Other Publications
IMF Publications by Subject

See also IMF Publications by Author or Title.

Vector autoregression
[ Next Subject ] [ Previous Subject ] [ All subjects ]
Page: 1 of 1
Title: 6½ Decades of Global Trade and Income : “New Normal” or “Back to Normal” after GTC and GFC?
Author/Editor:Sanjay Kalra
lblSeries:Working Paper No. 16/139
 Subject: International trade ; Exports ; Income ; Economic growth ; Structural vector autoregression ; Econometric models
Title: A Stock-Flow Accounting Model of the Labor Market: An Application to Israel
Author/Editor:Yossi Yakhin ; Natalya Presman
lblSeries:Working Paper No. 15/58
 Subject: Labor markets ; Israel ; Unemployment ; Structural vector autoregression ; Econometric models ; Time series
Title: An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia
Author/Editor:Ken Miyajima
lblSeries:Working Paper No. 16/22
 Subject: Oil ; Saudi Arabia ; Oil prices ; Banks ; Credit expansion ; Non-performing loans ; Balance sheets ; Panel analysis ; Vector autoregression
Title: Big Players Out of Synch : Spillovers Implications of US and Euro Area Shocks
Author/Editor:Carolina Osorio Buitron ; Esteban Vesperoni
lblSeries:Working Paper No. 15/215
 Subject: Spillovers ; United States ; Euro Area ; Monetary policy ; External shocks ; Exchange rates ; Economic conditions ; Developed countries ; Emerging markets ; Vector autoregression ; Panel analysis
Title: Crime and the Economy in Mexican States : Heterogeneous Panel Estimates (1993-2012)
Author/Editor:Concepción Verdugo Yepes ; Peter L. Pedroni ; Xingwei Hu
lblSeries:Working Paper No. 15/121
 Subject: Foreign direct investment ; Mexico ; Mexico ; Migrations ; Panel analysis ; Regional shocks ; Time series ; Structural vector autoregression
Title: Did the Global Financial Crisis Break the U.S. Phillips Curve?
Author/Editor:Stefan Laseen ; Marzie Taheri Sanjani
lblSeries:Working Paper No. 16/126
 Subject: Global Financial Crisis 2008-2009 ; Inflation ; Unemployment ; Time series ; Vector autoregression ; Econometric models
Title: Dynamic Connectedness of Asian Equity Markets
Author/Editor:Roberto Guimarães-Filho ; Gee Hee Hong
lblSeries:Working Paper No. 16/57
 Subject: Asia and Pacific ; Asia and Pacific ; Asia and Pacific ; Asia and Pacific ; Vector autoregression ; Vector autoregression ; Vector autoregression ; Vector autoregression
Title: Fiscal Multipliers in Ukraine
Author/Editor:Pritha Mitra ; Tigran Poghosyan
lblSeries:Working Paper No. 15/71
 Subject: Fiscal stimulus and multipliers ; Ukraine ; Fiscal consolidation ; Government expenditures ; Tax revenues ; Structural vector autoregression ; Econometric models
Title: Flying to Paradise : The Role of Airlift in the Caribbean Tourism Industry
Author/Editor:Sebastian Acevedo Mejia ; Lu Han ; Hye S Kim ; Nicole Laframboise
lblSeries:Working Paper No. 16/33
 Subject: Aviation ; Caribbean ; United States ; Tourism ; Supply and demand ; Econometric models ; Structural vector autoregression
Title: Forecast Errors and Uncertainty Shocks
Author/Editor:Sylwia Nowak ; Pratiti Chatterjee
lblSeries:Working Paper No. 16/228
 Subject: Economic forecasting ; Forecasting models ; Vector autoregression ; Error analysis
Title: Forecasting the Nominal Brent Oil Price with VARs—One Model Fits All?
