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On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

Rebucci, Alessandro - International Monetary Fund (IMF) - 2003

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...

Persistent link: https://www.econbiz.de/10005263898

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

First; A Market-Based Approach to Evaluate Financial System Risk and Stability

Avesani, Renzo G. - International Monetary Fund (IMF) - 2005

This paper presents background work that has been the basis for the development of the market and credit risk …. The fundamental idea was to build a set of Financial Indicators on Risk and Stability (FIRST) that could reflect the …

Persistent link: https://www.econbiz.de/10005264101

Default, Credit Growth, and Asset Prices

Goodhart, C. A. E.; Basurto, Miguel A. Segoviano; … - International Monetary Fund (IMF) - 2006

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper...

Persistent link: https://www.econbiz.de/10005264113

Testing for Structural Breaks in Small Samples

Antoshin, Sergei; Berg, Andrew; Souto, Marcos - International Monetary Fund (IMF) - 2008

In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...

Persistent link: https://www.econbiz.de/10005264217

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011

regressors in the context of model uncertainty. We illustrate the use of LIBMA in an application to the estimation of a dynamic …

Persistent link: https://www.econbiz.de/10009327870

An Assessment of Estimates of Term Structure Models for the United States

Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then...

Persistent link: https://www.econbiz.de/10009369442

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2007

the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories. …

Persistent link: https://www.econbiz.de/10005825598

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to … measure liquidity risk. Along with the formulas for the various statistics proposed, we provide simple examples of their … application to some common risk valuation cases. Finally, we present an integrated approach for the simultaneous estimation of a …

Persistent link: https://www.econbiz.de/10005825661