Narrow search
Showing 1 - 10 of 196
Cover Image
Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose
Jobst, Andreas - International Monetary Fund (IMF) - 2007
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...
Persistent link: https://www.econbiz.de/10005768778
Cover Image
On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications
Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
) asymptotically, the heterogeneity bias of the FE may be more or less severe in VAR specifications than in standard dynamic panel data … estimators; (iii) when this happens, the panel must be longer than a typical macro dataset for the MG to be a viable solution. …
Persistent link: https://www.econbiz.de/10005263898
Cover Image
Testing for Structural Breaks in Small Samples
Antoshin, Sergei; Berg, Andrew; Souto, Marcos - International Monetary Fund (IMF) - 2008
In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...
Persistent link: https://www.econbiz.de/10005264217
Cover Image
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 (1986) and Doan et al. (1984) and review alternative...
Persistent link: https://www.econbiz.de/10005825693
Cover Image
Real Effective Exchange Rate and the Constant Elasticity of Substitution Assumption
Spilimbergo, Antonio; Vamvakidis, Athanasios - International Monetary Fund (IMF) - 2000
The real effective exchange rate is an aggregation of several bilateral real exchange rates with respect to other countries. The aggregation is usually done under the assumption of constant elasticity of substitution (CES) between products from different countries. We investigate the validity of...
Persistent link: https://www.econbiz.de/10005826247
Cover Image
An Empirical Reassessment of the Relationship Between Finance and Growth
Favarra, Giovanni - International Monetary Fund (IMF) - 2003
evidence based on cross-section and panel data using an updated dataset, a variety of econometric methods, and two standard … the recent evidence of Levine, Loayza, and Beck (2001), cross-section and panel-data-instrumental-variables regressions … development. Moreover, using a procedure appropriately designed to estimate long-run relationships in a panel with heterogeneous …
Persistent link: https://www.econbiz.de/10005826253
Cover Image
Growth Convergence and Spillovers Among Indian States; What Matters? What Does Not?
Sodsriwiboon, Piyaporn; Kalra, Sanjay - International Monetary Fund (IMF) - 2010
no exception to this rule. This paper examines convergence and spillovers across Indian states using non-stationary panel …
Persistent link: https://www.econbiz.de/10008470398
Cover Image
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 …
Persistent link: https://www.econbiz.de/10008470399
Cover Image
Frugality; Are We Fretting too Much? Household Saving and Assets in the United States
Tanner, Evan; Abdih, Yasser - International Monetary Fund (IMF) - 2009
Household savings rates in the United States have recently crept up from all-time lows. Some have suggested that a shift toward frugality will hamper GDP growth-the Keynesian "paradox of thrift." We estimate that households compensate for a fall in their asset income by saving more out of their...
Persistent link: https://www.econbiz.de/10008528609
Cover Image
Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
Österholm, Pär; Hjalmarsson, Erik - International Monetary Fund (IMF) - 2007
We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the …
Persistent link: https://www.econbiz.de/10005599304