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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

A Global Projection Model for Euro Area Large Economies

Jakab, Zoltan; Lukyantsau, Pavel; Wang, Shengzu - International Monetary Fund (IMF) - 2015

The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. This paper creates a special version of GPM that includes the four largest Euro Area (EA) countries. The EA countries are more vulnerable to domestic and external demand shocks because...

Persistent link: https://www.econbiz.de/10011242224

Country Stress Events; Does Governance Matter?

Kochanova, Anna; Caceres, Carlos - International Monetary Fund (IMF) - 2012

This paper analyzes the linkages between governance quality and country stress events. It focuses on two types of events: fiscal and political stress events, for which two innovative stress indicators are introduced. The results suggest that weaker governance quality is associated with a higher...

Persistent link: https://www.econbiz.de/10011242318

Tracking Short-Term Dynamics of Economic Activity in Low-Income Countries in the Absence of High-Frequency Gdp Data

Dixit, S. V. S.; Opoku-Afari, Maxwell - International Monetary Fund (IMF) - 2012

This paper uses a set of routinely collected high-frequency data in low-income countries (LICs) to construct an aggregate and a comprehensive index of economic activity which could serve (i) as a measure of the direction of economic activity; and (ii) as a useful input in analyzing...

Persistent link: https://www.econbiz.de/10010790333

Money Targeting in a Modern Forecasting and Policy Analysis System: an Application to Kenya

Andrle, Michal; Berg, Andrew; Berkes, Enrico; Portillo, … - International Monetary Fund (IMF) - 2013

find that: (i) the setting of money targets is consistent with money demand forecasting, (ii) targets have not played a …

Persistent link: https://www.econbiz.de/10010790361

Too Much Finance?

Berkes, Enrico; Panizza, Ugo; Arcand, Jean-Louis - International Monetary Fund (IMF) - 2012

This paper examines whether there is a threshold above which financial development no longer has a positive effect on economic growth. We use different empirical approaches to show that there can indeed be "too much" finance. In particular, our results suggest that finance starts having a...

Persistent link: https://www.econbiz.de/10010790393

Food Inflation in India: The Role for Monetary Policy

Anand, Rahul; Ding, Ding; Tulin, Volodymyr - International Monetary Fund (IMF) - 2014

Indian food and fuel inflation has remained high for several years, and second-round effects on core inflation are estimated to be large. This paper estimates the size of second-round effects using an estimated reduced-form general equilibrium model of the Indian economy, which incorporates...

Persistent link: https://www.econbiz.de/10010959475

Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach

Vitek, Francis - International Monetary Fund (IMF) - 2014

, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary …

Persistent link: https://www.econbiz.de/10010959478

An Assessment of Estimates of Term Structure Models for the United States

Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then...

Persistent link: https://www.econbiz.de/10009369442

Do Commodity Futures Help Forecast Spot Prices?

Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test …-of-sample, we find that the forecast from the futures market is hard to beat. We find that the forecasting performance of futures …. We also find futures' forecasting performance to be invariant to whether prices are in an upswing or downswing, casting …

Persistent link: https://www.econbiz.de/10009369445