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Masson, Paul R. - International Monetary Fund (IMF) - 2000

The “hollowing-out,” or “two poles” hypothesis is tested in the context of a Markov chain model of exchange rate transitions. In particular, two versions of the hypothesis—that hard pegs are an absorbing state, or that fixes and floats form a closed set, with no transitions to...

Persistent link: https://www.econbiz.de/10005825618

Estimating Markov Transition Matrices Using Proportions Data; An Application to Credit Risk

Jones, Matthew T. - International Monetary Fund (IMF) - 2005

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications where there is a paucity of data on changes in credit quality, especially at an...

Persistent link: https://www.econbiz.de/10005825797

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - International Monetary Fund (IMF) - 2003

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

Persistent link: https://www.econbiz.de/10005826355

How Well Do Aggregate Bank Ratios Identify Banking Problems?

Cihák, Martin; Schaeck, Klaus - International Monetary Fund (IMF) - 2007

The paper provides an empirical analysis of aggregate banking system ratios during systemic banking crises. Drawing upon a wide cross-country dataset, we utilize parametric and nonparametric tests to assess the power of these ratios to discriminate between sound and unsound banking systems. We...

Persistent link: https://www.econbiz.de/10005768721

Investigating Inflation Dynamics in Sudan

Moriyama, Kenji - International Monetary Fund (IMF) - 2008

This paper investigates inflation dynamics in Sudan using three different approaches: the single equation model, the structural vector-auto regression model and a vector error correction model. This is the first study in a low-income and a post-conflict country that uses these three separate...

Persistent link: https://www.econbiz.de/10005768738

From the Debt Crisis toward Economic Stability; An Analysis of the Consistency of Macroeconomic Policies in Mexico

Rojas-Suárez, Liliana - International Monetary Fund (IMF) - 1992

This paper uses a simple framework based on the government budget constraint to analyze the consistency of macroeconomic policies undertaken in Mexico during the period 1978 to mid-1991. It was found that the interaction between the actual implementation of economic policies and economic...

Persistent link: https://www.econbiz.de/10005768753

A Gravity Model of Workers' Remittances

Lueth, Erik; Ruiz-Arranz, Marta - International Monetary Fund (IMF) - 2006

This paper creates the first dataset of bilateral remittance flows for a limited set of developing countries and estimates a gravity model for workers' remittances. We find that most of the variation in bilateral remittance flows can be explained by a few gravity variables. The evidence on the...

Persistent link: https://www.econbiz.de/10005768761

International Financial Integration

Lane, Philip R.; Milesi-Ferretti, Gian-Maria - International Monetary Fund (IMF) - 2003

In recent decades, the foreign assets and liabilities of advanced economies have grown rapidly relative to GDP, with the increase in gross cross-holdings far exceeding changes in the size of net positions. Moreover, the portfolio equity and FDI categories have grown in importance relative to...

Persistent link: https://www.econbiz.de/10005768766

Effect of IMF Structural Adjustment Programson Expectations; The Case of Transition Economies

Imam, Patrick A. - International Monetary Fund (IMF) - 2007

We analyze the effect of IMF programs on economic agents' expectations about the economy in transitional countries using survey data from the Central and Eastern Eurobarometer poll, an annual general public survey monitoring the evolution of public opinion from 1990 to 1997. Previous studies, in...

Persistent link: https://www.econbiz.de/10005768769

Monetary Policy Rules for Managing Aid Surges in Africa

Buffie, Edward F.; O'Connell, Stephen A.; Pattillo, … - International Monetary Fund (IMF) - 2007

Since the turn of the century, aid flows to Africa have increased on average and become more volatile. As a result, policymakers, particularly in post-stabilization countries where inflation has only recently been brought under control, have been increasingly preoccupied with how best to deploy...

Persistent link: https://www.econbiz.de/10005768771