Search Results

You are looking at 1 - 10 of 28 items

  • Keyword: Monte Carlo x
Clear All Modify Search
A Perspectiveon Predicting Currency Crises

A Perspectiveon Predicting Currency Crises »

Source: A Perspectiveon Predicting Currency Crises

Volume/Issue: 2010/227

Series: IMF Working Papers

Author(s): Robert Flood , Juan Yepez , and Nancy Marion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2010

ISBN: 9781455208920

Keywords: Speculative attacks, fixed exchange rate, Monte Carlo, probabilities, standard deviation, probability, correlation,

Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment des...

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate »

Source: Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Volume/Issue: 2007/290

Series: IMF Working Papers

Author(s): Marcos Souto , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868531

Keywords: stochastic volatility, fat-tail distributions, Monte Carlo estimation, covariances, time series, probability, probabilities, multivariate stochastic volatility,

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is pos...

Testing for Structural Breaks in Small Samples

Testing for Structural Breaks in Small Samples »

Source: Testing for Structural Breaks in Small Samples

Volume/Issue: 2008/75

Series: IMF Working Papers

Author(s): Sergei Antoshin , Andrew Berg , and Marcos Souto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2008

ISBN: 9781451869378

Keywords: Structural breaks, small samples, Monte Carlo simulation, time series, correlation, statistic, autocorrelation,

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...

On Fixed and Variable Fiscal Surplus Rules

On Fixed and Variable Fiscal Surplus Rules »

Source: On Fixed and Variable Fiscal Surplus Rules

Volume/Issue: 2004/117

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

ISBN: 9781451854046

Keywords: Debt dynamics, Monte-Carlo simulation, fiscal policy rules, debt ratio, fiscal rules, Simulation Methods,

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 rati...

VAR meets DSGE

VAR meets DSGE »

Source: VAR meets DSGE : Uncovering the Monetary Transmission Mechanism in Low-Income Countries

Volume/Issue: 2016/90

Series: IMF Working Papers

Author(s): Bin Grace Li , Stephen O'Connell , Christopher Adam , Andrew Berg , and Peter Montiel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 April 2016

ISBN: 9781484324752

Keywords: Monetary Transmission Mechanism; Monetary Policy; Low Income Countries; Vector Autoregression Methods; Monte Carlo Methods

VAR methods suggest that the monetary transmission mechanism may be weak and unreliable in low-income countries (LICs). But are structural VARs identified via short-run restrictions capable of detecting a transmiss...

Modeling Stochastic Volatility with Application to Stock Returns

Modeling Stochastic Volatility with Application to Stock Returns »

Source: Modeling Stochastic Volatility with Application to Stock Returns

Volume/Issue: 2003/125

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854848

Keywords: data augmentation, diagnostics, integration sampler, Kalman filter, Markov chain Monte Carlo, particle filtering, stochastic volatility, time series, sampling, equation

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 paramet...

How to Evaluate GDP-Linked Warrants

How to Evaluate GDP-Linked Warrants »

Source: How to Evaluate GDP-Linked Warrants : Price and Repayment Capacity

Volume/Issue: 2006/85

Series: IMF Working Papers

Author(s): Ken Miyajima

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

ISBN: 9781451863451

Keywords: GDP-linked bonds, Monte Carlo methods, binomial model, inflation, growth rates, real gdp, inflation rates, gdp growth,

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 b...

Time-Series Estimation of Structural Import Demand Equations

Time-Series Estimation of Structural Import Demand Equations »

Source: Time-Series Estimation of Structural Import Demand Equations : A Cross-Country Analysis

Volume/Issue: 1997/132

Series: IMF Working Papers

Author(s): Abdelhak Senhadji

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1997

ISBN: 9781451855340

Keywords: Structural Import Demand, Income and Price Elasticities, Cointegration, Monte Carlo Methods, import demand, equation, statistic, income elasticities, price of imports

This paper derives a structural import demand equation and estimates it for a large number of countries, using recent time series techniques that address the problem of nonstationarity. Because the statistical prop...

A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon

A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon »

Source: A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon

Volume/Issue: 2008/97

Series: IMF Working Papers

Author(s): E. Gardner , and Julian Di Giovanni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869583

Keywords: Public debt sustainability, risk analysis, Monte Carlo, fan charts, debt sustainability, debt ratio, covariance, probability, standard deviation,

This paper applies a simple probabilistic approach to debt sustainability analysis to the case of Lebanon. The paper derives "fan charts" to depict the probability distribution of the government debt to GDP ratio u...

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated »

Source: Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated

Volume/Issue: 2007/141

Series: IMF Working Papers

Author(s): Pär Österholm , and Erik Hjalmarsson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

ISBN: 9781451867053

Keywords: cointegration, inflation, nominal interest rate, equation, nominal interest rates, Near-unit-roots, Spurious Rejection, Monte Carlo Simulations,

We investigate the properties of Johansen's (1988, 1991) maximum eigenvalue and trace tests for cointegration under the empirically relevant situation of near-integrated variables. Using Monte Carlo techniques, we...