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Do Asset Price Drops Foreshadow Recessions?

Do Asset Price Drops Foreshadow Recessions? »

Source: Do Asset Price Drops Foreshadow Recessions?

Volume/Issue: 2013/203

Series: IMF Working Papers

Author(s): John Bluedorn , Jörg Decressin , and Marco Terrones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 October 2013

ISBN: 9781484353363

Keywords: Macroeconomic forecasting, Uncertainty, Binary dependent variable models, price, prices, market, spread, volatility, Forecasting and Simulation, Financial Forecasting and Simulation,

This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. I...

Assessing Default Risks for Chinese Firms

Assessing Default Risks for Chinese Firms »

Source: Assessing Default Risks for Chinese Firms : A Lost Cause?

Volume/Issue: 2015/140

Series: IMF Working Papers

Author(s): Daniel Law , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 June 2015

ISBN: 9781513597584

Keywords: default probabilities, equity, market, Asset Pricing, Financial Forecasting and Simulation,

Assessing default risks for Chinese firms is hard. Standard measures of risk using market indicators may be unreliable because of implicit guarantees, the large role played by less-informed investors, and other mar...

Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis

Global Financial Transmission into Sub-Saharan Africa – A Global Vector Autoregression Analysis »

Source: Global Financial Transmission into Sub-Saharan Africa - A Global Vector Autoregression Analysis

Volume/Issue: 2014/241

Series: IMF Working Papers

Author(s): Jorge Canales Kriljenko , Mehdi Hosseinkouchack , and Alexis Meyer-Cirkel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 December 2014

ISBN: 9781498305051

Keywords: GVAR, Financial Transmission, prices, output, commodity, equity, commodity prices, Models with Panel Data, Forecasting and Simulation, Forecasting and Simulation,

Sub-Saharan African countries are exposed to spillovers from global financial variables, but the impact on economic activity is more significant in more financially developed economies. Generalized impulse response...

How Financial Conditions Matter Differently across Latin America

How Financial Conditions Matter Differently across Latin America »

Source: How Financial Conditions Matter Differently across Latin America

Volume/Issue: 2017/218

Series: IMF Working Papers

Author(s): Luis Brandao-Marques , and Esther Perez Ruiz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

ISBN: 9781484325506

Keywords: Financial conditions indexes, TVP-FAVAR, financial spillovers, Forecasting and Simulation, Financial Markets and the Macroeconomy, General

This paper develops comparable financial conditions indices (FCIs) for the six large and most financially-integrated Latin American economies (LA6) by following Korobilis (2013) and Koop and Korobilis (2014). The m...

Near-Coincident Indicators of Systemic Stress

Near-Coincident Indicators of Systemic Stress »

Source: Near-Coincident Indicators of Systemic Stress

Volume/Issue: 2013/115

Series: IMF Working Papers

Author(s): Ivailo Arsov , Elie Canetti , Laura Kodres , and Srobona Mitra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 May 2013

ISBN: 9781484343784

Keywords: Coincident Indicator, Early Warning, Financial Stress, Tail Risk, financial institutions, financial system, Financial Forecasting and Simulation,

The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it...

Towards Macroprudential Stress Testing

Towards Macroprudential Stress Testing »

Source: Towards Macroprudential Stress Testing : Incorporating Macro-Feedback Effects

Volume/Issue: 2017/149

Series: IMF Working Papers

Author(s): Ivo Krznar , and Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2017

ISBN: 9781484303634

Keywords: Stress testing, macro feedback effects, solvency risk, credit crunch, Forecasting and Simulation, Financial Markets and the Macroeconomy, Financial Forecasting and Simulation

Macro-feedback effects have been identified as a key missing element for more effective macro-prudential stress testing. To fill this gap, this paper develops a framework that facilitates the analysis of both the d...

Forecasts in Times of Crises*

Forecasts in Times of Crises* »

Source: Forecasts in Times of Crises

Volume/Issue: 2018/48

Series: IMF Working Papers

Author(s): Theo Eicher , David Kuenzel , Chris Papageorgiou , and Charis Christofides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 March 2018

ISBN: 9781484345436

Keywords: Financial crises, Forecasting, IMF Programs, Economic forecasting, Gross domestic product, Balance of payments, GDP Growth, Financial Accounts, Fiscal Accounts, Forecasting and Other Model Applications

Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in...

Designing Effective Macroprudential Stress Tests

Designing Effective Macroprudential Stress Tests »

Source: Designing Effective Macroprudential Stress Tests : Progress So Far and the Way Forward

Volume/Issue: 2015/146

Series: IMF Working Papers

Author(s): Dimitri Demekas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2015

ISBN: 9781513513621

Keywords: contagion, solvency, bank, risk, capital, balance sheet, General, Financial Forecasting and Simulation, Government Policy and Regulation,

Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual i...

Does Financial Connectedness Predict Crises?1

Does Financial Connectedness Predict Crises?1 »

Source: Does Financial Connectedness Predict Crises?

Volume/Issue: 2013/267

Series: IMF Working Papers

Author(s): Camelia Minoiu , Chanhyun Kang , V.S. Subrahmanian , and Anamaria Berea

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2013

ISBN: 9781475554250

Keywords: financial networks, banking, banking systems, Global Outlook, Financial Aspects of Economic Integration, Forecasting and Simulation,

The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warnin...

News and Monetary Shocks at a High Frequency

News and Monetary Shocks at a High Frequency »

Source: News and Monetary Shocks at a High Frequency : A Simple Approach

Volume/Issue: 2014/167

Series: IMF Working Papers

Author(s): Troy Matheson , and Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2014

ISBN: 9781498324854

Keywords: Economic News, bond yields, bond, equity prices, term bond, financial market, Forecasting and Other Model Applications, Forecasting and Simulation,

We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve's May...