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High-Dimensional Covariance Matrix Estimation: Shrinkage Toward a Diagonal Target

Ando, Sakai - 2023

This paper proposes a novel shrinkage estimator for high-dimensional covariance matrices by extending the Oracle … Approximating Shrinkage (OAS) of Chen et al. (2009) to target the diagonal elements of the sample covariance matrix. We derive the … closed-form solution of the shrinkage parameter and show by simulation that, when the diagonal elements of the true …

Persistent link: https://www.econbiz.de/10015058887

Operational Risk; The Sting is Still in the Tail But the Poison Dependson the Dose

Jobst, Andreas - International Monetary Fund (IMF) - 2007

estimation. …

Persistent link: https://www.econbiz.de/10005768778

Ghostbusting; Which Output Gap Measure Really Matters?

Billmeier, Andreas - International Monetary Fund (IMF) - 2004

This paper investigates various output gap measures in a simple inflation forecasting framework. Reflecting the cyclical position of an economy, an (unobservable) output gap has important implications for economic analysis. I construct and compare common output gap measures for five European...

Persistent link: https://www.econbiz.de/10005826587

On the Properties of Various Estimators for Fiscal Reaction Functions.

Celasun, Oya - 2006

Intro -- Contents -- I. INTRODUCTION -- II. BIASES OF ORDINARY-LEAST-SQUARES (OLS) AND LEAST-SQUARES-WITH-DUMMY VARIABLES ( LSDV) ESTIMATORS: ANALYTICAL SOLUTIONS -- III. MONTE CARLO EXPERIMENTS -- IV. CONCLUSION -- References.

Persistent link: https://www.econbiz.de/10012691107

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 individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...

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

Global Poverty Estimates; A Sensitivity Analysis

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

different data sources, parametric and nonparametric estimation methods, and multiple poverty lines. Our results indicate that … accounts but are relatively consistent across different estimation methods. The decline in poverty over the past decade is …

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

Export Orientation and Productivity in Sub-Saharan Africa

Pattillo, Catherine A.; Mengistae, Taye - International Monetary Fund (IMF) - 2002

Analysis of firm-level panel data from three sub-Saharan African economies shows that exporting manufacturers have a total factor productivity premium of 11-28 percent. The data do not allow testing of whether these premiums are caused by selection of more efficient producers into exporting or...

Persistent link: https://www.econbiz.de/10005768934

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...

Persistent link: https://www.econbiz.de/10005769039

Transmission of Liquidity Shocks; Evidence From the 2007 Subprime Crisis

Hesse, Heiko; Frank, Nathaniel; González-Hermosillo, Brenda - International Monetary Fund (IMF) - 2008

We examine the linkages between market and funding liquidity pressures, as well as their interaction with solvency issues surrounding key financial institutions during the 2007 subprime crisis. A multivariate GARCH model is estimated in order to test for the transmission of liquidity shocks...

Persistent link: https://www.econbiz.de/10005769187