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Spillover Dynamics for Systemic Risk Measurement using Spatial Financial Time Series Models

Blasques, Francisco; Koopman, Siem Jan; Lucas, Andre; … - Tinbergen Instituut - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10011257308

Estimation robuste en contamination asymétrique et application aux processus autorégressifs

Barthoulot, Joseph - 1983

Persistent link: https://www.econbiz.de/10004048330

Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System

Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …

Persistent link: https://www.econbiz.de/10005825693

Comparative Macroeconomic Dynamics in the Arab World; A Panel Var Approach

Kireyev, Alexei - International Monetary Fund (IMF) - 2000

autogression estimation. Comparing growth performance, fiscal and current account developments in these countries, the study …

Persistent link: https://www.econbiz.de/10005825740

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - International Monetary Fund (IMF) - 2003

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

Persistent link: https://www.econbiz.de/10005826355

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

What Happened to Asian Exports During the Crisis?

Spilimbergo, Antonio; Duttagupta, Rupa - International Monetary Fund (IMF) - 2000

After the large exchange rate depreciations following the 1997 East Asian crisis, export volumes from East Asian countries responded with a notable lag. Two main explanations for this lag have been proposed: that the policy of high interest rates limited access to domestic credit and hence...

Persistent link: https://www.econbiz.de/10005599452

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

In Search of Coincident and Leading Indicators of Economic Activity in Argentina

Simone, Alejandro - International Monetary Fund (IMF) - 2001

Time series on economic activity in developing countries, in particular real GDP, are reported with important lags. Therefore, it is useful to construct indicators that coincide or lead the actual direction and level of economic activity. A general methodology to construct these indicators is...

Persistent link: https://www.econbiz.de/10005604906

International Currencies and Endogenous Enforcement; An Empirical Analysis

Prem, Roohi - International Monetary Fund (IMF) - 1997

This paper investigates the determinants of the international role of a currency. It argues that standard determinants such as monetary performance and financial openness are at best imperfect indicators of a currency’s stability prospects, because the issuer’s promise of stability is not...

Persistent link: https://www.econbiz.de/10005248276

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