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Probability and Structure in Econometric Models

Hoover, Kevin D - Duke University, Department of Economics - 2010

The difficulty of conducting relevant experiments has long been regarded as the central challenge to learning about the economy from data. The standard solution, going back to Haavelmo's famous "The Probability Approach in Econometrics" (1944), involved two elements: first, it placed substantial...

Persistent link: https://www.econbiz.de/10008549056

Разрывы в шкале вероятностей. Расчет величин разрывов

Harin, Alexander - Volkswirtschaftliche Fakultät, … - 2009

The article raises the question of possible existence of gaps, ruptures in the probability scale and of possible values of these ruptures. The calculations give 1/3 of the standard deviation as the minimal value of these ruptures for a number of standard distributions.

Persistent link: https://www.econbiz.de/10005033500

Systemic Risk and Asymmetric Responses in the Financial Industry

López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

Persistent link: https://www.econbiz.de/10011142002

Banks' Liability Structure and Mortgage Lending During the Financial Crisis

Dagher, Jihad; Kazimov, Kazim - International Monetary Fund (IMF) - 2012

We examine the impact of banksâ€™ exposure to market liquidity shocks through wholesale funding on their supply of credit during the financial crisis in the United States. We focus on mortgage lending to minimize the impact of confounding demand factors that could potentially be large when...

Persistent link: https://www.econbiz.de/10011142090

Country Stress Events; Does Governance Matter?

Kochanova, Anna; Caceres, Carlos - International Monetary Fund (IMF) - 2012

This paper analyzes the linkages between governance quality and country stress events. It focuses on two types of events: fiscal and political stress events, for which two innovative stress indicators are introduced. The results suggest that weaker governance quality is associated with a higher...

Persistent link: https://www.econbiz.de/10011242318

Predicting Recessions; A New Approach for Identifying Leading Indicators and Forecast Combinations

Kisinbay, Turgut; Baba, Chikako - International Monetary Fund (IMF) - 2011

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data...

Persistent link: https://www.econbiz.de/10009369447

Schumacher, Liliana; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2011

1987-2006 volatilities and correlations, we find only a small risk of U.S. bank failures focused on thinly capitalized and …

Persistent link: https://www.econbiz.de/10009370540

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term … structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms … for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening …

Persistent link: https://www.econbiz.de/10008727797

Deconstructing the International Business Cycle; Why Does a U.S. Sneeze Give the Rest of the World a Cold?

International Monetary Fund (IMF); International … - 2010

The 2008 crisis underscored the interconnectedness of the international business cycle, with U.S. shocks leading to the largest global slowdown since the 1930s. We estimate spillover effects across major advanced country regions in a structural VAR (SVAR) using pre-crisis data. Our new method...

Persistent link: https://www.econbiz.de/10008727802

The Missing Link Between Financial Constraints and Productivity

Badia, Marialuz Moreno; Slootmaekers, Veerle - International Monetary Fund (IMF) - 2009

The global financial crisis has reopened the debate on the potential spillover effects from the financial sector to the real economy. This paper adds to that debate by providing new evidence on the link between finance and firm-level productivity, focusing on the case of Estonia. We contribute...

Persistent link: https://www.econbiz.de/10004999959