This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines howkey European sovereign credit default swap (CDS) spreads affect each other; specifically, the paperanalyses the volatility structure of Germany, Greece, Ireland, Italy, Spain and Portugal....

This study examines the degree of exchange rate pass through (EPRT) into producer and consumer prices in Maldives. ERPT to consumer prices is first estimated using a nonparametric approach. A recursive vector autoregression is then used to model both consumer and producer price changes. The...

We apply the fundamentals equilibrium exchange rate (FEER) approach and the Johansen cointegration methodology to investigate the behavior of the real effective exchange rates of the two monetary unions of the CFA franc zone (CEMAC and WAEMU) vis-agrave;-vis their long-run equilibrium paths. For...

This paper reviews the evolution of China`s real effective exchange rate between 1980 and 2002, and uses a structural vector autoregression model to study the relative importance of different types of macroeconomic shocks for fluctuations in the real exchange rate. The structural decomposition...

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 hypothesis suggests that opening financial markets militates in favor...

This paper investigates the performance of the IMF WEO growth forecast revisions across different horizons and country groups. We find that: (i) growth revisions in horizons closer to the actual are generally larger, more volatile, and more negative; (ii) on average, growth revisions are in the...

The COVID-19 pandemic underscores the critical need for detailed, timely information on its evolving economic impacts, particularly for Sub-Saharan Africa (SSA) where data availability and lack of generalizable nowcasting methodologies limit efforts for coordinated policy responses. This paper...

Belarus experienced a sequence of currency crises during 2009-2014. Our empirical results, based on a structural econometric model, suggest that the activist wage policy and extensive state program lending (SPL) conflicted with the tightly managed exchange rate regime and suppressed monetary...

The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates....

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to...