Search Results - subject:"diagonal matrix"

On the conditions that preclude the existence of the lerner paradox and the Metzler paradox

Endoh, Masahiro; Hamada, Koichi - 2006

The Lerner paradox is the possibility that a tariff on an import good might worsen a country's terms of trade, and the Metzler paradox is the possibility that a tariff on an import good might reduce a country's import price. In a general equilibrium framework with multiple goods, this paper...

Persistent link: https://www.econbiz.de/10010264862

Wealth Effects in Europe; A Tale of Two Countries (Italy and the United Kingdom)

Muñoz, Sònia - International Monetary Fund (IMF) - 2006

This paper investigates the increasing exposure of European households to risky financial assets and the consequent impact on the economy. I analyze household data for Italy and the United Kingdom, countries that differ dramatically in their financial structure and capital markets. I estimate an...

Persistent link: https://www.econbiz.de/10005599313

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

Persistent link: https://www.econbiz.de/10005825661

On the Conditions that Preclude the Existence of the Lerner Paradox and the Metzler Paradox

Endoh, Masahiro; Hamada, Koichi - Economic Growth Center, Economics Department - 2006

, dominant diagonal matrix. JEL Codes: C20, F02, F11 I. Introduction The Lerner paradox and the Metzler paradox have appealed to … dominant diagonal matrix which, to the best of our knowledge, is unseen in textbooks or in their exercises. For the world as a …, dominant diagonal matrix in terms of the column has the non surpassed diagonal that the the diagonal element is always equal or …

Persistent link: https://www.econbiz.de/10005357779

Real Exchange Rate Misalignment; A Panel Co-Integration and Common Factor Analysis

Yehoue, Etienne B.; Dufrénot, Gilles J. - International Monetary Fund (IMF) - 2005

We combine some newly developed panel co-integration techniques and common factor analysis to analyze the behavior of the real exchange rate (RER) in a sample of 64 developing countries. We study the dynamic of the RER with its economic fundamentals: productivity, the terms of trade, openness,...

Persistent link: https://www.econbiz.de/10005604940

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10005605330

Fatal Attraction; A New Measure of Contagion

Bayoumi, Tamim; Kumar, Manmohan S.; Fazio, Giorgio; … - International Monetary Fund (IMF) - 2003

This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure contagion, but in a departure from previous practice it measures contagion using the relationship of...

Persistent link: https://www.econbiz.de/10005599694

Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System

Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...

Persistent link: https://www.econbiz.de/10005825693

A Theory of Health Investment under Competing Mortality Risks

Chang, Fwu-Ranq - 2002

In this paper we present a theory of health investment when there are multiple causes of death. Since there are several risks "competing" for one's life, the health investments in avoiding different causes of death are not independent in general. We analyze the optimal investment rules and the...

Persistent link: https://www.econbiz.de/10010315404

A Theory of Health Investment under Competing Mortality Risks

Chang, Fwu-Ranq - CESifo - 2002

In this paper we present a theory of health investment when there are multiple causes of death. Since there are several risks “competing“ for one's life, the health investments in avoiding different causes of death are not independent in general. We analyze the optimal investment rules and...

Persistent link: https://www.econbiz.de/10005406182