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|z 9781455261369
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Kawakami, Kei.
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|a Identifying Fiscal Policy Transmission in Stochastic Debt Forecasts /
|c Kei Kawakami, Rafael Romeu.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2011.
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|a 1 online resource (35 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a A stochastic debt forecasting framework is presented where projected debt distributions reflect both the joint realization of the fiscal policy reaction to contemporaneous stochastic macroeconomic projections, and also the second-round effects of fiscal policy on macroeconomic projections. The forecasting framework thus reflects the impact of the primary balance on the forecast of macro aggregates. Previously-developed forecasting algorithms that do not incorporate these second-round effects are shown to have systematic forecast errors. Evidence suggests that the second-round effects have statistically and economically significant impacts on the direction and dispersion of the debt-to-GDP forecasts. For example, a positive structural primary balance shock lowers the domestic real interest rate, in turn raising GDP and lowering the median debt-to-GDP projection by an additional 10 percent of GDP in the medium term relative to prior forecasting algorithms. In addition, the framework employs a new long-term (five decade) data base and accounts for parameter uncertainty, and for potentially non-normally distributed shocks.
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|a Mode of access: Internet
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|a Romeu, Rafael.
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|a IMF Working Papers; Working Paper ;
|v No. 2011/107
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2011/107/001.2011.issue-107-en.xml
|z IMF e-Library
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