Search Results - subject:"Standard errors"

Volatility Spillovers and Contagion From Mature to Emerging Stock Markets

Caporale, Guglielmo Maria; Schulze-Ghattas, Marianne; … - International Monetary Fund (IMF) - 2008

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...

Persistent link: https://www.econbiz.de/10005825961

The Monetary Model Strikes Back; Evidence From the World

Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008

We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in...

Persistent link: https://www.econbiz.de/10005263651

A Small Quarterly Projection Model of the US Economy

Ermolaev, Igor; Juillard, Michel; Carabenciov, Ioan; … - International Monetary Fund (IMF) - 2008

This is the first of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. In this paper, we estimate a small...

Persistent link: https://www.econbiz.de/10005263685

The Impact of Public Capital, Human Capital, and Knowledgeon Aggregate Output

Joutz, Frederick L.; Abdih, Yasser - International Monetary Fund (IMF) - 2008

This paper investigates the impact of public capital on private sector output by testing and estimating an aggregate production function for the U.S. economy over the postwar period augmented to include the stock of public capital as an additional factor input. We use patent applications to...

Persistent link: https://www.econbiz.de/10005263996

Spillovers Across Nafta

Bayoumi, Tamim; Swiston, Andrew - International Monetary Fund (IMF) - 2008

This paper examines linkages across North America by estimating the size of spillovers from the major regions of the world-the United States, euro area, Japan, and the rest of the world-to Canada and Mexico, and decomposing the impact of these spillovers into trade, commodity price, and...

Persistent link: https://www.econbiz.de/10005264075

Real Effects of the Subprime Mortgage Crisis; Is it a Demand or a Finance Shock?

Tong, Hui; Wei, Shang-Jin - International Monetary Fund (IMF) - 2008

We develop a methodology to study how the subprime crisis spills over to the real economy. Does it manifest itself primarily through reducing consumer demand or through tightening liquidity constraint on non-financial firms? Since most non-financial firms have much larger cash holding than...

Persistent link: https://www.econbiz.de/10005264107

Testing for Structural Breaks in Small Samples

Antoshin, Sergei; Berg, Andrew; Souto, Marcos - International Monetary Fund (IMF) - 2008

In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...

Persistent link: https://www.econbiz.de/10005264217

FuelWatch: evidence-based-policy or policy based evidence?

Harding, Don - Volkswirtschaftliche Fakultät, … - 2008

Experience from the United Kingdom and the United States suggests that expert evidence is often reshaped and repackaged by governments so that it supports existing policy rather than informing policy decisions. The Australian government based its decision to introduce FuelWatch on evidence in...

Persistent link: https://www.econbiz.de/10009323463

Statistical Inference for MultidimensionalInequality Indices

Naga, Ramses H. Abul - Suntory and Toyota International Centres for Economics … - 2008

a simple method for computing standard errors and obtain explicit formulas in the context of two families of indices. … present a simple method for computing standard errors and obtain explicit formulas in the context of two families of indices …. Keywords: multidimensional inequality indices, large sample distributions, standard errors. JEL codes: D63;C43 …

Persistent link: https://www.econbiz.de/10008838707

Islamic Republic of Iran; Selected Issues

International Monetary Fund (IMF); International … - 2008

This Selected Issues Paper on Iran reviews that monetary factors are the main determinants of inflation in the country. Government spending out of oil revenues leads to large liquidity injections that the central bank accommodates owing to its efforts to prevent a significant nominal...

Persistent link: https://www.econbiz.de/10011244775