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Terms of Trade Shocks in Africa; Are they Short-Lived or Long-Lived?
Cashin, Paul; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2000
This paper examines the persistence of shocks to the terms of trade, using annual data on 42 Sub-Saharan African countries between 1960-96. We find that the persistence of terms of trade shocks varies widely—for about half the countries such shocks are short-lived, while for one-third of the...
Persistent link: https://www.econbiz.de/10005826235
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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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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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Much Ado About Nothing? Estimating the Impact of a U.S. Slowdownon Thai Growth
Aiyar, Shekhar; Tchakarov, Ivan - International Monetary Fund (IMF) - 2008
External demand was the main driver of growth in Thailand in 2006 and 2007. However, WEO projections indicate moderating foreign demand in 2008, with U.S. growth being revised downwards to reflect the turmoil in housing and credit markets, and high oil prices. While the share of Thai exports to...
Persistent link: https://www.econbiz.de/10005248323
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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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Empirical Exchange Rate Models of the Nineties; Are Any Fit to Survive?
Cheung, Yin-Wong; Pascual, Antonio Garcia; Chinn, … - International Monetary Fund (IMF) - 2004
We reassess exchange rate prediction using a wider set of models that have been proposed in the last decade. The performance of these models is compared against two reference specifications-purchasing power parity and the sticky-price monetary model. The models are estimated in first-difference...
Persistent link: https://www.econbiz.de/10005263978
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The Impact of Public Capital, Human Capital, and Knowledgeon Aggregate Output
Joutz, Frederick L.; Abdih, Yasser - International Monetary Fund (IMF) - 2008
This paper investigates the impact of public capital on private sector output by testing and estimating an aggregate production function for the U.S. economy over the postwar period augmented to include the stock of public capital as an additional factor input. We use patent applications to...
Persistent link: https://www.econbiz.de/10005263996