradeoffs. Our results reveal significant structural differences between AEs and EMEs—in particular FX market depth—leading to different transmission of capital outflow shocks which justifies occasional use of FXI in some EMEs in certain situations. Our analysis also highlights the critical importance of accounting for the endogeneity of FXI behavior when assessing FX market depth and policy tradeoffs associated with volatile capital flows in past episodes.

Author : Victoria Babajanyan,Daniel Baksa,Mr. Martin Fukac,Eduard Hakobyan,Arshaluys Harutyunyan,Narek Karapetyan,Babken Pashinyan,Garik Petrosyan,Luis-Felipe Zanna
Publisher : International Monetary Fund
Page : 64 pages
File Size : 52,6 Mb
Release : 2022-06-10
Category : Business & Economics
ISBN : 9798400210754

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The Ararat Fiscal Strategy Model: A Structural Framework for Fiscal Policy Analysis in Armenia by Victoria Babajanyan,Daniel Baksa,Mr. Martin Fukac,Eduard Hakobyan,Arshaluys Harutyunyan,Narek Karapetyan,Babken Pashinyan,Garik Petrosyan,Luis-Felipe Zanna Pdf

This paper presents an overview of the Ararat Fiscal Strategy Model (AFSM), which is a structural, New-Keynesian, DSGE, small open economy model with a rich fiscal block that includes several expenditure and revenue instruments, and types of debt. The AFSM is now a formal part of the Ministry of Finance analytical toolkit to do macroeconomic fiscal policy scenario analysis, which feeds into policy discussions, budget planning, and the Medium-Term Expenditure Framework. The model was applied to assses the macroeconomic impact of the “first wave” of the Covid-19 pandemic on the Armenian economy, including the mitigating effects of policy responses. AFSM simulations revealed a potential severe impact in 2020, with declines in GDP and consumption of 12.9 and 11.7 percent, respectively, and a cumulative loss of GDP of 38 percent for the period 2020-2023. They also highlighted a significant fiscal outlook deterioration that would increase public debt-to-GDP ratios by 18.8 percentage points over 2020-23. The package of counter-cyclical fiscal measures of 3.6 percent of GDP, however, was estimated to cushion the 2020 GDP decline by almost 2 percentage points, as well as protect jobs. A second AFSM application related to the 2018 public investment under-execution showed the importance of improving the efficiency of public investment to have positive macroeconomic and fiscal effects.

Author : Giuseppe Chirichiello
Publisher : Springer Nature
Page : 380 pages
File Size : 43,8 Mb
Release : 2024-07-02
Category : Electronic
ISBN : 9783031560347

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DSGE Models for Real Business Cycle and New Keynesian Macroeconomics by Giuseppe Chirichiello Pdf

Author : Mr. Zamid Aligishiev,Ms. Gabriela Cugat,Mr. Romain A Duval,Davide Furceri,João Tovar Jalles,Ms. Margaux MacDonald,Mr. Giovanni Melina,Mr. Futoshi Narita,Mr. Chris Papageorgiou,Carlo Pizzinelli
Publisher : International Monetary Fund
Page : 45 pages
File Size : 54,7 Mb
Release : 2023-09-12
Category : Business & Economics
ISBN : 9798400247101

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Market Reforms and Public Debt Dynamics in Emerging Market and Developing Economies by Mr. Zamid Aligishiev,Ms. Gabriela Cugat,Mr. Romain A Duval,Davide Furceri,João Tovar Jalles,Ms. Margaux MacDonald,Mr. Giovanni Melina,Mr. Futoshi Narita,Mr. Chris Papageorgiou,Carlo Pizzinelli Pdf

Many emerging market and developing economies face a difficult trade-off between economic support and fiscal sustainability. Market-oriented structural reforms ease this trade-off by promoting economic growth and strengthening public finances. The empirical analysis in this note, based on 62 EMDEs over 1973-2014, shows that reforms are associated with sizeable and long-lasting reductions in the debt-to-GDP ratio mainly through higher fiscal revenues and lower borrowing costs. These effects are larger in countries with greater tax efficiency, lower informality, and higher initial debt. Moreover, a model-based analysis elaborates on how such fiscal gains can be enhanced when revenue windfalls associated with reforms are saved or channeled through higher public investment.

