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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
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Structural Reforms and Regional Convergence
Spilimbergo, Antonio; Che, Natasha Xingyuan - International Monetary Fund (IMF) - 2012
Which structural reforms affect the speed the regional convergence within a country? We found that domestic financial development, trade/current account openness, better institutional infrastructure, and selected labor market reforms facilitate regional convergence. However, these reforms have...
Persistent link: https://www.econbiz.de/10011142004
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Banks' Liability Structure and Mortgage Lending During the Financial Crisis
Dagher, Jihad; Kazimov, Kazim - International Monetary Fund (IMF) - 2012
We examine the impact of banks’ exposure to market liquidity shocks through wholesale funding on their supply of credit during the financial crisis in the United States. We focus on mortgage lending to minimize the impact of confounding demand factors that could potentially be large when...
Persistent link: https://www.econbiz.de/10011142090
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Appraising Credit Ratings; Does the CAP Fit Better than the ROC?
International Monetary Fund (IMF); International … - 2012
independence of ROC curves from the probability of default are advantages unavailable to CAP analysis. …
Persistent link: https://www.econbiz.de/10011242216
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The Volatility Trap; Precautionary Saving, Investment, and Aggregate Risk
Cherif, Reda; Hasanov, Fuad - International Monetary Fund (IMF) - 2012
We study the effects of permanent and temporary income shocks on precautionary saving and investment in a "store-or-sow" model of growth. High volatility of permanent shocks results in high precautionary saving in the safe asset and low investment, or a "volatility trap." Namely, big savers...
Persistent link: https://www.econbiz.de/10011242299
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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 … that weaker governance quality is associated with a higher incidence of both fiscal and political stress events. In … particular, internal accountability, which measures the responsiveness of governments to improving the quality of the bureaucracy …
Persistent link: https://www.econbiz.de/10011242318
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The Location of Domestic and Foreign Production Affiliates by French Multinational Firms
Méjean, Isabelle; Mayer, Thierry; Nefussi, Benjamin - International Monetary Fund (IMF) - 2010
Economists interested in location choices usually focus their attention on investments abroad. This neglects the fact that multinational enterprises continue to invest domestically while undertaking foreign expansion. This paper compares investments at home and abroad. Our firm-level dataset...
Persistent link: https://www.econbiz.de/10011242345
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Why House Price Indexes Differ; Measurement and Analysis
Silver, Mick - International Monetary Fund (IMF) - 2012
A key element in the build-up to the global recession and subsequently was the movement in house price indexes (HPIs). These indexes are particularly prone to methodological and coverage differences which can undermine both within-country and cross-country economic analysis. The paper outlines...
Persistent link: https://www.econbiz.de/10011242366
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Do Dynamic Provisions Enhance Bank Solvency and Reduce Credit Procyclicality? a Study of the Chilean Banking System
Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2012
Dynamic provisions could help to enhance the solvency of individual banks and reduce procyclicality. Accomplishing these objectives depends on country-specific features of the banking system, business practices, and the calibration of the dynamic provisions scheme. In the case of Chile, a...
Persistent link: https://www.econbiz.de/10011242410
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United Kingdom; Vulnerabilities of Household and Corporate Balance Sheets and Risks for the Financial Sector Technical Note
International Monetary Fund (IMF); International … - 2011
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Persistent link: https://www.econbiz.de/10011243689