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An Evaluation of the World Economic Outlook Forecasts
Timmermann, Allan - International Monetary Fund (IMF) - 2006
raises a number of concerns with current forecasting performance. …
Persistent link: https://www.econbiz.de/10005769333
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International Transmission of Bank and Corporate Distress
Papa M'B. P. N'Diaye; Gray, Dale F.; Tamirisa, Natalia T.; … - International Monetary Fund (IMF) - 2010
The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...
Persistent link: https://www.econbiz.de/10008542980
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Theorem of existence of ruptures in probability scale. Discrete case
Harin, Alexander - Volkswirtschaftliche Fakultät, … - 2010
The theorem of existence of the ruptures in the probability scale has been proved for a discrete case. The theorem can … be used, e.g., in economics and forecasting. It can assist to solve paradoxes such as Allais paradox and the “four …-fold-pattern” paradox and to create the correcting formula of forecasting. …
Persistent link: https://www.econbiz.de/10008526960
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Incorporating Market Information Into the Construction of the Fan Chart
Kannan, Prakash; Elekdag, Selim - International Monetary Fund (IMF) - 2009
This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the paper goes through the theoretical and practical considerations of this new...
Persistent link: https://www.econbiz.de/10008528615
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Broad Money Demand and Asset Substitution in China
Wu, Ge - International Monetary Fund (IMF) - 2009
Recent changes to China's financial system, in particular ongoing interest rate liberalization, gradual movement toward a more flexible exchange rate regime, and rapid development of capital markets, have changed substantially the environment in which monetary policy operates. In light of these...
Persistent link: https://www.econbiz.de/10008528622
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Recent Advances in Credit Risk Modeling
Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009
As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...
Persistent link: https://www.econbiz.de/10008528651
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Limited Information Bayesian Model Averaging for Dynamic Panels with Short Time Periods
Mirestean, Alin; Tsangarides, Charalambos G.; Chen, Huigang - International Monetary Fund (IMF) - 2009
Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information...
Persistent link: https://www.econbiz.de/10004999975
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Raftery curve construction for tender price forecasts
Skitmore, Martin - In: Construction Management and Economics 20 (2002) 1, pp. 83-89
presented in the form of cumulative probability functions (termed here 'Raftery curves') rather than the current practice of …
Persistent link: https://www.econbiz.de/10005445763
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Liberalized Markets Have More Stable Exchange Rates; Short-Run Evidence From Four Transition Countries
Bulir, Ales - International Monetary Fund (IMF) - 2004
The paper looks at the hypothesis that financial market liberalization can create a basis for more stable exchange rates, as deviations of exchange rates from equilibrium levels bring forth stabilizing flows of liquidity. This "endogenous liquidity" hypothesis suggests that opening financial...
Persistent link: https://www.econbiz.de/10005599329
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Foreign Entanglements; Estimating the Source and Size of Spillovers Across Industrial Countries
Bayoumi, Tamim; Swiston, Andrew - International Monetary Fund (IMF) - 2007
VARs of real growth since 1970 are used to estimate spillovers between the U.S., euro area, Japan, and an aggregate of small industrial countries, which proxies for global shocks. U.S. and global shocks generate significant spillovers, while those from the euro area and Japan are small. This...
Persistent link: https://www.econbiz.de/10005599380