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Pooling fiscal risk in the ECCU : quantitative assessment of savings with a regional stabilization fund

Guerson, Alejandro - 2021

This paper quantifies the savings obtained from risk pooling with a Regional Stabilization Fund (RSF) for the Eastern Caribbean Currency Union. A Monte Carlo experiment is used to estimate the size of a RSF conditional on probabilities of depletion under specific saving-withdrawal rules. Results...

Persistent link: https://www.econbiz.de/10012605596

Modeling Stochastic Volatility with Application to Stock Returns

Krichene, Noureddine - 2003

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for three stock indices. A Markov chain Monte Carlo algorithm was used for estimating Bayesian parameters and filtering volatilities. Volatility persistence being close to one was...

Persistent link: https://www.econbiz.de/10014400143

How to Evaluate Gdp-Linked Warrants : Price and Repayment Capacity

Miyajima, Ken - 2006

Following a brief review of the recent history of GDP-linked instruments, this paper proposes a set of tools to examine the quantitative properties of GDP-linked warrants. It argues that trigger conditions should be clearly identifiable and payment amounts easily calculable. Based on a design...

Persistent link: https://www.econbiz.de/10014400393

Testing for Structural Breaks in Small Samples

Antoshin, Sergei - 2008

In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their...

Persistent link: https://www.econbiz.de/10014401682

On Fixed and Variable Fiscal Surplus Rules

International Monetary Fund - 2004

Fiscal rules are being increasingly used by both emerging and developed economies. This paper analyzes two alternative fiscal policy rules in terms of their impact on debt sustainability: a rule that fixes the ratio of primary surplus to GDP (""fixed surplus rule"") and one that sets the primary...

Persistent link: https://www.econbiz.de/10014404172

Trade, productivity and (mis)allocation

Berthou, Antoine; Chung, Jong Hyun; Manova, Kalina; … - 2020

show theoretically that without distortions, bilateral and export liberalizations increase aggregate welfare and …-2011, we empirically establish that exogenous shocks to export demand and import competition both generate large aggregate … productivity gains. Guided by theory, we provide evidence consistent with these effects operating through reallocations across …

Persistent link: https://www.econbiz.de/10012301837

Correcting “Beyond the Cycle:” Accounting for Asset Prices in Structural Fiscal Balances

Liu, Estelle X. - 2015

This paper outlines an operational approach for incorporating the impact of asset price cycles in the calculation of structural fiscal balances (SFBs). The global financial crisis demonstrated that movements in asset prices can have an important fiscal impact. Failing to account for the fiscal...

Persistent link: https://www.econbiz.de/10014412080

Policy Analysis and Forecasting in the World Economy : A Panel Unobserved Components Approach

Vitek, Francis - 2012

economies. This panel unobserved components model features a monetary transmission mechanism, a fiscal transmission mechanism …

Persistent link: https://www.econbiz.de/10014396392

Going viral : a gravity model of infectious diseases and tourism flows

Cevik, Serhan - 2020

This paper develops a gravity model framework to estimate the impact of infectious diseases on bilateral tourism flows among 38,184 pairs of countries over the period 1995-2017. The results confirm that international tourism is adversely affected by disease risk, and the magnitude of this...

Persistent link: https://www.econbiz.de/10012252260

Spillovers Through Banking Centers : A Panel Data Analysis

International Monetary Fund - 2000

To test the role of bank lending in transmitting currency crisis we examine a panel of BIS data on bank flows to 30 …

Persistent link: https://www.econbiz.de/10014399830