Similar Search Results

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

Of Openess and Distance; Trade Developments in the Commonwealth of Independent States, 1993-2002

Elborgh-Woytek, Katrin - International Monetary Fund (IMF) - 2003

This paper analyzes developments in the structure of trade in the Commonwealth of Independent States (CIS) during the transition decade, and finds that it changed less than in other transition economies. Trade openness of the CIS increased between 1993 and 1997, but has fallen to a lower-level...

Persistent link: https://www.econbiz.de/10005604992

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

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

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

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

Common and Idiosyncratic Components in Real Output; Further International Evidence

Simone, Francisco Nadal-De - International Monetary Fund (IMF) - 2002

This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, the rest of the euro area, and the United States. An index of concordance and its...

Persistent link: https://www.econbiz.de/10005263734

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

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

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

1
2
3
4
5
6
7
8
9
10
Next
Last