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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
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Czech Koruna and Polish Zloty Currency Options; Information Contnent and Eu-Accession Implications
Morales, Armando Méndez - International Monetary Fund (IMF) - 2000
Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction...
Persistent link: https://www.econbiz.de/10005248136
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Imf Drawing Programs; Participation Determinants and Forecasting
Cerutti, Eugenio - International Monetary Fund (IMF) - 2007
This paper studies the factors that have influenced countries' participation in IMF drawing programs. IMF drawing programs are defined as the period of a Stand-By Arrangement or an Extended Fund Facilities program during which a country borrows from the Fund. Since this definition excludes...
Persistent link: https://www.econbiz.de/10005248203
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The Monetary Model Strikes Back; Evidence From the World
Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008
We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in...
Persistent link: https://www.econbiz.de/10005263651
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A Small Quarterly Projection Model of the US Economy
Ermolaev, Igor; Juillard, Michel; Carabenciov, Ioan; … - International Monetary Fund (IMF) - 2008
sensible forecasting properties. After developing a benchmark model without financial-real linkages, we introduce such linkages …
Persistent link: https://www.econbiz.de/10005263685
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The Forward Premium Puzzle Revisited
Meredith, Guy; Ma, Yue - International Monetary Fund (IMF) - 2002
from risk neutrality and/or rational expectations. In addition, a mechanism is needed that generates the appropriate … correlation between the forward premium and shocks arising from risk premia or expectations errors. This paper extends McCallum …" relationships for forecasting exchange rates. The results, however, remain consistent with using uncovered interest parity as a …
Persistent link: https://www.econbiz.de/10005263741
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On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications
Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...
Persistent link: https://www.econbiz.de/10005263898
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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Negro, Marco Del; Brooks, Robin - International Monetary Fund (IMF) - 2005
We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...
Persistent link: https://www.econbiz.de/10005263928
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Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10005263948
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Comparing Projections and Outcomes of IMF-Supported Programs
Phillips, Steven; Musso, Alberto - International Monetary Fund (IMF) - 2001
“Program numbers” from a sample of IMF-supported programs are studied as if they were forecasts, through statistical analyses of the relationship between projections and outcomes for growth, inflation, and three balance of payments concepts. Statistical bias is found only for projections of...
Persistent link: https://www.econbiz.de/10005263972