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Identifying Threshold Effects in Credit Risk Stress Testing

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

Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). For advanced financial systems showing low NPLs, there is an embedded...

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

Growth Convergence and Spillovers Among Indian States; What Matters? What Does Not?

Sodsriwiboon, Piyaporn; Kalra, Sanjay - International Monetary Fund (IMF) - 2010

Convergence and spillovers across countries and within countries are old, but recurrent policy concerns, and India is no exception to this rule. This paper examines convergence and spillovers across Indian states using non-stationary panel data techniques. Results on convergence among Indian...

Persistent link: https://www.econbiz.de/10008470398

Estimation of Economic Growth in France Using Business Survey Data

Kabundi, Alain N. - International Monetary Fund (IMF) - 2004

This paper proposes a new way of computing a coincident indicator for economic activity in France using data from business surveys. We use the generalized dynamic factor model à la Forni and others (2000) to extract common components from a large number of survey observations. The results...

Persistent link: https://www.econbiz.de/10005605434

Investment; Specific Technology Shocks and International Business Cycles: An Empirical Assessment

International Monetary Fund (IMF); International … - 2010

In this paper, we first introduce investment-specific technology (IST) shocks to an otherwise standard international real business cycle model and show that a thoughtful calibration of them along the lines of Raffo (2009) successfully addresses the "quantity", "international comovement",...

Persistent link: https://www.econbiz.de/10008671290

GEM; A New International Macroeconomic Model

Bayoumi, Tamim; Faruqee, Hamid; Laxton, Douglas; Karam, … - International Monetary Fund (IMF) - 2004

Over the past two years, the IMF staff has been developing a new multicountry macroeconomic model called the Global Economy Model (GEM). This paper explains why such a model is needed, how GEM differs from its predecessor model, and how the new features of the model can improve the IMFâ€™s...

Persistent link: https://www.econbiz.de/10005590952

Credit Constraints, Productivity Shocks and Consumption Volatility in Emerging Economies

Bhattacharya, Rudrani; Patnaik, Ila - International Monetary Fund (IMF) - 2013

How does access to credit impact consumption volatility? Theory and evidence from advanced economies suggests that … volatile than income, indicates that financial reform further increases the volatility of consumption relative to output. We … consumption volatility. Calibration of the model for pre and post financial reform in India provides support for the model's key …

Persistent link: https://www.econbiz.de/10010790416

The Dynamics of the Term Structure of Interest Rates in the United States in Light of the Financial Crisis of 2007-2010

Waldo, Marco Rodriguez; Medeiros, Carlos I. - International Monetary Fund (IMF) - 2011

This paper assesses the dynamics of the term structure of interest rates in the United States in light of the financial crisis in 2007-10. In particular, this paper assesses the dynamics of the term structure of U.S. Treasury security yields in light of economic and financial events and the...

Persistent link: https://www.econbiz.de/10009019574

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

Growth and Convergence in WAEMU Countries

Wane, Abdoul Aziz - International Monetary Fund (IMF) - 2004

This paper investigates convergence and dynamic effects of human and physical capital on growth, in WAEMU countries. Using recently developed models for panel data and a growth accounting model, the study finds that growth is largely explained by changes in literacy rates and factor...

Persistent link: https://www.econbiz.de/10005263809

Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System

Gray, Dale F.; Walsh, James P - International Monetary Fund (IMF) - 2008

Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial …

Persistent link: https://www.econbiz.de/10005264053

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