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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

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

Is Foreign Debt Portfolio Management Efficient in Emerging Economies?

Hussein, Khaled - International Monetary Fund (IMF) - 2001

evidence is provided for a panel of 14 emerging economies in the period 1970-98. Attention is focused on the stocks of foreign …

Persistent link: https://www.econbiz.de/10005599482

In Search of Equilibrium; Estimating Equilibrium Real Exchange Rates in Sub-Saharan African Countries

Mongardini, Joannes; Chudik, Alexander - International Monetary Fund (IMF) - 2007

) countries using both single-country and panel estimation techniques. The limited data set hinders single-country estimation for … most countries in the sample, but panel estimates are statistically and economically significant, and generally robust to …. Panel techniques can also be used to derive out of sample estimates for countries with a more limited data set. …

Persistent link: https://www.econbiz.de/10005604925

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

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

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

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

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

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