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Empirical Modeling of Contagion; A Review of Methodologies

Dungey, Mardi; Fry, Renee; Martin, Vance; … - International Monetary Fund (IMF) - 2004

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...

Persistent link: https://www.econbiz.de/10005825971

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos; Barnhill, Theodore M. - International Monetary Fund (IMF) - 2007

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories. …

Persistent link: https://www.econbiz.de/10005825598

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

González-Hermosillo, Brenda; Martin, Vance; Dungey, Mardi - International Monetary Fund (IMF) - 2003

global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A …

Persistent link: https://www.econbiz.de/10005768985

Stock Returns and Output Growth in Emerging and Advanced Economies

Mauro, Paolo - International Monetary Fund (IMF) - 2000

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market … economies and advanced economies. It finds that the correlation is as strong in emerging market economies as in advanced …, the paper finds that the strength of the correlation between output growth and lagged stock returns is significantly …

Persistent link: https://www.econbiz.de/10005769095

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Kisinbay, Turgut - International Monetary Fund (IMF) - 2003

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility …

Persistent link: https://www.econbiz.de/10005599661

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

Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention

Bertola, Giuseppe; Bartolini, Leonardo; Prati, Alessandro - International Monetary Fund (IMF) - 2000

We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each “reserve maintenance period,” when the...

Persistent link: https://www.econbiz.de/10005825728

Armenia; An Assessment of the Real Exchange Rate and Competitiveness

Weber, Anke; Yang, Chunfang - International Monetary Fund (IMF) - 2011

This paper uses a range of different methodologies to estimate the equilibrium real exchange rate in Armenia with both single-country and panel estimation techniques. We estimate a country specific autoregressive distributed lag model and then proceed with the estimation of a cointegrated panel...

Persistent link: https://www.econbiz.de/10008839327

The End; A New Indicator of Financial and Nonfinancial Corporate Sector Vulnerability

Chan-Lau, Jorge A.; Gravelle, Toni - International Monetary Fund (IMF) - 2005

This paper describes a corporate sector vulnerability indicator, the expected number of defaults (END), based on the joint occurrence of defaults among a number of firms and/or institutions. The END indicator is general enough to assess systemic risk in the corporate and financial sectors, as...

Persistent link: https://www.econbiz.de/10005264155

Overborrowing, Financial Crises and â€˜Macro-Prudentialâ€™ Policy?

Mendoza, Enrique G.; Bianchi, Javier - International Monetary Fund (IMF) - 2011

This paper studies overborrowing, financial crises and macro-prudential policy in an equilibrium model of business cycles and asset prices with collateral constraints. Agents in a decentralized competitive equilibrium do not internalize the negative effects of asset fire-sales on the value of...

Persistent link: https://www.econbiz.de/10008839333