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Wealth Effects in Europe; A Tale of Two Countries (Italy and the United Kingdom)

Muñoz, Sònia - International Monetary Fund (IMF) - 2006

This paper investigates the increasing exposure of European households to risky financial assets and the consequent impact on the economy. I analyze household data for Italy and the United Kingdom, countries that differ dramatically in their financial structure and capital markets. I estimate an...

Persistent link: https://www.econbiz.de/10005599313

What Determines the Implementation of IMF-Supported Programs?

Mourmouras, Alex; Ivanova, Anna; Anayotos, George C.; … - International Monetary Fund (IMF) - 2003

This paper assesses the implementation of IMF-supported programs using measures of program interruptions, compliance with conditionality, and the share of committed funds disbursed. The econometric model allows an evaluation of the importance for program implementation of political conditions in...

Persistent link: https://www.econbiz.de/10005605139

Predicting Recessions; A New Approach for Identifying Leading Indicators and Forecast Combinations

Kisinbay, Turgut; Baba, Chikako - International Monetary Fund (IMF) - 2011

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data...

Persistent link: https://www.econbiz.de/10009369447

Sovereign Debt Defaults and Financing Needs

Messmacher, Miguel; Kruger, Mark - International Monetary Fund (IMF) - 2004

used in previous studies. In addition, the level at which it leads to a high probability of default is comparable across …

Persistent link: https://www.econbiz.de/10005768797

Assessing Early Warning Systems; How Have they Worked in Practice?

Berg, Andrew; Borensztein, Eduardo; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2004

Since 1999, the IMF's staff has been tracking several early-warning-system (EWS) models of currency crisis. The results … have been mixed. One of the long-horizon models has performed well relative to pure guesswork and to available non … long-horizon EWS model. The two short-horizon private sector models generally performed poorly. …

Persistent link: https://www.econbiz.de/10005768990

How Does the Global Economic Environment Influence the Demand for IMF Resources

Elekdag, Selim - International Monetary Fund (IMF) - 2006

cycle are adversely shocked by one standard deviation, the conditional probability of a SBA nearly doubles, implying an …

Persistent link: https://www.econbiz.de/10005604884

In Search of Coincident and Leading Indicators of Economic Activity in Argentina

Simone, Alejandro - International Monetary Fund (IMF) - 2001

Time series on economic activity in developing countries, in particular real GDP, are reported with important lags. Therefore, it is useful to construct indicators that coincide or lead the actual direction and level of economic activity. A general methodology to construct these indicators is...

Persistent link: https://www.econbiz.de/10005604906

A New Risk Indicator and Stress Testing tool; A Multifactor Nth-to-Default CDS Basket

Avesani, Renzo G.; Li, Jing; Pascual, Antonio Garcia - International Monetary Fund (IMF) - 2006

LCFIs' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the … latent multifactor structure. The results unveil a rich set of default probability dynamics and help in identifying the most …

Persistent link: https://www.econbiz.de/10005826610

Systemic Risks and the Macroeconomy

Lucchetta, Marcella; Nicoló, Gianni De - International Monetary Fund (IMF) - 2010

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard macroeconomic and banking theory. This framework is...

Persistent link: https://www.econbiz.de/10008519509

Systemic Real and Financial Risks; Measurement, Forecasting, and Stress Testing

Lucchetta, Marcella; Nicoló, Gianni De - International Monetary Fund (IMF) - 2012

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial health; (b) stress-tests as measures of the dynamics of responses of systemic risk...

Persistent link: https://www.econbiz.de/10009654174