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Do Commodity Futures Help Forecast Spot Prices?
Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011
We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures...
Persistent link: https://www.econbiz.de/10009369445
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Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
Souto, Marcos; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2007
Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is possible to increase the probability mass toward the tails and to match reasonably...
Persistent link: https://www.econbiz.de/10005825598
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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
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Time-Varying Thresholds; An Application to Purchasing Power Parity
Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003
This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...
Persistent link: https://www.econbiz.de/10005604859
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The Electricity Sector in FYR Macedonia
Tieman, Alexander F. - International Monetary Fund (IMF) - 2011
This paper describes the current state of the Macedonian electricity sector. It looks at ongoing structural changes, driven by the gradual adoption of the EU acquis on energy, and comes up with estimates for electricity subsidies. It concludes by discussing the longer term outlook and sketching...
Persistent link: https://www.econbiz.de/10008839339
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Barriers to Retail Competition and Prices : Evidence from Spain
Hoffmaister, Alexander W - 2006
Intro -- Contents -- I. INTRODUCTION -- II. REGIONAL BARRIERS TO RETAIL COMPETITION IN SPAIN -- III. A COURNOT …
Persistent link: https://www.econbiz.de/10012691022
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Sub-National Credit Risk and Sovereign Bailouts: Who Pays the Premium?
Jenkner, E.; Lu, Zhongjin - International Monetary Fund (IMF) - 2014
from the latter to the former–on the day a sovereign bailout is announced. Using daily financial market data for Spain and …
Persistent link: https://www.econbiz.de/10011149303
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A Global Projection Model for Euro Area Large Economies
Jakab, Zoltan; Lukyantsau, Pavel; Wang, Shengzu - International Monetary Fund (IMF) - 2015
The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. This paper creates a special version of GPM that includes the four largest Euro Area (EA) countries. The EA countries are more vulnerable to domestic and external demand shocks because...
Persistent link: https://www.econbiz.de/10011242224
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The Evolution of Current Account Deficits in the Euro Area Periphery and the Baltics; Many Paths to the Same Endpoint
Kang, Joong Shik; Shambaugh, Jay C. - International Monetary Fund (IMF) - 2013
Explanations of the large current account deficits for the euro area periphery and the Baltics in the run up to the crisis revolve around two main factors: deteriorating export performance or demand driven booms. We add that there were important movements in transfers and net income balances....
Persistent link: https://www.econbiz.de/10011242364
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Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece
González-Hermosillo, Brenda; Johnson, Christian A - International Monetary Fund (IMF) - 2014
Germany, Greece, Ireland, Italy, Spain and Portugal. The stability of Germany is a close proxy for the resilience of the euro … during 2009–12 were due to idiosyncratic factors, market developments in Italy and Spain contributed significantly, likely …€™s sovereign CDS despite initial widespread concerns about such linkages. Spain and Italy show a notable co-dependence in …
Persistent link: https://www.econbiz.de/10011142190