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Fat Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation
International Monetary Fund - 2011
holders’ preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it is …The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim … shown that the correlation bias shifts shareholder preferences towards highly correlated assets, making financial …
Persistent link: https://www.econbiz.de/10014401318
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Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions
International Monetary Fund - 1999
This paper examines the extent to which conclusions of cross-country studies of private savings are robust to allowing for the possible heterogeneity of savings behavior across countries and the inclusion of dynamics. It shows that neglecting heterogeneity and dynamics can lead to misleading...
Persistent link: https://www.econbiz.de/10014400163
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Estimating Potential Output with a Multivariate Filter
International Monetary Fund - 2010
This paper develops a simple model for measuring potential output that uses data on inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in addition to the United States and the euro area. While there is a substantial amount of uncertainty around our estimates,...
Persistent link: https://www.econbiz.de/10014403161
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Jamaica; Selected Issues
International Monetary Fund (IMF); International … - 2008
Economic outcomes in Jamaica have fallen short of the authorities’ objectives in recent years. As the government looks to reinvigorate its growth and debt reduction strategy, it is instructive to examine how exogenous shocks and other unanticipated developments can affect economic...
Persistent link: https://www.econbiz.de/10011245592
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Sweden; Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector
International Monetary Fund (IMF); International … - 2011
This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset...
Persistent link: https://www.econbiz.de/10011245016
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Financial Linkages Across Korean Banks
International Monetary Fund (IMF); International … - 2011
This paper assesses the interconnectedness across Korean banks using three alternative methodologies. Two methodologies utilize high frequency financial data while the third uses bank balance sheet data to assess banks' bilateral exposures, systemically vulnerable banks, and systemically risky...
Persistent link: https://www.econbiz.de/10009293781
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Post-Crisis Fiscal Policy Priorities for the AsEAN-5
International Monetary Fund - 2010
This paper focuses on post-crisis fiscal priorities in the ASEAN-5 economies - Indonesia, Malaysia, Philippines, Singapore and Thailand. Sound economic fundamentals and timely and forceful policy responses to the crisis, including fiscal stimulus, contributed to rapid economic recovery in the...
Persistent link: https://www.econbiz.de/10014402657
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ASEAN Progress Towards Sustainable Development Goals and The Role of the IMF
International Monetary Fund - 2018
Attainment of the Sustainable Development Goals (SDGs) will require that the Association of Southeast Asian Nations (ASEAN) countries continue their considerable past achievements. The Millennium Development Goals-which were to have been met by 2015-helped focus attention on achieving progress...
Persistent link: https://www.econbiz.de/10014408467
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A Noteon Saving-Investment Correlations in the EMS
International Monetary Fund - 1990
This paper extends recent work by Feldstein and Horioka (1980) and Bayoumi (1990), and examines saving-investment correlations for industrial countries in the post-war period. The focus of the enquiry is on differences observed between EMS and non-EMS countries. It is seen that the EMS countries...
Persistent link: https://www.econbiz.de/10014396141
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Saving-Investment Correlations : Immobile Capital. Government Policy or Endogenous Behavior?
International Monetary Fund - 1989
This paper analyzes reasons for the high post-war correlations of saving and investment, both across countries and over time. It is concluded that the main reason for the observed high correlations over the recent period is probably government policy
Persistent link: https://www.econbiz.de/10014396226