IMF Publications by Subject
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Vector autoregression:
2005
Title: Three Attempts at Inflation Forecasting in Pakistan
Series: Working Paper No. 2005/105
Date: May 1, 2005
Subject: Cyclical indicators Economic forecasting Inflation Monetary base Vector autoregression
Title: Following Germany’s Lead: Using International Monetary Linkages to Identify the Effect of Monetary Policy on the Economy
Series: Working Paper No. 2005/086
Date: April 1, 2005
Subject: Banking Econometric analysis Exchange rate arrangements Exchange rates Financial services Foreign exchange Inflation Prices Production Production growth Real interest rates Vector autoregression
Title: Relating the Knowledge Production Function to Total Factor Productivity: An Endogenous Growth Puzzle
Series: Working Paper No. 2005/074
Date: April 1, 2005
Subject: Productivity Spillovers Stocks Total factor productivity Vector autoregression
2004
Title: Challenging the Empirical Evidence From Present Value Models of the Current Account
Series: Working Paper No. 2004/106
Date: June 1, 2004
Subject: Balance of payments Current account Econometric analysis National accounts Personal income Vector autoregression
Title: Empirical Modeling of Contagion: A Review of Methodologies
Series: Working Paper No. 2004/078
Date: May 1, 2004
Subject: Factor models Financial crises Securities markets Stock markets Vector autoregression
Title: Czech Republic: Selected Issues and Statistical Appendix
Series: Country Report No. 2004/003
Date: January 9, 2004
Subject: Bank credit Banking Credit Econometric analysis Exchange rates Foreign exchange Money Nominal effective exchange rate Vector autoregression
Title: Exchange Rate Pass-Through in the Euro Area: The Role of Asymmetric Pricing Behavior
Series: Working Paper No. 2004/014
Date: January 1, 2004
Subject: Currencies Econometric analysis Exchange rates Export prices Foreign exchange Import prices Money Prices Vector autoregression
2003
Title: Modeling Stochastic Volatility with Application to Stock Returns
Series: Working Paper No. 2003/125
Date: June 1, 2003
Subject: Asset prices Bayesian models Monetary operations Stock markets Vector autoregression
Title: Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System
Series: Working Paper No. 2003/102
Date: May 1, 2003
Subject: Banking Bayesian models Econometric analysis Estimation techniques Financial services Monetary systems Money Short term interest rates Vector autoregression
Title: On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications
Series: Working Paper No. 2003/073
Date: April 1, 2003
Subject: Vector autoregression Vector error correction models