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PPP Strikes Back; Aggregation and the Real Exchange Rate

Mumtaz, Haroon; Imbs, Jean; Ravn, Morten O.; Rey, Helene - International Monetary Fund (IMF) - 2003

We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...

Persistent link: https://www.econbiz.de/10005248142

Target Zones and Forward Rates in a Model with Repeated Realignments

Bodnar, Gordon M.; Bartolini, Leonardo - International Monetary Fund (IMF) - 1992

This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band....

Persistent link: https://www.econbiz.de/10005248258

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

The Forward Premium Puzzle Revisited

Meredith, Guy; Ma, Yue - International Monetary Fund (IMF) - 2002

turn affected by the exchange rate. The theoretical models considered all generate results that are consistent with the … the exchange rate change lengthens. Another common feature of the models is that the true reduced-form equation for … building block for structural models. …

Persistent link: https://www.econbiz.de/10005263741

Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments

Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...

Persistent link: https://www.econbiz.de/10005263920

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003

We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10005263948

Do IMF Programs Improve Economic Governance?

Honda, Jiro - International Monetary Fund (IMF) - 2008

This paper examines the effects of IMF financial assistance on economic governance in developing countries, based on panel data analyses of perceived governance indicators. It uses a two-stage approach to address possible endogeneity issues. The results show that successful implementation of IMF...

Persistent link: https://www.econbiz.de/10005263964

Shocks, Financial Dependence, and Efficiency; Evidence From U.S. and Canadian Industries

Estevão, Marcello M.; Severo, Tiago - International Monetary Fund (IMF) - 2011

The paper investigates how changes in industries' funding costs affect total factor productivity (TFP) growth. Based on panel regressions using 31 U.S. and Canadian industries between 1991 and 2007, and using industries' dependence on external funding as an identification mechanism, we show that...

Persistent link: https://www.econbiz.de/10009293770

Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections

Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007

This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...

Persistent link: https://www.econbiz.de/10005825617

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 … whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The … second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal …

Persistent link: https://www.econbiz.de/10005825647