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Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries; A "Fan-Chart" Approach

Celasun, Oya; Debrun, Xavier; Ostry, Jonathan David - International Monetary Fund (IMF) - 2006

This paper proposes a probabilistic approach to public debt sustainability analysis (DSA) using "fan charts." These depict the magnitude of risks-upside and downside-surrounding public debt projections as a result of uncertain economic conditions and policies. We propose a simulation algorithm...

Persistent link: https://www.econbiz.de/10005826339

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

Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications

Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...

Persistent link: https://www.econbiz.de/10005826571

Recent Dynamics of Crude Oil Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2006

Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...

Persistent link: https://www.econbiz.de/10005826574

Ghostbusting; Which Output Gap Measure Really Matters?

Billmeier, Andreas - International Monetary Fund (IMF) - 2004

This paper investigates various output gap measures in a simple inflation forecasting framework. Reflecting the … pressures, including a gap could improve the accuracy of autoregressive inflation forecasting. This assertion is tested in a … simple simulated out-of-sample forecasting exercise for the period 1990-2002. The main conclusions are that an output gap …

Persistent link: https://www.econbiz.de/10005826587

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Jobert, Arnaud; Kong, Janet; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2004

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and balance-sheet data for 38 banks in 14 emerging market countries. Results show it...

Persistent link: https://www.econbiz.de/10005826670

Effect of IMF Structural Adjustment Programson Expectations; The Case of Transition Economies

Imam, Patrick A. - International Monetary Fund (IMF) - 2007

We analyze the effect of IMF programs on economic agents' expectations about the economy in transitional countries using survey data from the Central and Eastern Eurobarometer poll, an annual general public survey monitoring the evolution of public opinion from 1990 to 1997. Previous studies, in...

Persistent link: https://www.econbiz.de/10005768769

Sovereign Debt Defaults and Financing Needs

Messmacher, Miguel; Kruger, Mark - International Monetary Fund (IMF) - 2004

used in previous studies. In addition, the level at which it leads to a high probability of default is comparable across …

Persistent link: https://www.econbiz.de/10005768797

Autocorrelation-Corrected Standard Errors in Panel Probits; An Application to Currency Crisis Prediction

Berg, Andrew; Coke, Rebecca N. - International Monetary Fund (IMF) - 2004

Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magnitude of the problem, proposes and tests a solution, and applies it to previously...

Persistent link: https://www.econbiz.de/10005768958

Assessing Early Warning Systems; How Have they Worked in Practice?

Berg, Andrew; Borensztein, Eduardo; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2004

Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non-model-based forecasts, such as agency ratings and private...

Persistent link: https://www.econbiz.de/10005768990