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A New Risk Indicator and Stress Testing tool; A Multifactor Nth-to-Default CDS Basket
Avesani, Renzo G.; Li, Jing; Pascual, Antonio Garcia - International Monetary Fund (IMF) - 2006
This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS) basket of large complex financial institutions (LCFIs). To estimate the...
Persistent link: https://www.econbiz.de/10005826610
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Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose
Jobst, Andreas - International Monetary Fund (IMF) - 2007
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...
Persistent link: https://www.econbiz.de/10005768778
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Revenue Forecasting; How is it Done? Results From a Survey of Low-Income Countries
Kyobe, Annette; Danninger, Stephan - International Monetary Fund (IMF) - 2005
This paper takes stock of revenue forecasting practices in low-income countries, and provides a comprehensive and condensed account of the revenue forecasting process. Based on a new dataset on 34 low-income countries, it catalogues forecasting practices and procedures from inception until...
Persistent link: https://www.econbiz.de/10005769216
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Idiosyncratic and Systemic Risk in the European Corporate Sector; A CDO Perspective
Lu, Yinqiu; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006
Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in...
Persistent link: https://www.econbiz.de/10005263700
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Nonlinear Exchange Rate Models; A Selective Overview
Sarno, Lucio - International Monetary Fund (IMF) - 2003
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...
Persistent link: https://www.econbiz.de/10005825647
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The Equilibrium Real Exchange Rate of the Malagasy Franc; Estimation and Assessment
Cady, John - International Monetary Fund (IMF) - 2003
Employing cointegration techniques, the long-run determinants of Madagascar's real exchange rate are examined from a stock-flow perspective. The long-run behavior of the real effective exchange rate is explained by the net foreign asset position and factors affecting trade flows. An index of the...
Persistent link: https://www.econbiz.de/10005825649
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An Unbiased Appraisal of Purchasing Power Parity
McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2001
Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However, least squares-based estimates of half-lives are biased downward. Accordingly, we...
Persistent link: https://www.econbiz.de/10005825679
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Can Higher Reserves Help Reduce Exchange Rate Volatility?
Nowak, M.; Hviding, Ketil; Ricci, Luca Antonio - International Monetary Fund (IMF) - 2004
This paper studies the role of an increase in foreign exchange reserves in reducing currency volatility for emerging … introduced in the regressions to account for other factors affecting exchange rate volatility (monetary and external indicators … exchange rate regime, since the regime can affect both the level of reserves and exchange rate volatility. The results provide …
Persistent link: https://www.econbiz.de/10005825686
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Price Impacts of Non-Adoption of the Euro for Small European Countries
Anderson, Harald; Yelten, Sibel - International Monetary Fund (IMF) - 2006
Debates surrounding the adoption of a common currency have focused on its benefits weighed against the long-term costs of losing monetary independence. These debates have assumed that the penalty for not adopting a common currency is the maintenance of the status quo. This paper uses the...
Persistent link: https://www.econbiz.de/10005825723
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Evaluating Historical CGER Assessments; How Well Have they Predicted Subsequent Exchange Rate Movements?
Lee, Jungjin; Abiad, Abdul; Kannan, Prakash - International Monetary Fund (IMF) - 2009
The IMF's Consultative Group on Exchange Rate issues (CGER) has been conducting exchange rate assessments as part of the surveillance process since 1997. This paper evaluates CGER assessments from 1997 to 2006, by comparing these to subsequent movements in real effective exchange rates (REER)....
Persistent link: https://www.econbiz.de/10005825774