Author : Vusi Gumede
Publisher : Springer Nature
Page : 227 pages
File Size : 46,8 Mb
Release : 2024-07-02
Category : Electronic
ISBN : 9783031541803

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South African Economy by Vusi Gumede Pdf

Author : International Monetary Fund
Publisher : INTERNATIONAL MONETARY FUND
Page : 54 pages
File Size : 51,9 Mb
Release : 2020-10-08
Category : Business & Economics
ISBN : 1513558765

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Toward an Integrated Policy Framework by International Monetary Fund Pdf

Policymakers often face difficult tradeoffs in pursuing domestic and external stabilization objectives. The paper reflects staff’s work to advance the understanding of the policy options and tradeoffs available to policymakers in a systematic and analytical way. The paper recognizes that the optimal path of the IPF tools depends on structural characteristics and fiscal policies. The operational implications of IPF findings require careful consideration. Developing safeguards to minimize the risk of inappropriate use of IPF policies will be essential. Staff remains guided by the Fund’s Institutional View (IV) on the Liberalization and Management of Capital Flows.

Author : Mr. Pau Rabanal,M. Belen Sbrancia
Publisher : International Monetary Fund
Page : 34 pages
File Size : 46,9 Mb
Release : 2024-05-24
Category : Business & Economics
ISBN : 9798400275432

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Examining Price-Wage Dynamics in a Small Open Economy: The Case of Uruguay by Mr. Pau Rabanal,M. Belen Sbrancia Pdf

The recent increase of inflation globally has led to a renewed interest in understanding the link between inflation and wages. In Uruguay, the presence of centralized wage bargaining and indexation practices raises the question as to what extent wage growth dynamics can make the response of inflation to shocks more persistent. We use a medium-scale DSGE model which incorporates indexation in the wage setting equation to analyze the interactions between wage setting behavior and other macroeconomic variables, as well as the role of monetary policy. The analysis suggests that wage indexation increases the persistence of the response of inflation to domestic and foreign shocks, it also affects the monetary policy transmission mechanism and the severity of the trade-offs faced by the central bank.

Author : Mr.Tobias Adrian,Christopher J. Erceg,Jesper Lindé,Pawel Zabczyk,Ms.Jianping Zhou
Publisher : International Monetary Fund
Page : 56 pages
File Size : 52,5 Mb
Release : 2020-07-07
Category : Business & Economics
ISBN : 9781513549668

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A Quantitative Model for the Integrated Policy Framework by Mr.Tobias Adrian,Christopher J. Erceg,Jesper Lindé,Pawel Zabczyk,Ms.Jianping Zhou Pdf

Many central banks have relied on a range of policy tools, including foreign exchange intervention (FXI) and capital flow management tools (CFMs), to mitigate the effects of volatile capital flows on their economies. We develop an empirically-oriented New Keynesian model to evaluate and quantify how using multiple policy tools can potentially improve monetary policy tradeoffs. Our model embeds nonlinear balance sheet channels and includes a range of empirically-relevant frictions. We show that FXI and CFMs may improve policy tradeoffs under certain conditions, especially for economies with less well-anchored inflation expectations, substantial foreign currency mismatch, and that are more vulnerable to shocks likely to induce capital outflows and exchange rate pressures.

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 74 pages
File Size : 54,7 Mb
Release : 2015-10-23
Category : Business & Economics
ISBN : 9781498344067

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Evolving Monetary Policy Frameworks in Low-Income and Other Developing Countries by International Monetary Fund Pdf

Over the past two decades, many low- and lower-middle income countries (LLMICs) have improved control over fiscal policy, liberalized and deepened financial markets, and stabilized inflation at moderate levels. Monetary policy frameworks that have helped achieve these ends are being challenged by continued financial development and increased exposure to global capital markets. Many policymakers aspire to move beyond the basics of stability to implement monetary policy frameworks that better anchor inflation and promote macroeconomic stability and growth. Many of these LLMICs are thus considering and implementing improvements to their monetary policy frameworks. The recent successes of some LLMICs and the experiences of emerging and advanced economies, both early in their policy modernization process and following the global financial crisis, are valuable in identifying desirable features of such frameworks. This paper draws on those lessons to provide guidance on key elements of effective monetary policy frameworks for LLMICs.

