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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 …-lived terms of trade shocks are typically those that have large shares of petroleum imports in total imports, small shares of …
Persistent link: https://www.econbiz.de/10005826235
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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
integration, the implied trade-off between isolation from shocks and efficient signaling must be addressed based on the risk of …
Persistent link: https://www.econbiz.de/10005248136
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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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Market Volatility As a Financial Soundness Indicator; An Application to Israel
Morales, Armando Méndez; Schumacher, Liliana - International Monetary Fund (IMF) - 2003
Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility indicator to analyze the Israeli's transition toward...
Persistent link: https://www.econbiz.de/10005264007
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Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
Gray, Dale F.; Walsh, James P - International Monetary Fund (IMF) - 2008
This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly...
Persistent link: https://www.econbiz.de/10005264053
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Why is Micro Evidenceon the Effects of Uncertainty Not Replicated in Macro Data?
Lombardi, Domenico; Bond, Stephen - International Monetary Fund (IMF) - 2005
This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear...
Persistent link: https://www.econbiz.de/10005264173
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An Assessment of Estimates of Term Structure Models for the United States
Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then...
Persistent link: https://www.econbiz.de/10009369442
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A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager
Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006
, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the …
Persistent link: https://www.econbiz.de/10005825661
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Crude Oil Prices; Trends and Forecast
Krichene, Noureddine - International Monetary Fund (IMF) - 2008
restraining monetary policy, is essential for durable growth and price stability. …
Persistent link: https://www.econbiz.de/10005825666