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Yilmazkuday, Hakan - 2016

This paper introduces a simple methodology to forecast international trade. The main innovation is to calculate non-unitary expenditure elasticities of import demand implied by non-homothetic preferences in the previous year to be further combined with the current change in expenditure to...

Persistent link: https://www.econbiz.de/10013006843

IMF trade forecasts for crisis countries : bias, inefficiency, and their origins

Eicher, Theo S.; Kawai, Reina - In: International journal of forecasting 39 (2023) 4, pp. 1615-1639

Persistent link: https://www.econbiz.de/10014465338

The global financial crisis : trying to understand the global trade downturn and recovery

Anderton, Bob; Tewolde, Tadios - 2011

This paper aims to shed light on why the downturn in global trade during the intensification of the financial crisis in 2008Q4-2009Q1 was so severe and synchronized across the world, and also examines the subsequent recovery in global trade during 2009Q2-2010Q1. The paper finds that a structural...

Persistent link: https://www.econbiz.de/10009354645

Export Dynamics Since the Great Trade Collapse : A Cross-Country Analysis

Lewis, John - 2015

Using a panel model of goods exports for 16 OECD economies, we quantify advanced economies' export performance since the ‘Great Trade Collapse' (GTC). We go beyond the traditional determinants of trade to include a variable measuring shifts in the sectoral composition of world trade and split...

Persistent link: https://www.econbiz.de/10013018808

The Global Financial Crisis : Trying to Understand the Global Trade Downturn and Recovery

Anderton, Bob; Tewolde, Tadios - 2021

Persistent link: https://www.econbiz.de/10013315987

GFC-Robust Risk Management Strategies under the Basel Accord

McAleer, Michael - 2010

-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point … VaR forecasts of a set of conditional volatility models. This risk management strategy is GFC-robust in the sense that … 2008-09 global financial crisis. We investigate the performance of a variety of single and combined VaR forecasts in terms …

Persistent link: https://www.econbiz.de/10013137384

GFC-robust risk management under the Basel accord using extreme value methodologies

Jiménez-Martín, Juan-Ángel; McAleer, Michael; Pérez … - 2013

Persistent link: https://www.econbiz.de/10009765824

Sovereign credit ratings and their impact on recent financial crises

Kräussl, Roman - 2000

This paper discusses the role of the credit rating agencies during the recent financial crises. In particular, it examines whether the agencies can add to the dynamics of emerging market crises. Academics and investors often argue that sovereign credit ratings are responsible for pronounced...

Persistent link: https://www.econbiz.de/10009767693

International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord

McAleer, Michael - 2011

selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al …. (2010c). The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility models … generally GFC-robust. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital …

Persistent link: https://www.econbiz.de/10013131430

The Great Recession : US Dynamics and Spillovers to the World Economy

Morana, Claudio - 2013

The paper aims at assessing the mechanics of the Great Recession, considering both its domestic propagation within the US, as well as its spillovers to advanced and emerging economies. A total of 50 countries has been investigated by means of a large-scale open economy macroeconometric model,...

Persistent link: https://www.econbiz.de/10013094134