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Cross-Country Consumption Risk Sharing, a Long-Run Perspective
Qiao, Zhaogang - International Monetary Fund (IMF) - 2010
This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing literature on consumption risk sharing, which is mainly about risks at business...
Persistent link: https://www.econbiz.de/10008470399
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Estimating Indexes of Coincident and Leading Indicators; An Application to Jordan
Mongardini, Joannes; Saadi-Sedik, Tahsin - International Monetary Fund (IMF) - 2003
The analysis of coincident and leading indicators can help policymakers gauge the short-term direction of economic activity. While such analysis is well established in advanced economies, it has received relatively little attention in many emerging market and developing economies, reflecting in...
Persistent link: https://www.econbiz.de/10005605176
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Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention
Bertola, Giuseppe; Bartolini, Leonardo; Prati, Alessandro - International Monetary Fund (IMF) - 2000
We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each “reserve maintenance period,” when the...
Persistent link: https://www.econbiz.de/10005825728
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Armenia; An Assessment of the Real Exchange Rate and Competitiveness
Weber, Anke; Yang, Chunfang - International Monetary Fund (IMF) - 2011
single-country and panel estimation techniques. We estimate a country specific autoregressive distributed lag model and then … proceed with the estimation of a cointegrated panel consisting of transition economies in Europe and Central Asia. This …
Persistent link: https://www.econbiz.de/10008839327
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A New Risk Indicator and Stress Testing tool; A Multifactor Nth-to-Default CDS Basket
Avesani, Renzo G.; Li, Jing; Pascual, Antonio Garcia - International Monetary Fund (IMF) - 2006
This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS) basket of large complex financial institutions (LCFIs). To estimate the...
Persistent link: https://www.econbiz.de/10005826610
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Kingdom of the Netherlands; Netherlands: Selected Issues
International Monetary Fund (IMF); International … - 2008
Overall competitiveness of the Dutch economy seems adequate, but domestically produced exports have lost market share recently. Over the past three decades, globalization has greatly influenced economies as countries have become more integrated. Empirical studies on business cycles...
Persistent link: https://www.econbiz.de/10011244098
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India; Selected Issues
International Monetary Fund (IMF); International … - 2009
€™s overall economic growth. The significant volatility in the exchange equity prices, and interest rates triggered by the global …
Persistent link: https://www.econbiz.de/10011244625
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Fat Tails and their (Un)Happy Endings; Correlation Bias and its Implications for Systemic Risk and Prudential Regulation
International Monetary Fund (IMF); International … - 2011
The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim … holders’ preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it … is shown that the correlation bias shifts shareholder preferences towards highly correlated assets, making financial …
Persistent link: https://www.econbiz.de/10009019569
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Predicting Recessions; A New Approach for Identifying Leading Indicators and Forecast Combinations
Kisinbay, Turgut; Baba, Chikako - International Monetary Fund (IMF) - 2011
This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data...
Persistent link: https://www.econbiz.de/10009369447
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Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model
Chen, Huigang; Mirestean, Alin; Tsangarides, Charalambos G. - International Monetary Fund (IMF) - 2011
regressors in the context of model uncertainty. We illustrate the use of LIBMA in an application to the estimation of a dynamic …
Persistent link: https://www.econbiz.de/10009327870