Author/Editor:Benjamin Beckers ; Samya Beidas-Strom
lblSeries:Working Paper No. 15/251
 Subject: Oil prices ; Economic forecasting ; Forecasting models ; Vector autoregression
Title: Global Financial Conditions and Monetary Policy Autonomy
Author/Editor:Carlos Caceres ; Yan Carriere-Swallow ; Bertrand Gruss
lblSeries:Working Paper No. 16/108
 Subject: Economic conditions ; Small open economies ; Monetary policy ; Central bank autonomy ; Central banking and monetary issues ; Spillovers ; Vector autoregression ; Econometric models
Title: Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis
Author/Editor:Jorge Iván Canales Kriljenko ; Mehdi Hosseinkouchack ; Alexis Meyer-Cirkel
lblSeries:Working Paper No. 14/241
 Subject: Spillovers ; Sub-Saharan Africa ; External shocks ; Economic growth ; Cross country analysis ; Vector autoregression ; Econometric models
Title: Inequality and Growth : A Heterogeneous Approach
Author/Editor:Francesco Grigoli ; Evelio Paredes ; Gabriel Di Bella
lblSeries:Working Paper No. 16/244
 Subject: Income inequality ; Income distribution ; Economic growth ; Panel analysis ; Structural vector autoregression ; Econometric models
Title: Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco
Author/Editor:Calixte Ahokpossi ; Pilar Garcia Martinez ; Laurent Kemoe
lblSeries:Working Paper No. 16/103
 Subject: Bond yields ; Morocco ; Bond markets ; Monetary policy ; Fiscal policy ; Econometric models ; Vector autoregression
Title: Monetary Transmission in Developing Countries : Evidence from India
Author/Editor:Prachi Mishra ; Peter J Montiel ; Rajeswari Sengupta
lblSeries:Working Paper No. 16/167
 Subject: Monetary transmission mechanism ; India ; Banks ; Loans ; Monetary policy ; Inflation targeting ; Developing countries ; Vector autoregression ; Econometric models
Title: Oil Price Volatility and the Role of Speculation
Author/Editor:Samya Beidas-Strom ; Andrea Pescatori
lblSeries:Working Paper No. 14/218
 Subject: Oil prices ; Commodity price shocks ; Vector autoregression ; Econometric models
Title: Oil Prices and the Global Economy : Is It Different This Time Around?
Author/Editor:Mr. Kamiar Mohaddes ; M. Hashem Pesaran
lblSeries:Working Paper No. 16/210
 Subject: Oil prices ; United States ; Oil ; Markets ; Supply and demand ; Vector autoregression ; Econometric models
Title: On the Drivers of Inflation in Sub-Saharan Africa
Author/Editor:Anh D. M. Nguyen ; Jemma Dridi ; D. Filiz Unsal ; Oral Williams
lblSeries:Working Paper No. 15/189
 Subject: Inflation ; Sub-Saharan Africa ; Supply and demand ; External shocks ; Vector autoregression ; Econometric models
Title: Safe Debt and Uncertainty in Emerging Markets: An Application to South Africa
Author/Editor:Magnus Saxegaard
lblSeries:Working Paper No. 14/231
 Subject: Public debt ; South Africa ; Debt ceilings ; Fiscal policy ; Debt sustainability ; Emerging markets ; Vector autoregression ; Econometric models
Title: Spillovers from Global and Regional Shocks to Armenia
Author/Editor:Knarik Ayvazyan ; Teresa Dabán Sánchez
lblSeries:Working Paper No. 15/241
 Subject: External shocks ; Armenia ; Regional shocks ; Spillovers ; International trade ; Structural vector autoregression ; Econometric models
Title: System Priors for Econometric Time Series
Author/Editor:Michal Andrle ; Miroslav Plašil
lblSeries:Working Paper No. 16/231
 Subject: Econometric models ; Vector autoregression ; Time series ; Economic theory
Title: Testing Piketty’s Hypothesis on the Drivers of Income Inequality : Evidence from Panel VARs with Heterogeneous Dynamics
Author/Editor:Carlos Góes
lblSeries:Working Paper No. 16/160
 Subject: Income inequality ; National income ; Capital ; Panel analysis ; Vector autoregression ; Econometric models ; Economic theory
Title: Testing Shock Transmission Channels to Low-Income Developing Countries
Author/Editor:Nina Biljanovska ; Alexis Meyer-Cirkel
lblSeries:Working Paper No. 16/102
