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Macrofinance Model of the Czech Economy : Asset Allocation Perspective

International Monetary Fund - 2012

The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine months. These yield misalignments tend to persist for a number of months. This...

Persistent link: https://www.econbiz.de/10014396906

Contacts, Credibility and Common Knowledge : Their Influenceon Inflation Convergence

International Monetary Fund - 1989

This paper explains why sovereign issuers of reserve currencies do not use unexpected inflation to repudiate their foreign liabilities. Monetary restraint is exercised because of the fear that reserve users will switch to other currencies if an attempt is made to raise “excessive” revenue....

Persistent link: https://www.econbiz.de/10014396294

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

Elasticity Optimism

International Monetary Fund - 2009

In most macroeconomic models, the substitutability between domestic and foreign goods is calibrated using aggregated data. This imposes homogeneous elasticities across goods, and the calibration is only valid under this assumption. If elasticities are heterogeneous, the aggregate...

Persistent link: https://www.econbiz.de/10014402215

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

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

Guarding Against Fiscal Risks in Hong Kong SAR

International Monetary Fund - 2007

Hong Kong SAR''s government faces the dual challenges of volatile revenue and medium term spending pressures arising from a rapidly aging population. Age-related spending pressures raise long-run sustainability concerns, while revenue volatility creates risks to service provision, possibly...

Persistent link: https://www.econbiz.de/10014400988

Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach

International Monetary Fund - 2012

In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a...

Persistent link: https://www.econbiz.de/10014396950

The Transmission Mechanism in Armenia : New Evidence from a Regime Switching VAR Analysis

International Monetary Fund - 2010

The introduction of inflation targeting in 2006, together with important economic developments such as dedollarization, marked the beginning of a new macroeconomic framework in Armenia, which is likely to have changed the effectiveness of monetary policy. This paper is the first attempt to...

Persistent link: https://www.econbiz.de/10014403230

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