Author : Haris Doukas,Alexandros Flamos,Jenny Lieu
Publisher : Springer
Page : 271 pages
File Size : 46,6 Mb
Release : 2018-12-10
Category : Business & Economics
ISBN : 9783030031527

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Understanding Risks and Uncertainties in Energy and Climate Policy by Haris Doukas,Alexandros Flamos,Jenny Lieu Pdf

This open access book analyzes and seeks to consolidate the use of robust quantitative tools and qualitative methods for the design and assessment of energy and climate policies. In particular, it examines energy and climate policy performance and associated risks, as well as public acceptance and portfolio analysis in climate policy, and presents methods for evaluating the costs and benefits of flexible policy implementation as well as new framings for business and market actors. In turn, it discusses the development of alternative policy pathways and the identification of optimal switching points, drawing on concrete examples to do so. Lastly, it discusses climate change mitigation policies’ implications for the agricultural, food, building, transportation, service and manufacturing sectors.

Author : International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 64 pages
File Size : 55,9 Mb
Release : 2013-10-06
Category : Business & Economics
ISBN : 9781498341714

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Key Aspects of Macroprudential Policy - Background Paper by International Monetary Fund. Fiscal Affairs Dept.,International Monetary Fund. Monetary and Capital Markets Department Pdf

The countercyclical capital buffer (CCB) was proposed by the Basel committee to increase the resilience of the banking sector to negative shocks. The interactions between banking sector losses and the real economy highlight the importance of building a capital buffer in periods when systemic risks are rising. Basel III introduces a framework for a time-varying capital buffer on top of the minimum capital requirement and another time-invariant buffer (the conservation buffer). The CCB aims to make banks more resilient against imbalances in credit markets and thereby enhance medium-term prospects of the economy—in good times when system-wide risks are growing, the regulators could impose the CCB which would help the banks to withstand losses in bad times.

Author : Mr. Marco Airaudo
Publisher : International Monetary Fund
Page : 65 pages
File Size : 53,6 Mb
Release : 2016-03-08
Category : Business & Economics
ISBN : 9781475523164

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Inflation Targeting and Exchange Rate Management In Less Developed Countries by Mr. Marco Airaudo Pdf

We analyze coordination of monetary and exchange rate policy in a two-sector model of a small open economy featuring imperfect substitution between domestic and foreign financial assets. Our central finding is that management of the exchange rate greatly enhances the efficacy of inflation targeting. In a flexible exchange rate system, inflation targeting incurs a high risk of indeterminacy where macroeconomic fluctuations can be driven by self-fulfilling expectations. Moreover, small inflation shocks may escalate into much larger increases in inflation ex post. Both problems disappear when the central bank leans heavily against the wind in a managed float.

Author : Mr.Vadim Khramov
Publisher : International Monetary Fund
Page : 36 pages
File Size : 46,5 Mb
Release : 2012-03-01
Category : Business & Economics
ISBN : 9781475502350

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Assessing Dsge Models with Capital Accumulation and Indeterminacy by Mr.Vadim Khramov Pdf

The simulated results of this paper show that New Keynesian DSGE models with capital accumulation can generate substantial persistencies in the dynamics of the main economic variables, due to the stock nature of capital. Empirical estimates on U.S. data from 1960:I to 2008:I show the response of monetary policy to inflation was almost twice lower than traditionally considered, as capital accumulation creates an additional channel of influence through real interest rates in the production sector. Versions of the model with indeterminacy empirically outperform determinate versions. This paper allows for the reconsideration of previous findings and has significant monetary policy implications.

Author : David Colander
Publisher : Cambridge University Press
Page : 33 pages
File Size : 46,8 Mb
Release : 2006-07-17
Category : Business & Economics
ISBN : 9781139459051

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Post Walrasian Macroeconomics by David Colander Pdf

Macroeconomics is evolving in an almost dialectic fashion. The latest evolution is the development of a new synthesis that combines insights of new classical, new Keynesian and real business cycle traditions into a dynamic, stochastic general equilibrium (DSGE) model that serves as a foundation for thinking about macro policy. That new synthesis has opened up the door to a new antithesis, which is being driven by advances in computing power and analytic techniques. This new synthesis is coalescing around developments in complexity theory, automated general to specific econometric modeling, agent-based models, and non-linear and statistical dynamical models. This book thus provides the reader with an introduction to what might be called a Post Walrasian research program that is developing as the antithesis of the Walrasian DSGE synthesis.