 Subject: Business cycles ; External shocks ; Oil exporting countries ; Developed countries ; Emerging markets ; Low-income developing countries ; Spillovers ; Vector autoregression ; Econometric models ; Error analysis
Title: The Effectiveness of Monetary Policy in Small Open Economies : An Empirical Investigation
Author/Editor:Keyra Primus
lblSeries:Working Paper No. 16/189
 Subject: Monetary policy ; Barbados ; Jamaica ; Trinidad and Tobago ; Reserve requirements ; Small open economies ; Vector autoregression ; Econometric models
Title: The Impact of Oil Prices on the Banking System in the GCC
Author/Editor:Padamja Khandelwal ; Ken Miyajima ; Andre O Santos
lblSeries:Working Paper No. 16/161
 Subject: Oil prices ; Cooperation Council for the Arab States of the Gulf ; Banking sector ; Bank capital ; Non-performing loans ; Panel analysis ; Vector autoregression ; Econometric models
Title: The Role of Bank Capital in Bank Holding Companies’ Decisions
Author/Editor:Adolfo Barajas ; Thomas F. Cosimano ; Dalia Hakura ; Sebastian Roelands
lblSeries:Working Paper No. 15/57
 Subject: Banks ; United States ; Bank capital ; Panel analysis ; Vector autoregression
Title: The Sources of Business Cycles in a Low Income Country
Author/Editor:Romain Houssa ; Jolan Mohimont ; Christopher Otrok
lblSeries:Working Paper No. 15/40
 Subject: Business cycles ; Ghana ; South Africa ; External shocks ; Commodity price shocks ; Regional shocks ; Low-income developing countries ; Cross country analysis ; Vector autoregression ; Econometric models
Title: The U.S. Oil Supply Revolution and the Global Economy
Author/Editor:Kamiar Mohaddes ; Mehdi Raissi
lblSeries:Working Paper No. 15/259
 Subject: Oil ; United States ; Middle East ; North Africa ; Oil production ; Supply and demand ; Oil prices ; Economic growth ; Vector autoregression ; Econometric models
Title: To Bet or Not to Bet : Copper Price Uncertainty and Investment in Chile
Author/Editor:Mr. Fabio Comelli ; Mrs. Esther Perez Ruiz
lblSeries:Working Paper No. 16/218
 Subject: Commodity prices ; Chile ; Copper ; Investment ; Options ; Exchange rates ; Vector autoregression
Title: U.S. Dollar Dynamics : How Important Are Policy Divergence and FX Risk Premiums?
Author/Editor:Ravi Balakrishnan ; Stefan Laseen ; Andrea Pescatori
lblSeries:Working Paper No. 16/125
 Subject: US dollar ; United States ; Foreign exchange ; Risk premium ; External shocks ; Monetary policy ; Structural vector autoregression ; General equilibrium models
Title: Uncertainty and Unemployment: The Effects of Aggregate and Sectoral Channels
Author/Editor:Sangyup Choi ; Prakash Loungani
lblSeries:Working Paper No. 15/36
 Subject: Labor markets ; United States ; External shocks ; Unemployment ; Stock markets ; Structural vector autoregression ; Econometric models
Title: Unraveling the Monetary Policy Transmission Mechanism in Sri Lanka
Author/Editor:Manuk Ghazanchyan
lblSeries:Working Paper No. 14/190
 Subject: Monetary policy ; Sri Lanka ; Monetary transmission mechanism ; Monetary aggregates ; Vector autoregression ; Econometric models
Title: VAR meets DSGE : Uncovering the Monetary Transmission Mechanism in Low-Income Countries
Author/Editor:Bin Grace Li ; Stephen A. O'Connell ; Christopher Adam ; Andrew Berg ; Peter Montiel
lblSeries:Working Paper No. 16/90
 Subject: Monetary transmission mechanism ; Low-income developing countries ; Variables (Mathematics) ; Vector autoregression ; General equilibrium models
Title: What Can Boost Female Labor Force Participation in Asia?
Author/Editor:Yuko Kinoshita ; Fang Guo
lblSeries:Working Paper No. 15/56
 Subject: Labor force participation ; Japan ; Korea, Republic of ; Norway ; Sweden ; Asia ; Women ; Employment ; Cross country analysis ; Structural vector autoregression ; Econometric models
Title: What Really Drives Public Debt : A Holistic Approach
Author/Editor:Pablo Anaya ; Alex Pienkowski
lblSeries:Working Paper No. 15/137
 Subject: Euro Area ; Monetary policy ; Fiscal policy ; Sovereign debt ; Vector autoregression
[ Next Subject ] [ Previous Subject ] [ All subjects ]