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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

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim … holders’ preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it is … shown that the correlation bias shifts shareholder preferences towards highly correlated assets, making financial …

Persistent link: https://www.econbiz.de/10014401318

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

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

Moreon the Effectiveness of Public Spendingon Health Care and Education : A Covariance Structure Model

International Monetary Fund - 2002

Using data for a sample of developing and transition countries, this paper estimates the relationship between government spending on health care and education, and social indicators. Unlike previous studies, where social indicators are used as proxies for the unobservable health and education...

Persistent link: https://www.econbiz.de/10014399239

Israel; Detailed Assessment of IOSCO Objectives and Principles of Securities Regulation

International Monetary Fund (IMF); International … - 2012

Israelâ€™s compliance with International Organization of Securities Commissionsâ€™ objectives and Principles of Securities Regulation has been assessed. The regulatory regime is well developed and in most respects is comparable with that of major jurisdictions. For the most part, it is...

Persistent link: https://www.econbiz.de/10011242660

Republic of Armenia; Selected Issues

International Monetary Fund (IMF); International … - 2006

Although Armenia itself has a population of only about 3 million, an estimated 8 million Armenians live abroad. In this paper, the size and the sources of remittances to Armenia are first discussed. Then, the appropriate definition of remittances and subsequently present estimates of the...

Persistent link: https://www.econbiz.de/10011244293

India; Selected Issues

International Monetary Fund (IMF); International … - 2009

Despite the external origin of the financial crisis, the potential impact on Indiaâ€™s corporate sector could be large, as India has become increasingly integrated with the global economy in the past decade. The Selected Issues paper discusses Indiaâ€™s economic development and...

Persistent link: https://www.econbiz.de/10011244625

Islamic Republic of Iran; Selected Issues

International Monetary Fund (IMF); International … - 2008

This Selected Issues Paper on Iran reviews that monetary factors are the main determinants of inflation in the country. Government spending out of oil revenues leads to large liquidity injections that the central bank accommodates owing to its efforts to prevent a significant nominal...

Persistent link: https://www.econbiz.de/10011244775

United Kingdom; Selected Issues Paper

International Monetary Fund (IMF); International … - 2010

This paper estimates the extent of spare capacity in the U.K. economy using a range of methodologies pointing to an output gap and the behavior of inflation during large output gaps. The usefulness of fiscal rules in supporting fiscal consolidation is generally positive, and a more permanent...

Persistent link: https://www.econbiz.de/10011244859

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