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Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation...

Persistent link: https://www.econbiz.de/10009327870

Systemic Risk and Asymmetric Responses in the Financial Industry

López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

Persistent link: https://www.econbiz.de/10011142002

Country Stress Events; Does Governance Matter?

Kochanova, Anna; Caceres, Carlos - International Monetary Fund (IMF) - 2012

This paper analyzes the linkages between governance quality and country stress events. It focuses on two types of events: fiscal and political stress events, for which two innovative stress indicators are introduced. The results suggest that weaker governance quality is associated with a higher...

Persistent link: https://www.econbiz.de/10011242318

Tracking Short-Term Dynamics of Economic Activity in Low-Income Countries in the Absence of High-Frequency Gdp Data

Dixit, S. V. S.; Opoku-Afari, Maxwell - International Monetary Fund (IMF) - 2012

This paper uses a set of routinely collected high-frequency data in low-income countries (LICs) to construct an aggregate and a comprehensive index of economic activity which could serve (i) as a measure of the direction of economic activity; and (ii) as a useful input in analyzing...

Persistent link: https://www.econbiz.de/10010790333

Too Much Finance?

Berkes, Enrico; Panizza, Ugo; Arcand, Jean-Louis - International Monetary Fund (IMF) - 2012

This paper examines whether there is a threshold above which financial development no longer has a positive effect on economic growth. We use different empirical approaches to show that there can indeed be "too much" finance. In particular, our results suggest that finance starts having a...

Persistent link: https://www.econbiz.de/10010790393

An Assessment of Estimates of Term Structure Models for the United States

Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then...

Persistent link: https://www.econbiz.de/10009369442

Do Commodity Futures Help Forecast Spot Prices?

Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …

Persistent link: https://www.econbiz.de/10009369445

Predicting Recessions; A New Approach for Identifying Leading Indicators and Forecast Combinations

Kisinbay, Turgut; Baba, Chikako - International Monetary Fund (IMF) - 2011

forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and … best in a large comparative forecasting exercise at various forecasting horizons. In addition, the selected indicators are …

Persistent link: https://www.econbiz.de/10009369447

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle

Al-Hassan, Abdullah - International Monetary Fund (IMF) - 2009

This paper constructs a coincident indicator for the Gulf Cooperation Council (GCC) area business cycle. The resulting coincident indicator provides a reliable measure of the GCC business cycle; over the last decade, the GCC coincident index and the real GDP growth have moved closely together....

Persistent link: https://www.econbiz.de/10004999961