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Default, Credit Growth, and Asset Prices

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

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 explores a range of financial and real variables that explain such PoDs …

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

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Jobert, Arnaud; Kong, Janet; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2004

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on … Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 …

Persistent link: https://www.econbiz.de/10005826670

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

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 identify the relative contributions of risk during 1998-99. The empirical …

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

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

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

In Search of Coincident and Leading Indicators of Economic Activity in Argentina

Simone, Alejandro - International Monetary Fund (IMF) - 2001

Time series on economic activity in developing countries, in particular real GDP, are reported with important lags. Therefore, it is useful to construct indicators that coincide or lead the actual direction and level of economic activity. A general methodology to construct these indicators is...

Persistent link: https://www.econbiz.de/10005604906

Did Output Recover From the Asian Crisis?

Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2003

This paper investigates the extent to which output has recovered from the Asian crisis. A regime-switching approach that introduces two state variables is used to decompose recessions in a set of six Asian countries into permanent and transitory components. While growth recovered fairly quickly...

Persistent link: https://www.econbiz.de/10005604941