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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 … across time. We find property price fluctuations and bank credit to be important explanatory factors. There is two …
Persistent link: https://www.econbiz.de/10005264113
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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 … banks in 14 emerging market countries. Results show it can predict a bank's credit deterioration up to nine months in …
Persistent link: https://www.econbiz.de/10005826670
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Jamaica; Selected Issues
International Monetary Fund (IMF); International … - 2008
Economic outcomes in Jamaica have fallen short of the authorities’ objectives in recent years. As the government looks to reinvigorate its growth and debt reduction strategy, it is instructive to examine how exogenous shocks and other unanticipated developments can affect economic...
Persistent link: https://www.econbiz.de/10011245592
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The Monetary Model Strikes Back; Evidence From the World
Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008
We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in...
Persistent link: https://www.econbiz.de/10005263651
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A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic
Benes, Jaromir; Papa M'B. P. N'Diaye - International Monetary Fund (IMF) - 2004
This paper presents a multivariate (MV) methodology for obtaining measures of excess demand that can facilitate discussion of monetary policy issues and improve policy decisions. Using data for the Czech Republic, a growing economy undergoing major structural change, it shows how the use of more...
Persistent link: https://www.econbiz.de/10005264226
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Measuring Oil-Price Shocks Using Market-Based Information
Wu, Tao; Cavallo, Michele - International Monetary Fund (IMF) - 2012
We study the effects of oil-price shocks on the U.S. economy combining narrative and quantitative approaches. After examining daily oil-related events since 1984, we classify them into various event types. We then develop measures of exogenous shocks that avoid endogeneity and predictability...
Persistent link: https://www.econbiz.de/10009650637
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Oil Prices, External Income, and Growth; Lessons From Jordan
Raissi, Mehdi; Mohaddes, Kamiar - International Monetary Fund (IMF) - 2011
-run relationships: an output equation as predicted by theory and an equation linking foreign and domestic inflation rates. It is shown …
Persistent link: https://www.econbiz.de/10009401201
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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
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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 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
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Modeling Aggregate Use of Fund Resources; Analytical Approaches and Medium-Term Projections
Ghosh, Atish R.; Zalduendo, Juan; Goretti, Manuela; … - International Monetary Fund (IMF) - 2007
This paper presents two approaches to modeling the use of IMF resources in order to gauge whether the recent decline in credit outstanding is a temporary or a permanent phenomenon. The two approaches-the time series behavior of credit outstanding and a two-stage program selection and access...
Persistent link: https://www.econbiz.de/10005825617