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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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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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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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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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Nonfinancial Firms in Latin America; A Source of Vulnerability?
Gonzalez, Maria - International Monetary Fund (IMF) - 2012
We examine corporate sector vulnerabilities in Brazil, Chile, Colombia, Mexico and Peru. First, we identify stylized …
Persistent link: https://www.econbiz.de/10011242251
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Made in Mexico: Energy Reform and Manufacturing Growth
Alvarez, Jorge; Valencia, Fabian - International Monetary Fund (IMF) - 2015
This paper assesses the real effects of the energy reform in Mexico by looking at its impact on manufacturing output …
Persistent link: https://www.econbiz.de/10011242302
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Mexico; Arrangement Under the Flexible Credit Line and Cancellation of the Current Arrangement—Staff Report; Staff Supplement; and Press Release on the Executive Board Discussion...
International Monetary Fund (IMF); International … - 2012
The report discusses the important role of the Flexible Credit Line (FCL) in helping Mexico to survive in the fragile … global economic environment. The FCL’s contribution in maintaining an orderly financial market in Mexico is noteworthy. IMF … staff reaffirms their commitment toward Mexico in taking the necessary actions to manage unforeseen risks. According to the …
Persistent link: https://www.econbiz.de/10011242587
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Mexico; Staff Report for the 2012 Article IV Consultation
International Monetary Fund (IMF); International … - 2012
buffer against risks that erupted during the global economic crisis. Mexico has been identified as a prudent and fairly well …
Persistent link: https://www.econbiz.de/10011242784
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Mexico; Selected Issues
International Monetary Fund (IMF); International … - 2012
Mexico is an open economy with strong real and financial links to the rest of the world with risks of spillovers from …
Persistent link: https://www.econbiz.de/10011243318