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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

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

Das, Sonali; Sy, Amadou N. R. - International Monetary Fund (IMF) - 2012

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock returns over the US and European crises. This relationship is weaker in Europe...

Persistent link: https://www.econbiz.de/10009654141

Crude Oil Prices; Trends and Forecast

Krichene, Noureddine - International Monetary Fund (IMF) - 2008

restraining monetary policy, is essential for durable growth and price stability. …

Persistent link: https://www.econbiz.de/10005825666

Front-Loaded or Back-Loaded Fiscal Adjustments; What Works in Emerging Market Economies?

Clements, Benedict J.; Gupta, Sanjeev; Baldacci, Emanuele; … - International Monetary Fund (IMF) - 2004

This paper investigates the political and economic determinants of successful fiscal adjustment in 25 emerging market economies from 1980 to 2001. The results show that large and back-loaded fiscal adjustments have the highest likelihood of success. Fiscal consolidations based on expenditure...

Persistent link: https://www.econbiz.de/10005825965

Empirical Modeling of Contagion; A Review of Methodologies

Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...

Persistent link: https://www.econbiz.de/10005825971

Once Again, is Openness Good for Growth?

International Monetary Fund (IMF); International … - 2004

Rodriguez and Rodrik (2000) argue that the relation between openness and growth is still an open question. One of the … paper applies the identification through heteroskedasticity methodology to estimate the effect of openness on growth while … properly controlling for the effect of growth on openness. The results suggest that openness would have a positive effect on …

Persistent link: https://www.econbiz.de/10005768790

The Impact of Research and Development Tax Incentiveson Colombia's Manufacturing Sector; What Difference Do they Make?

Mercer-Blackman, Valerie - International Monetary Fund (IMF) - 2008

Do tax incentives for science and technology stimulate additional investment? We use detailed data on applications and acceptances for R&D tax incentives, a special survey, and for the first time, the science and technology module from the 2000-2002 Survey of Manufacturers database in Colombia...

Persistent link: https://www.econbiz.de/10005768986

Social Fractionalization, Political Instability, and the Size of Government

Annett, Anthony - International Monetary Fund (IMF) - 2000

neoclassical growth model. The principal idea is that greater fractionalization, proxying for the degree of conflict in society …

Persistent link: https://www.econbiz.de/10005769221

Are Weak Banks Leading Credit Booms? Evidence From Emerging Europe

Igan, Deniz; Tamirisa, Natalia T. - International Monetary Fund (IMF) - 2008

This paper examines the behavior of bank soundness indicators during episodes of brisk loan growth, using bank …-level data for central and eastern Europe and controlling for the feedback effect of credit growth on bank soundness. No evidence …

Persistent link: https://www.econbiz.de/10005599420

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