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Empirical Modeling of Contagion; A Review of Methodologies

Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...

Persistent link: https://www.econbiz.de/10005825971

The insurance premium in the interest rates of interlinked loans in a small-scale fishery

Riekhof, Marie-Catherine - In: Environment and development economics 24 (2019) 1, pp. 87-112

Persistent link: https://www.econbiz.de/10012113943

Mortgage Defaults

Martinez, Leonardo; Hatchondo, Juan Carlos; Sanchez, Juan M. - International Monetary Fund (IMF) - 2012

This paper incorporates house price risk and mortgages into a standard incomplete market (SIM) model. The model is calibrated to match U.S. data and accounts for non-targeted features of the data such as the distribution of down payments, the life-cycle profile of home ownership, and the...

Persistent link: https://www.econbiz.de/10009650640

The Dynamic Implications of Debt Relief for Low-Income Countries

Bulir, Ales; Romero-Barrutieta, Alma; … - International Monetary Fund (IMF) - 2011

The effects of debt relief on incentives to accumulate debt, consume, and invest are an important concern for donors and recipients. Using a dynamic stochastic general equilibrium model of a small open economy with a minimum consumption requirement and an endogenous relief probability, we show...

Persistent link: https://www.econbiz.de/10009203529

Sovereign Default, Private Sector Creditors and the IFIs

Boz, Emine - International Monetary Fund (IMF) - 2009

This paper builds a model of a sovereign borrower that has access to credit from private sector creditors and an IFI. Private sector creditors and the IFI offer different debt contracts that are modelled based on the institutional frameworks of these two types of debt. We analyze the decisions...

Persistent link: https://www.econbiz.de/10005825629

Public Financial Management and Fiscal Outcomes in Sub-Saharan African Heavily-Indebted Poor Countries

Cabezon, Ezequiel; Prakash, Tej - International Monetary Fund (IMF) - 2008

This paper examines, in a formal econometric framework, the linkages between public financial management and fiscal outcomes in sub-Saharan African countries. Similar analyses have been done for Latin America, Europe, and the United States, but none in the context of low-income countries. Using...

Persistent link: https://www.econbiz.de/10005826431

Are House Prices Rising too Fast in China?

International Monetary Fund (IMF); International … - 2010

Sharp increase in house prices combined with the extraordinary Chinese lending growth during 2009 has led to concerns of an emerging real estate bubble. We find that, for China as a whole, the current levels of house prices do not seem significantly higher than would be justified by underlying...

Persistent link: https://www.econbiz.de/10008777035

Local Housing Market Cycle and Loss Given Default; Evidence From Sub-Prime Residential Mortgages

Zhang, Yanan; Ji, Lu; Liu, Fei - International Monetary Fund (IMF) - 2010

This paper studies the impact of housing market cycles on loss given default (LGD). Previous studies have shown that the current loan-to-value ratio (CLTV) is the most important determinant of LGD. This paper establishes another linkage which is between the house price cycles before the time of...

Persistent link: https://www.econbiz.de/10008560443

Spending responses to state sales tax holidays

Agarwal, Sumit; McGranahan, Leslie - 2012

Every year over 20 states offer sales tax holidays (STHs) on specific items like clothes, shoes and other items to encourage consumption, effecting over 100 million consumers. We use a unique dataset of credit cards transaction to study the spending response to these holidays. Using a...

Persistent link: https://www.econbiz.de/10010292191

Credit Rationing Effects of Credit Value-at-Risk

Slijkerman, Jan Frederik; Smant, David J.C.; de Vries, … - 2004

Banks provide risky loans to firms which have superior information regarding the quality of their projects. Due to … asymmetric information the banks face the risk of adverse selection. Credit Value-at-Risk (CVaR) regulation counters the problem … of low quality, i.e. high risk, loans and therefore reduces the risk of the bank loan portfolio. However, CVaR regulation …

Persistent link: https://www.econbiz.de/10010325499

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