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Nonperforming Loans and Macrofinancial Vulnerabilities in Advanced Economies

Nkusu, Mwanza - International Monetary Fund (IMF) - 2011

We analyze the link between nonperforming loans (NPL) and macroeconomic performance using two complementary approaches. First, we investigate the macroeconomic determinants of NPL in panel regressions and confirm that adverse macroeconomic developments are associated with rising NPL. Second, we...

Persistent link: https://www.econbiz.de/10009203534

Searching for the Finance-Growth Nexus in Libya

Cevik, Serhan; Rahmati, Mohammad - International Monetary Fund (IMF) - 2013

This paper investigates the causal relationship between financial development and economic growth in Libya during the period 1970–2010. The empirical results vary with estimation methodology and model specification, but indicate the lack of long-run relationship between financial...

Persistent link: https://www.econbiz.de/10010790327

International Transmission of Bank and Corporate Distress

Papa M'B. P. N'Diaye; Gray, Dale F.; Tamirisa, Natalia T.; … - International Monetary Fund (IMF) - 2010

The paper evaluates how increases in banksâ€™ and nonfinancial corporatesâ€™ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...

Persistent link: https://www.econbiz.de/10008542980

Default, Credit Growth, and Asset Prices

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

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of 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...

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

Do Commodity Futures Help Forecast Spot Prices?

Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011

-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …

Persistent link: https://www.econbiz.de/10009369445

International R and D Spillovers and Institutions

Hoffmaister, Alexander W.; Coe, David T.; Helpman, Elhanan - International Monetary Fund (IMF) - 2008

panel cointegration estimation techniques to an expanded data set that we have constructed for the purpose of this study …

Persistent link: https://www.econbiz.de/10005768791

Growth and Productivity in Papua New Guinea

Faal, Ebrima - International Monetary Fund (IMF) - 2006

This paper has examined Papua New Guinea's historical economic growth patterns through a simple growth accounting framework. The analysis shows that swings in growth are mostly accounted for by a significant slowdown in capital input and lower Total Factor Productivity (TFP) growth. It also...

Persistent link: https://www.econbiz.de/10005768923

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

Stock Returns and Output Growth in Emerging and Advanced Economies

Mauro, Paolo - International Monetary Fund (IMF) - 2000

economies. Asset prices therefore contain valuable information to forecast output also in emerging market economies. Moreover …

Persistent link: https://www.econbiz.de/10005769095

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