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Do Commodity Futures Help Forecast Spot Prices?
Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011
We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …
Persistent link: https://www.econbiz.de/10009369445
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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
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Nonlinear Exchange Rate Models; A Selective Overview
Sarno, Lucio - International Monetary Fund (IMF) - 2003
-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear …
Persistent link: https://www.econbiz.de/10005825647
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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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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 …
Persistent link: https://www.econbiz.de/10005769039
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Stock Returns and Output Growth in Emerging and Advanced Economies
Mauro, Paolo - International Monetary Fund (IMF) - 2000
This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market economies as in advanced economies. Asset prices therefore contain valuable information...
Persistent link: https://www.econbiz.de/10005769095
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Early Warning Systems; A Survey and a Regime-Switching Approach
Abiad, Abdul - International Monetary Fund (IMF) - 2003
Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...
Persistent link: https://www.econbiz.de/10005769232
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An Evaluation of the World Economic Outlook Forecasts
Timmermann, Allan - International Monetary Fund (IMF) - 2006
raises a number of concerns with current forecasting performance. …
Persistent link: https://www.econbiz.de/10005769333
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Liberalized Markets Have More Stable Exchange Rates; Short-Run Evidence From Four Transition Countries
Bulir, Ales - International Monetary Fund (IMF) - 2004
The paper looks at the hypothesis that financial market liberalization can create a basis for more stable exchange rates, as deviations of exchange rates from equilibrium levels bring forth stabilizing flows of liquidity. This "endogenous liquidity" hypothesis suggests that opening financial...
Persistent link: https://www.econbiz.de/10005599329
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Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle
Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006
We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...
Persistent link: https://www.econbiz.de/10005604790