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A Perspectiveon Predicting Currency Crises
Flood, Robert P.; Yepez, Juan; Marion, Nancy P. - International Monetary Fund (IMF) - 2010
Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment designed to evaluate the measurement techniques. In our study, the methods are given...
Persistent link: https://www.econbiz.de/10008680277
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Imperfect Information and Saving in a Small Open Economy
Roitman, Agustin; Daude, Christian - International Monetary Fund (IMF) - 2011
Emerging markets are more volatile and face different types of shocks, in size and nature, compared to their developed counterparts. Accurate identification of the stochastic properties of shocks is difficult. We show evidence suggesting that uncertainty about the underlying stochastic process...
Persistent link: https://www.econbiz.de/10008876576
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New Indicators for Tracking Growth in Real Time
Matheson, Troy - International Monetary Fund (IMF) - 2011
We develop monthly indicators for tracking growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle. In a recursive out-of-sample forecasting exercise, we find that the indicators...
Persistent link: https://www.econbiz.de/10008876579
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Reviving the Competitive Storage Model; A Holistic Approach to Food Commodity Prices
Funke, Norbert; Wu, Weifeng; Miao, Yanliang - International Monetary Fund (IMF) - 2011
We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating more comprehensive and realistic supply and demand factors: output and demand...
Persistent link: https://www.econbiz.de/10008876584
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Sovereign Credit Ratings and Spreads in Emerging Markets; Does Investment Grade Matter?
International Monetary Fund (IMF); International … - 2011
Sovereign investment grade status is often associated with lower spreads in international markets. Using a panel framework for 35 emerging markets between 1997 and 2010, thispaper finds that investment grade status reduces spreads by 36 percent, above and beyond what is implied by macroeconomic...
Persistent link: https://www.econbiz.de/10008876589
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Fiscal Expectations Under the Stability and Growth Pact; Evidence From Survey Data
International Monetary Fund (IMF); International … - 2011
The paper uses survey data to analyze whether financial market expectations on government budget deficits changed in France, Germany, Italy, and the United Kingdom during the period of the Stability and Growth Pact (SGP). Our findings indicate that accuracy of financial expert deficit forecasts...
Persistent link: https://www.econbiz.de/10008876603
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Fat Tails and their (Un)Happy Endings; Correlation Bias and its Implications for Systemic Risk and Prudential Regulation
International Monetary Fund (IMF); International … - 2011
The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim … holders’ preferred degree of asset correlation in portfolios held by the firm. Using the copula capital structure model, it … is shown that the correlation bias shifts shareholder preferences towards highly correlated assets, making financial …
Persistent link: https://www.econbiz.de/10009019569
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Real-Time Forecasts of Economic Activity for Latin American Economies
Liu, Philip; Romeu, Rafael; Matheson, Troy - International Monetary Fund (IMF) - 2011
Macroeconomic policy decisions in real-time are based the assessment of current and future economic conditions. These assessments are made difficult by the presence of incomplete and noisy data. The problem is more acute for emerging market economies, where most economic data are released...
Persistent link: https://www.econbiz.de/10009019577
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Probabilities of Default and the Market Price of Risk in a Distressed Economy
Basurto, Miguel A. Segoviano; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2011
We propose an original method to estimate the market price of risk under stress, which is needed to correct for risk aversion the CDS-implied probabilities of distress. The method is based, for simplicity, on a one-factor asset pricing model. The market price of risk under stress (the...
Persistent link: https://www.econbiz.de/10009019585
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Fiscal Sustainability and the Fiscal Reaction Function for South Africa
Jooste, Charl; Cuevas, Alfredo; Stuart, Ian C.; Burger, … - International Monetary Fund (IMF) - 2011
How does the South African government react to changes in its debt position? In investigating the question, this paper estimates fiscal reaction functions using various methods (OLS, VAR, TAR, GMM, State-Space modelling and VECM). The paper finds that since 1946 the South African government has...
Persistent link: https://www.econbiz.de/10009019588