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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 …
Persistent link: https://www.econbiz.de/10008727797
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Structural Breaks in Fiscal Performance; Did Fiscal Responsibility Laws Have Anything to Do with them?
Medina, Leandro; Caceres, Carlos; Corbacho, Ana - International Monetary Fund (IMF) - 2010
In recent years, many countries have adopted Fiscal Responsibility Laws to strengthen fiscal institutions and promote fiscal discipline in a credible, predictable and transparent manner. Still, results on the effectiveness of these laws remain tentative. In this paper, we test empirically...
Persistent link: https://www.econbiz.de/10008727801
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Vietnam; Bayesian Estimation of Output Gap
Maliszewski, Wojciech - International Monetary Fund (IMF) - 2010
The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, while treating the output gap as an unobservable series to be estimated together with other parameters. Model coefficients are easily interpretable, and the output gap series is...
Persistent link: https://www.econbiz.de/10008560446
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Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …
Persistent link: https://www.econbiz.de/10005825693
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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - International Monetary Fund (IMF) - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...
Persistent link: https://www.econbiz.de/10005826355
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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 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
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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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Technology Shocks and Aggregate Fluctuations; How Well Does the RBC Model Fit Postwar U.S. Data?
Galí, Jordi; Rabanal, Pau - International Monetary Fund (IMF) - 2004
Our answer: Not so well. We reached that conclusion after reviewing recent research on the role of technology as a source of economic fluctuations. The bulk of the evidence suggests a limited role for aggregate technology shocks, pointing instead to demand factors as the main force behind the...
Persistent link: https://www.econbiz.de/10005605356
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How Private Creditors Fared in Emerging Debt Markets, 1970-2000
Zettelmeyer, Jeromin; Weder, Beatrice; Klingen, Christoph - International Monetary Fund (IMF) - 2004
We estimate ex post returns to emerging market debt by combining secondary-market prices with observed flows based on World Bank data. From 1970-2000, returns averaged 9 percent per annum, about the same as returns on a ten-year U.S. treasury bond. This reflects the combined effect of the 1980s...
Persistent link: https://www.econbiz.de/10005264003
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Haircuts; Estimating Investor Losses in Sovereign Debt Restructurings, 1998-2005
Zettelmeyer, Jeromin; Sturzenegger, Federico - International Monetary Fund (IMF) - 2005
This paper estimates bond-by-bond "haircuts"-realized investor losses-in recent debt restructurings in Russia, Ukraine, Pakistan, Ecuador, Argentina, and Uruguay. We consider both external and domestic retructurings. Haircuts are computed as the percentage difference between the present values...
Persistent link: https://www.econbiz.de/10005825806