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Parity Reversion in Real Exchange Rates; Fast, Slow or Not At All?

McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2004

Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks, this...

Persistent link: https://www.econbiz.de/10005604970

Systemic Risk and Asymmetric Responses in the Financial Industry

López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and … value is sevenfold that of an increase. Moreover, the downward bias in systemic risk from ignoring this asymmetric pattern … asymmetric model also produces much better estimates and fitting, and thus improves the capacity to monitor systemic risk. Our …

Persistent link: https://www.econbiz.de/10011142002

Why House Price Indexes Differ; Measurement and Analysis

Silver, Mick - International Monetary Fund (IMF) - 2012

A key element in the build-up to the global recession and subsequently was the movement in house price indexes (HPIs). These indexes are particularly prone to methodological and coverage differences which can undermine both within-country and cross-country economic analysis. The paper outlines...

Persistent link: https://www.econbiz.de/10011242366

Global Poverty Estimates; A Sensitivity Analysis

Minoiu, Camelia; Dhongde, Shatakshee - International Monetary Fund (IMF) - 2011

Current estimates of global poverty vary substantially across studies. In this paper we undertake a novel sensitivity analysis to highlight the importance of methodological choices in estimating global poverty. We measure global poverty using different data sources, parametric and nonparametric...

Persistent link: https://www.econbiz.de/10009369432

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

Russian Federation; Report on the Observance of Standards and Codesâ€”Data Module, Response by the Authorities, and Detailed Assessment Using Data Quality Assessment Framework

International Monetary Fund (IMF); International … - 2004

This report on the Russian Federationâ€™s Observance of Standards and Codes highlights the Data Module and response by the authorities. Russiaâ€™s statistical system has made good progress in adopting international statistical methodologies in response to the need to capture in the...

Persistent link: https://www.econbiz.de/10005591175

Mexico; Report on the Observance of Standards and Codesâ€”Data Module; Response by the Authorities; and Detailed Assessments Using Data Quality Assessment Framework

International Monetary Fund (IMF); International … - 2003

This data module of the Report on Observance of Standards and Codes (ROSC) for Mexico contains a brief assessment of dissemination practices relative to the Special Data Dissemination Standards (SDDS) of the IMF. The findings reveal that dissemination of data subject to the SDDS is in observance...

Persistent link: https://www.econbiz.de/10005591240

Russian Federation; Selected Issues

International Monetary Fund (IMF); International … - 2005

This Selected Issues paper analyzes the entrenched inflation in Russia. It presents a possible explanation for the entrenched inflation stating that the Russian economy is facing increasing supply-side constraints in goods and labor markets. The paper focuses on measuring the performance of...

Persistent link: https://www.econbiz.de/10005591269

Peru; Report on the Observance of Standards and Codes-Data Module, Response by the Authorities, and Detailed Assessments Using Data Quality Assessment Framework

International Monetary Fund (IMF); International … - 2003

The coverage, periodicity, and timeliness for macroeconomic data in Peru are summarized and compared with Special Data Dissemination Standard (SDDS) specifications. The human, financial, and computing resources allocated to the existing program of statistics at the Central Reserve Bank of Peru...

Persistent link: https://www.econbiz.de/10005591310

Iceland; Report on the Observance of Standards and Codes: Data Module, Response by the Authorities, and Detailed Assessments Using the Data Quality Assessment Framework

International Monetary Fund (IMF); International … - 2005

This Report on the Observance of Standards and Codes on Data Module for Iceland highlights Data Module, response by the authorities, and detailed assessments using the data quality assessment framework. Icelandâ€™s macroeconomic statistics are generally of high quality and are adequate to...

Persistent link: https://www.econbiz.de/10005591382