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Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
Souto, Marcos; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2007
Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...
Persistent link: https://www.econbiz.de/10005825598
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - International Monetary Fund (IMF) - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10005826355
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The Use of Encompassing Tests for Forecast Combinations
Kisinbay, Turgut - International Monetary Fund (IMF) - 2007
The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S....
Persistent link: https://www.econbiz.de/10005769228
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Potential Output and Output Gap in Central America, Panama and Dominican Republic
Johnson, Christian A - International Monetary Fund (IMF) - 2013
Potential Output is a key factor for debt sustaintability analysis and for developing strategies for growth, but unfortunately it is an unobservable variable. Using three methodologies (production function, switching, and state-space), this paper computes potential output for CAPDR countries...
Persistent link: https://www.econbiz.de/10010790335
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Public Debt and Growth
Woo, Jaejoon; Kumar, Manmohan S. - International Monetary Fund (IMF) - 2010
This paper explores the impact of high public debt on long-run economic growth. The analysis, based on a panel of advanced and emerging economies over almost four decades, takes into account a broad range of determinants of growth as well as various estimation issues including reverse causality...
Persistent link: https://www.econbiz.de/10008646412
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Finland: 2014 Article IV Consultation-Staff Report; Press Release; and Statement by the Executive Director for Finland
International Monetary Fund (IMF); International … - 2014
This 2014 Article IV Consultation highlights that Finland’s strong economic record has stalled. The economy has been in recession for three of the last five years, and unemployment is now more than 8 percent, with more people without work for longer. The shortfall in growth, coming at a...
Persistent link: https://www.econbiz.de/10011244252
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Finland: Fiscal Transparency Evaluation
International Monetary Fund (IMF); International … - 2015
This paper discusses key findings of fiscal transparency evaluation for Finland. It highlights that Finland meets most … for fiscal management in Finland is relatively low. Overall, the Finnish authorities produce an impressive amount of data … and information related to all three pillars of the Code. It is also highlighted that fiscal reporting in Finland is …
Persistent link: https://www.econbiz.de/10011245724
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Spillovers to and from the Nordic Economies: A Macroeconometric Model Based Analysis
Vitek, Francis - International Monetary Fund (IMF) - 2013
This paper analyzes the transmission of shocks and policies among and across the Nordic economies and the rest of the world. This spillover analysis is based on a pair of estimated structural macroeconometric models of the world economy, disaggregated into thirty five national economies. We find...
Persistent link: https://www.econbiz.de/10010790263
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Spillovers in the Nordic Countries
Mircheva, Borislava; Muir, Dirk - International Monetary Fund (IMF) - 2015
Denmark, Finland, Norway, and Sweden form a tightly integrated region which has strong ties with the euro area as well … of integration among the four Nordic economies. These differences are driven by the fact that Denmark and Finland have no … independent monetary policy, and Denmark and Norway are net energy exporters while Finland and Sweden are energy importers. We …
Persistent link: https://www.econbiz.de/10011242239
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Nordic Regional Report; Selected Issues
International Monetary Fund (IMF); International … - 2013
and high household debt. The economic performance of the four continental Nordic economies (Denmark, Finland, Norway, and …
Persistent link: https://www.econbiz.de/10011243046