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Optimal Prudential Regulation of Banks and the Political Economy of Supervision

Tressel, Thierry; Verdier, Thierry - International Monetary Fund (IMF) - 2014

We consider a moral hazard economy in banks and production to study how incentives for risk taking are affected by the quality of supervision. We show that low interest rates may generate excessive risk taking. Because of a pecuniary externality, the market equilibrium may not be optimal and...

Persistent link: https://www.econbiz.de/10010790384

Country Stress Events; Does Governance Matter?

Kochanova, Anna; Caceres, Carlos - International Monetary Fund (IMF) - 2012

This paper analyzes the linkages between governance quality and country stress events. It focuses on two types of events: fiscal and political stress events, for which two innovative stress indicators are introduced. The results suggest that weaker governance quality is associated with a higher...

Persistent link: https://www.econbiz.de/10011242318

Tracking Short-Term Dynamics of Economic Activity in Low-Income Countries in the Absence of High-Frequency Gdp Data

Dixit, S. V. S.; Opoku-Afari, Maxwell - International Monetary Fund (IMF) - 2012

This paper uses a set of routinely collected high-frequency data in low-income countries (LICs) to construct an aggregate and a comprehensive index of economic activity which could serve (i) as a measure of the direction of economic activity; and (ii) as a useful input in analyzing...

Persistent link: https://www.econbiz.de/10010790333

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

Adding Latin America to the Global Projection Model

International Monetary Fund (IMF); International … - 2009

forecasting properties. …

Persistent link: https://www.econbiz.de/10004999967

Assessing Early Warning Systems; How Have they Worked in Practice?

Berg, Andrew; Borensztein, Eduardo; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2004

Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private...

Persistent link: https://www.econbiz.de/10005768990

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

Missing Link; Volatility and the Debt Intolerance Paradox

Catão, Luis; Kapur, Sandeep - International Monetary Fund (IMF) - 2004

A striking feature of sovereign lending is that many countries with moderate debt-to-income ratios systematically face higher spreads and more stringent borrowing constraints than others with far higher debt ratios. Earlier research has rationalized the phenomenon in terms of sovereign...

Persistent link: https://www.econbiz.de/10005769203

Revenue Forecasting; How is it Done? Results From a Survey of Low-Income Countries

Kyobe, Annette; Danninger, Stephan - International Monetary Fund (IMF) - 2005

This paper takes stock of revenue forecasting practices in low-income countries, and provides a comprehensive and … condensed account of the revenue forecasting process. Based on a new dataset on 34 low-income countries, it catalogues … forecasting practices and procedures from inception until budget submission, focusing primarily on institutional aspects and …

Persistent link: https://www.econbiz.de/10005769216

The Use of Encompassing Tests for Forecast Combinations

Kisinbay, Turgut - International Monetary Fund (IMF) - 2007

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulness of this approach, an extensive empirical analysis is undertaken using a U.S....

Persistent link: https://www.econbiz.de/10005769228

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