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Autocorrelation-Corrected Standard Errors in Panel Probits; An Application to Currency Crisis Prediction

Berg, Andrew; Coke, Rebecca N. - International Monetary Fund (IMF) - 2004

Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem, proposes and tests a solution, and applies it to previously...

Persistent link: https://www.econbiz.de/10005768958

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

González-Hermosillo, Brenda; Martin, Vance; Dungey, Mardi - International Monetary Fund (IMF) - 2003

The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to...

Persistent link: https://www.econbiz.de/10005768985

Assessing Early Warning Systems; How Have they Worked in Practice?

Berg, Andrew; Borensztein, Eduardo; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2004

Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private...

Persistent link: https://www.econbiz.de/10005768990

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 adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...

Persistent link: https://www.econbiz.de/10005769039

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

Missing Link; Volatility and the Debt Intolerance Paradox

Catão, Luis; Kapur, Sandeep - International Monetary Fund (IMF) - 2004

A striking feature of sovereign lending is that many countries with moderate debt-to-income ratios systematically face higher spreads and more stringent borrowing constraints than others with far higher debt ratios. Earlier research has rationalized the phenomenon in terms of sovereign...

Persistent link: https://www.econbiz.de/10005769203

Revenue Forecasting; How is it Done? Results From a Survey of Low-Income Countries

Kyobe, Annette; Danninger, Stephan - International Monetary Fund (IMF) - 2005

This paper takes stock of revenue forecasting practices in low-income countries, and provides a comprehensive and … condensed account of the revenue forecasting process. Based on a new dataset on 34 low-income countries, it catalogues … forecasting practices and procedures from inception until budget submission, focusing primarily on institutional aspects and …

Persistent link: https://www.econbiz.de/10005769216

The Use of Encompassing Tests for Forecast Combinations

Kisinbay, Turgut - International Monetary Fund (IMF) - 2007

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S....

Persistent link: https://www.econbiz.de/10005769228

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

The Impact of the EMUon the Structure of European Equity Returns; An Empirical Analysis of the First 21 Months

Kraus, Thomas - International Monetary Fund (IMF) - 2001

Using symmetric data sets of 92 weekly return observations before and after the introduction of the euro, the paper analyzes the impact of the new currency on the return structure of equity markets in the European Monetary Union. Variance decompositions, cluster analyses, and principle component...

Persistent link: https://www.econbiz.de/10005769273