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A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager
Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006
This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...
Persistent link: https://www.econbiz.de/10005825661
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Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...
Persistent link: https://www.econbiz.de/10005825693
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An Empirical Reassessment of the Relationship Between Finance and Growth
Favarra, Giovanni - International Monetary Fund (IMF) - 2003
This paper reexamines the empirical relationship between financial development and economic growth. It presents evidence based on cross-section and panel data using an updated dataset, a variety of econometric methods, and two standard measures of financial development: the level of liquid...
Persistent link: https://www.econbiz.de/10005826253
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A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
Cheng, Kevin C. - International Monetary Fund (IMF) - 2010
Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper...
Persistent link: https://www.econbiz.de/10008646431
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Financial Development and Economic Growth; An Overview
Khan, Mohsin S.; Semlali, A. Senhadji - International Monetary Fund (IMF) - 2000
In recent years there has been substantial theoretical and empirical work on the role that financial markets play in fostering economic growth and development. This paper provides a selective review of the literature, as well as new empirical evidence on the relationship between financial...
Persistent link: https://www.econbiz.de/10005263653
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On the Properties of Various Estimators for Fiscal Reaction Functions
Celasun, Oya; Kang, Joong Shik - International Monetary Fund (IMF) - 2006
This paper evaluates the bias of the least-squares-with-dummy-variables (LSDV) method in fiscal reaction function estimations. A growing number of studies estimate fiscal policy reaction functions-that is, relationships between the primary fiscal balance and its determinants, including public...
Persistent link: https://www.econbiz.de/10005263679
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Deficit Limits, Budget Rules and Fiscal Policy
Manasse, Paolo - International Monetary Fund (IMF) - 2005
The paper presents a simple model for discussing the effects of deficit limits and budget rules on fiscal policy. I find that limits on deficit-output ratios provide incentives to implement procyclical policies when the economy is in intermediate states, and countercyclical policies only in very...
Persistent link: https://www.econbiz.de/10005263724
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Social Spending, Human Capital, and Growth in Developing Countries; Implications for Achieving the Mdgs
Baldacci, Emanuele; Cui, Qiang; Clements, Benedict J.; … - International Monetary Fund (IMF) - 2004
Using panel data from 120 developing countries from 1975 to 2000, this paper explores the direct and indirect channels linking social spending, human capital, and growth in a system of equations. The paper finds that both education and health spending have a positive and significant direct...
Persistent link: https://www.econbiz.de/10005263905
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The Difference Between Hedonic Imputation Indexes and Time Dummy Hedonic Indexes
Heravi, Saeed; Silver, Mick - International Monetary Fund (IMF) - 2006
high turnover of differentiated models, however, the use of hedonic indexes is more appropriate since they include the … prices and quantities of unmatched new and old models. The two main approaches to hedonic indexes are hedonic imputation (HI …) indexes and dummy time hedonic (DTH) indexes. This study provides a formal analysis of the difference between the two …
Persistent link: https://www.econbiz.de/10005263961
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Growth Empirics Under Model Uncertainty; Is Africa Different?
Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2005
This paper attempts to identify robust patterns of cross-country growth behavior in the world as a whole and Africa. It employs a novel methodology that incorporates a dynamic panel estimator, and Bayesian Model Averaging to explicitly account for model uncertainty. The findings indicate that:...
Persistent link: https://www.econbiz.de/10005264072