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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

Emerging Market Volatility: Lessons from The Taper Tantrum

Sahay, Ratna; Arora, Vivek B.; Arvanitis, Athanasios V; … - International Monetary Fund (IMF) - 2014

communication about the exit from unconventional monetary policy can and did help later to reduce the risk of excessive market … volatility. And for the global community, enhanced global cooperation, including a strong global financial safety net, offers … emerging markets effective protection against excessive volatility. …

Persistent link: https://www.econbiz.de/10010959484

Monetary Policy and Bank Risk-Taking

Dell'Ariccia, Giovanni - International Monetary Fund (IMF) - 2010

view that monetary policy easing induces greater risk-taking by banks but also shows that the relationship between real … interest rates and banking risk is more complex. Ultimately, it depends on how much skin in the game banks have. The central …

Persistent link: https://www.econbiz.de/10011123889

Bank Leverage and Monetary Policy's Risk-Taking Channel; Evidence from the United States

Dell'Ariccia, Giovanni; Laeven, Luc; Suarez, Gustavo - International Monetary Fund (IMF) - 2013

We present evidence of a risk-taking channel of monetary policy for the U.S. banking system. We use confidential data …’s survey of terms of business lending. We find that ex-ante risk taking by banks (as measured by the risk rating of the bank …

Persistent link: https://www.econbiz.de/10011242177

What (Really) Accounts for the Fall in Hours After a Technology Shock?

Rebei, Nooman - International Monetary Fund (IMF) - 2012

The paper asks how state of the art DSGE models that account for the conditional response of hours following a positive neutral technology shock compare in a marginal likelihood race. To that end we construct and estimate several competing small-scale DSGE models that extend the standard real...

Persistent link: https://www.econbiz.de/10010790268

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

Identifying Threshold Effects in Credit Risk Stress Testing

Morales, Armando Méndez; Gasha, Jose Giancarlo - International Monetary Fund (IMF) - 2004

of credit risk to changes in economic activity in boom periods. …

Persistent link: https://www.econbiz.de/10005768731

Effect of IMF Structural Adjustment Programson Expectations; The Case of Transition Economies

Imam, Patrick A. - International Monetary Fund (IMF) - 2007

We analyze the effect of IMF programs on economic agents' expectations about the economy in transitional countries using survey data from the Central and Eastern Eurobarometer poll, an annual general public survey monitoring the evolution of public opinion from 1990 to 1997. Previous studies, in...

Persistent link: https://www.econbiz.de/10005768769

The Net Worth Approach to Fiscal Analysis; Dynamics and Rules

International Monetary Fund (IMF); International … - 2006

The net worth approach to fiscal analysis is cast in a simple model able to capture the dynamics and steady-state equilibria of public sector's debt, nonfinancial and financial assets, and net worth under alternative fiscal rules, including the golden rule and the golden rule cum debt...

Persistent link: https://www.econbiz.de/10005769028

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...

Persistent link: https://www.econbiz.de/10005769039