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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

How Effective are Macroprudential Policies in China?

Wang, Bin; Sun, Tao - International Monetary Fund (IMF) - 2013

This paper investigates macroprudential policies and their role in containing systemic risk in China. It shows that China faces systemic risk in both the time (procyclicality) and cross-sectional (contagion) dimensions. The former is reflected as credit and asset price risks, while the latter is...

Persistent link: https://www.econbiz.de/10011123877

Schumacher, Liliana; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2011

banking system. Using a forward looking simulation of many risk factors applied to detailed balance sheets for a 10 bank … sector and regional concentrations, bank creditors' sensitivity to and uncertainties regarding solvency risk, and inadequate … inter-bank defaults. Liquidity runs are modeled as a response to elevated solvency risk and uncertainties and are shown to …

Persistent link: https://www.econbiz.de/10009370540

Cambodia; Statistical Appendix

International Monetary Fund (IMF); International … - 2004

In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.

Persistent link: https://www.econbiz.de/10005591518

Japan; 2003 Article IV Consultation-Staff Report; Staff Statement; and Public Information Notice on the Executive Board Discussion

International Monetary Fund (IMF); International … - 2003

Japan has made progress in addressing major economic challenges. Executive Directors emphasized for a comprehensive program designed to resolve financial and corporate sector weaknesses, end deflation, and rein in fiscal imbalances. They stressed the need to maintain strong fiscal and monetary...

Persistent link: https://www.econbiz.de/10005591740

Belgium; Financial System Stability Assessment, including Reports on the Observance of Standards and Codes on the following topics: Banking Supervision, Securities Regulation, Insu...

International Monetary Fund (IMF); International … - 2006

This paper discusses key findings of the Financial System Stability Assessment (FSSA) and Reports on the Observance of …

Persistent link: https://www.econbiz.de/10005768517

Financial Institutions, Financial Contagion, and Financial Crises

Huang, Haizhou; Xu, Chenggang - International Monetary Fund (IMF) - 2000

Financial crises are endogenized through corporate and interbank market institutions. Single-bank financing leads to a … may lead more solvent but illiquid banks to withdraw from the market, until the interbank market collapses. However, multi-bank … financing leads to a separating equilibrium in the interbank market. Thus, bank runs are limited to illiquid and insolvent banks …

Persistent link: https://www.econbiz.de/10005599485

Japan's Distressed Debt Market

Ohashi, Kazunari; Singh, Manmohan - International Monetary Fund (IMF) - 2004

of impaired bank loans. To attract risk capital, impaired loans must find market-clearing prices. However, the asymmetry …

Persistent link: https://www.econbiz.de/10005605029

Banks As Coordinators of Economic Growth

Ueda, Kenichi - International Monetary Fund (IMF) - 2006

quantity, banks control firms' investments. Each bank forms a firm group endogenously and internalizes externalities directly …

Persistent link: https://www.econbiz.de/10005605189