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Irrational Exuberance in the U.S. Housing Market; Were Evangelicals Left Behind?

Crowe, Christopher W. - International Monetary Fund (IMF) - 2009

The recent housing bust has reignited interest in psychological theories of speculative excess (Shiller, 2007). I investigate this issue by identifying a segment of the U.S. population-evangelical protestants-that may be less prone to speculative motives, and uncover a significant negative...

Persistent link: https://www.econbiz.de/10005825622

Nonlinear Exchange Rate Models; A Selective Overview

Sarno, Lucio - International Monetary Fund (IMF) - 2003

This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...

Persistent link: https://www.econbiz.de/10005825647

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the … probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to … measure liquidity risk. Along with the formulas for the various statistics proposed, we provide simple examples of their …

Persistent link: https://www.econbiz.de/10005825661

Crude Oil Prices; Trends and Forecast

Krichene, Noureddine - International Monetary Fund (IMF) - 2008

allowed significant probability for right tail events. Given explosive trends in other commodities prices, depreciating …

Persistent link: https://www.econbiz.de/10005825666

Firm Heterogeneity and Weak Intellectual Property Rights

Watt, Stanley - International Monetary Fund (IMF) - 2007

In weak intellectual property rights (IPR) environments, the imitation of proprietary technology by domestic firms has become a deterrent for foreign investment. Different multinationals may view this deterrent differently. This paper develops a model where firms with more technology are less...

Persistent link: https://www.econbiz.de/10005825669

An Unbiased Appraisal of Purchasing Power Parity

McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2001

Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However, least squares-based estimates of half-lives are biased downward. Accordingly, we...

Persistent link: https://www.econbiz.de/10005825679

Are More Competitive Banking Systems More Stable?

Cihák, Martin; Wolfe, Simon; Schaeck, Klaus - International Monetary Fund (IMF) - 2006

This paper provides the first empirical analysis of the cross-country relationship between a direct measure of competitive conduct of financial institutions and banking system fragility. Using the Panzar and Rosse H-Statistic as a measure for competition in 38 countries during 1980-2003, we...

Persistent link: https://www.econbiz.de/10005825680

Can Higher Reserves Help Reduce Exchange Rate Volatility?

Nowak, M.; Hviding, Ketil; Ricci, Luca Antonio - International Monetary Fund (IMF) - 2004

This paper studies the role of an increase in foreign exchange reserves in reducing currency volatility for emerging market countries. The study employs a panel of 28 countries over the period 1986-2002. Several control variables are introduced in the regressions to account for other factors...

Persistent link: https://www.econbiz.de/10005825686

Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System

Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...

Persistent link: https://www.econbiz.de/10005825693

Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention

Bertola, Giuseppe; Bartolini, Leonardo; Prati, Alessandro - International Monetary Fund (IMF) - 2000

We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each “reserve maintenance period,” when the...

Persistent link: https://www.econbiz.de/10005825728