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This work presents a new technique for temporally benchmarking a time series according to the growth rates preservation principle (GRP) by Causey and Trager (1981). A procedure is developed which (i) transforms the original constrained problem into an unconstrained one, and (ii) applies a Newton's method exploiting the analytic Hessian of the GRP objective function. We show that the proposed technique is easy to implement, computationally robust and efficient, all features which make it a plausible competitor of other benchmarking procedures (Denton, 1971; Dagum and Cholette, 2006) also in a data-production process involving a considerable amount of series.

Time-series analysis. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities --- Intelligence (AI) & Semantics --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- Optimization Techniques --- Programming Models --- Dynamic Analysis --- Methodology for Collecting, Estimating, and Organizing Macroeconomic Data --- Data Access --- Technological Change: Choices and Consequences --- Artificial intelligence --- Technology --- United States

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In March 2017, the IMF published an upgrade of its Direction of Trade Statistics (DOTS) dataset. This paper documents the new methodology that has been developed to estimate missing observations of bilateral trade statistics on a monthly basis. The new estimation procedure is founded on a benchmarking method that produces monthly estimates based on official trade statistics by partner country reported at different times and frequencies. In this paper we describe the new estimation methodology. Additional data sources have also been incorporated. We also assess the impact of the new estimates on trade measurement in DOTS at global, regional, and country-specific levels. Finally, we suggest some developments of DOTS to strenghten its relevance for IMF bilateral and multilateral surveillance.

Exports and Imports --- Time-Series Models --- Dynamic Quantile Regressions --- Dynamic Treatment Effect Models --- Diffusion Processes --- Optimization Techniques --- Programming Models --- Dynamic Analysis --- Methodology for Collecting, Estimating, and Organizing Macroeconomic Data --- Data Access --- Trade: General --- Empirical Studies of Trade --- Trade Policy --- International Trade Organizations --- International economics --- Exports --- Imports --- Plurilateral trade --- Trade balance --- Direction of trade --- Balance of trade --- International trade

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In this paper, we provide a dynamic general equilibrium framework with an explicit investment-financing constraint. The constraint is intended as a reduced form to capture the balance sheet effects, which have been widely regarded as an important determinant of financial crises. We derive a link between the value of the firm and the social welfare and we find that the value of the firm can be greater with than without the constraint. Our model also sheds light on how the effects of productivity shocks and bubbles may be amplified by the financing constraint.

Accounting --- Banks and Banking --- Financial Risk Management --- Investments: Stocks --- Macroeconomics --- Optimization Techniques --- Programming Models --- Dynamic Analysis --- Intertemporal Firm Choice and Growth, Investment, or Financing --- Public Administration --- Public Sector Accounting and Audits --- Macroeconomics: Consumption --- Saving --- Wealth --- Pension Funds --- Non-bank Financial Institutions --- Financial Instruments --- Institutional Investors --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Financial Crises --- Financial reporting, financial statements --- Investment & securities --- Banking --- Economic & financial crises & disasters --- Financial statements --- Consumption --- Stocks --- Financial crises --- Finance, Public --- Economics --- Banks and banking

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We consider the optimality of various institutional arrangements for agencies that conduct macro-prudential regulation and monetary policy. When a central bank is in charge of price and financial stability, a new time inconsistency problem may arise. Ex-ante, the central bank chooses the socially optimal level of inflation. Ex-post, however, the central bank chooses inflation above the social optimum to reduce the real value of private debt. This inefficient outcome arises when macro-prudential policies cannot be adjusted as frequently as monetary. Importantly, this result arises even when the central bank is politically independent. We then consider the role of political pressures in the spirit of Barro and Gordon (1983). We show that if either the macro-prudential regulator or the central bank (or both) are not politically independent, separation of price and financial stability objectives does not deliver the social optimum.

Banks and banking, Central. --- Banks and banking. --- Agricultural banks --- Banking --- Banking industry --- Commercial banks --- Depository institutions --- Banker's banks --- Banks, Central --- Central banking --- Central banks --- Finance --- Financial institutions --- Money --- Banks and banking --- Banks and Banking --- Finance: General --- Inflation --- Macroeconomics --- Money and Monetary Policy --- Optimization Techniques --- Programming Models --- Dynamic Analysis --- Macroeconomics: Consumption --- Saving --- Wealth --- Contingent Pricing --- Futures Pricing --- option pricing --- Price Level --- Deflation --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- General Financial Markets: Government Policy and Regulation --- Monetary Policy, Central Banking, and the Supply of Money and Credit: General --- Monetary economics --- Price stabilization --- Financial sector stability --- Credit --- Prices --- Government policy --- Financial services industry --- Option pricing

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We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss the effect of risk aversion, and to take into account uncertainty in the size of reserves. Optimal extraction in the baseline model is found to be volatile. If the oil producer is risk averse, production is more stable, but spare capacity is much higher than what is typically observed. We show that decisions are very sensitive to expectations on the equilibrium oil price using a mean reverting model of the oil price where the equilibrium price is also a random variable. Oil production was cut during the 2008–2009 crisis, and we find that the cut in production was larger for OPEC, for countries facing a lower discount rate, as predicted by the model, and for countries whose governments’ finances are less dependent on oil revenues. However, the net present value of a country’s oil reserves would be increased significantly (by 100 percent, in the most extreme case) if production was cut completely when prices fall below the country's threshold price. If several producers were to adopt such strategies, world oil prices would be higher but more stable.

Petroleum --- Petroleum products --- Petroleum reserves --- Oil reserves --- Oil supply --- Petroleum supply --- Reserves of petroleum --- Oil fields --- Mazut --- Hydraulic fluids --- Coal-oil --- Crude oil --- Oil --- Caustobioliths --- Mineral oils --- Prospecting --- Economic aspects. --- Prices --- Econometric models. --- Reserves --- Refining --- Prospecting&delete& --- Economic aspects --- Prices&delete& --- Econometric models --- E-books --- Investments: Energy --- Macroeconomics --- Taxation --- Industries: Energy --- Optimization Techniques --- Programming Models --- Dynamic Analysis --- Nonrenewable Resources and Conservation: General --- Energy and the Macroeconomy --- Energy: Demand and Supply --- Energy: General --- Macroeconomics: Production --- Price Level --- Inflation --- Deflation --- Business Taxes and Subsidies --- Investment & securities --- Petroleum, oil & gas industries --- Public finance & taxation --- Oil prices --- Oil production --- Asset prices --- Oil, gas and mining taxes --- Commodities --- Production --- Taxes --- Petroleum industry and trade --- United States