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Keywords:Group of Seven countries 

Working Paper
U.S. official forecasts of Group of Seven economic performance, 1976-90

In this paper, we evaluate the accuracy of the U.S. Treasury Department forecasts of real growth and inflation from 1976 to 1990 for the Group of Seven (G-7) economies. The accuracy of these forecasts is measured against the standard of actual real world growth and inflation as subsequently published in the Treasury's World Economic Outlook (WEO). The primary comparison is to forecasts made by the OECD for each of the G-7 nations, but for the United States and Canada, we compare the forecasts to those made by the Blue Chip consensus and the Federal Reserve 'Greenbook'.
Working Papers , Paper 1994-030

Working Paper
Non-linear predictability in stock and bond returns: when and where is it exploitable?

We systematically examine the comparative predictive performance of a number of alternative linear and non-linear models for stock and bond returns in the G7 countries. Besides Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STAR) regime switching (predictive) regression models, we also estimate univariate models in which conditional heteroskedasticity is captured through GARCH, TARCH and EGARCH models and ARCH-in mean effects appear in the conditional mean. Although we fail to find a consistent winner/out-performer across all countries and asset ...
Working Papers , Paper 2008-010

Journal Article
U.S. official forecasts of G-7 economies, 1976-90

Review , Issue Mar

Report
Dynamic factor models with time-varying parameters: measuring changes in international business cycles

We develop a dynamic factor model with time-varying factor loadings and stochastic volatility in both the latent factors and idiosyncratic components. We employ this new measurement tool to study the evolution of international business cycles in the post-Bretton Woods period, using a panel of output growth rates for nineteen countries. We find 1) statistical evidence of a decline in volatility for most countries, with the timing, magnitude, and source (international or domestic) of the decline differing across countries; 2) some evidence of a decline in business cycle synchronization for ...
Staff Reports , Paper 326

Working Paper
Monetary disturbances matter for business fluctuations in the G-7

This paper examines the importance of monetary disturbances for cyclical fluctuations in real activity and inflation. It employs a novel identification approach which uses the sign of the cross-correlation function in response to shocks to assign a structural interpretation to orthogonal innovations. We find that monetary shocks significantly drive output and inflation cycles in all G-7 countries; that they are the dominant source of fluctuations in three of the seven countries; that they contain an important policy component, and that their impact is time varying.
International Finance Discussion Papers , Paper 660

Working Paper
Breaks in the variability and co-movement of G-7 economic growth

This paper investigates breaks in the variability and co-movement of output, consumption, and investment in the G-7 economies. In contrast with most other papers on co-movement, we test for changes in co-movement allowing for breaks in mean and variance. Despite claims that rising integration among these economies has increased output correlations among them, we find no clear evidence of an increase in correlation of growth rates of output, consumption, or investment. This finding is true even for the United States and Canada, which have seen a tremendous increase in bilateral trade shares, ...
International Finance Discussion Papers , Paper 786

Journal Article
G-7 nations to see moderate growth; developing Asian economies strongest

Economics Update , Issue Jan , Pages 8-9

Journal Article
An investigation of co-movements among the growth rates of the G-7 countries

Early in 2000, after a decade of economic expansion, growth began to slow simultaneously in the large, advanced economies known as the Group of Seven (G-7)--Canada, France, Germany, Italy, Japan, the United Kingdom, and the United States. The general slide in GDP growth fueled speculation that a period was emerging in which broad movements in the economies of the industrialized countries would be more closely linked. Proponents of this view argued that greater trade in goods and financial markets was leading to a greater synchronization of national economies. A rise in the co-movement of GDP ...
Federal Reserve Bulletin , Volume 88 , Issue Oct , Pages 427-437

Working Paper
Trade elasticities for G-7 countries

This paper reports the results of a project to estimate and test the stability properties of conventional equations relating real imports and exports of goods and services for the G-7 countries to their incomes and relative prices. We begin by estimating cointegration vectors and the error-correction formulations. We then test the stability of these equations using Chow and Kalman-Filter tests. The evidence suggests three findings. First, conventional trade equations and elasticities are stable enough, in most cases, to perform adequately in forecasting and policy simulations. Equations for ...
International Finance Discussion Papers , Paper 609

Working Paper
Monetary policy shocks and productivity measures in the G-7 countries

Working Paper Series, Macroeconomic Issues , Paper 93-12

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