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Banking Stability Measures
Goodhart, C. A. E.; Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2009
This paper defines a set of banking stability measures which take account of distress dependence among the banks in a system, thereby providing a set of tools to analyze stability from complementary perspectives by allowing the measurement of (i) common distress of the banks in a system, (ii)...
Persistent link: https://www.econbiz.de/10005826223
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Portfolio Credit Risk and Macroeconomic Shocks; Applications to Stress Testing Under Data-Restricted Environments
Basurto, Miguel A. Segoviano - International Monetary Fund (IMF) - 2006
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...
Persistent link: https://www.econbiz.de/10005263920
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Macroprudential Policies for a Resource Rich Economy The Case of Mongolia
Maino, Rodolfo; Imam, Patrick A.; Ojima, Yasuhisa - International Monetary Fund (IMF) - 2013
This paper explores the extent to which macroprudential tools can be used to manage banking sector risks in Mongolia, a commodity producing country exposed to both procyclical and cross-sectional financial sector risks. Loose fiscal policy, rising credit activity, and heightened risk...
Persistent link: https://www.econbiz.de/10011123884
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The Flexible System of Global Models – FSGM
Andrle, Michal; Blagrave, Patrick; Espaillat, Pedro; … - International Monetary Fund (IMF) - 2015
The Flexible System of Global Models (FSGM) is a group of models developed by the Economic Modeling Division of the IMF for policy analysis. A typical module of FSGM is a multi-region, forward-looking semi-structural global model consisting of 24 regions. Using the three core modules focused on...
Persistent link: https://www.econbiz.de/10011242191
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Post-Laspeyres; The Case for a New Formula for Compiling Consumer Price Indexes
Armknecht, Paul A.; Silver, Mick - International Monetary Fund (IMF) - 2012
Consumer price indexes (CPIs) are compiled at the higher (weighted) level using Laspeyres-type arithmetic averages. This paper questions the suitability of such formulas and considers two counterpart alternatives that use geometric averaging, the Geometric Young and the (price-updated) Geometric...
Persistent link: https://www.econbiz.de/10011242235
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The Cyclicality of Sales, Regular and Effective Prices; Business Cycle and Policy Implications
Coibion, Olivier; Gorodnichenko, Yuriy; Hong, Gee Hee - International Monetary Fund (IMF) - 2012
We study the cyclical properties of sales, regular price changes and average prices paid by consumers ("effective …" prices) in a dataset containing prices and quantities sold for numerous retailers across a variety of U.S. metropolitan areas … prices paid by consumers declines significantly with higher unemployment. This discrepancy can be reconciled by consumers …
Persistent link: https://www.econbiz.de/10011242242
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Systemic Risk from Global Financial Derivatives; A Network Analysis of Contagion and Its Mitigation with Super-Spreader Tax
Markose, Sheri M. - International Monetary Fund (IMF) - 2012
Financial network analysis is used to provide firm level bottom-up holistic visualizations of interconnections of financial obligations in global OTC derivatives markets. This helps to identify Systemically Important Financial Intermediaries (SIFIs), analyse the nature of contagion propagation,...
Persistent link: https://www.econbiz.de/10011242265
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Estimating the Implicit Inflation Target of the South African Reserve Bank
Klein, Nir - International Monetary Fund (IMF) - 2012
This paper applies a state-space approach to estimate the implicit inflation target of the South African Reserve Bank (SARB) since the adoption of the Inflation Targeting (IT) framework. The paper's findings are two. First, although the official inflation target range is 3.6 percent, in...
Persistent link: https://www.econbiz.de/10010790261
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Innocent Bystanders? Monetary Policy and Inequality in the U.S.
Silvia, John; Kueng, Lorenz; Coibion, Olivier; … - International Monetary Fund (IMF) - 2012
We study the effects and historical contribution of monetary policy shocks to consumption and income inequality in the United States since 1980. Contractionary monetary policy actions systematically increase inequality in labor earnings, total income, consumption and total expenditures....
Persistent link: https://www.econbiz.de/10010790323
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Exchange Rate Pass-Through in Sub-Saharan African Economies and its Determinants
International Monetary Fund (IMF); International … - 2012
This paper analyzes the exchange rate pass-through to domestic prices and its determinants in sub-Saharan African …
Persistent link: https://www.econbiz.de/10010790331