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Correcting “Beyond the Cycle:” Accounting for Asset Prices in Structural Fiscal Balances1 »
Source: Correcting 'Beyond the Cycle" : Accounting for Asset Prices in Structural Fiscal Balances
Volume/Issue: 2015/109
Series: IMF Working Papers
Author(s): Estelle Liu , Todd Mattina , and Tigran Poghosyan
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 19 May 2015
ISBN: 9781513520551
Keywords: asset price, equity market, housing market, panel data econometrics, prices, price, equity, Asset Pricing, Deficit, panel data econometrics.,
This paper outlines an operational approach for incorporating the impact of asset price cycles in the calculation of structural fiscal balances (SFBs). The global financial crisis demonstrated that movements in ass...
The Role of Risk and Information for International Capital Flows »
Source: The Role of Risk and Information for International Capital Flows : New Evidence from the SDDS
Volume/Issue: 2012/242
Series: IMF Working Papers
Author(s): Yuko Hashimoto , and Konstantin Wacker
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 05 October 2012
ISBN: 9781475568660
Keywords: determinants of capital flows, information, panel data, risk, SDDS, FDI, portfolio investment, spatial econometrics, direct investment, Models with Panel Data,
In this paper we investigate whether better information about the macroeconomic environment of an economy has a positive impact on its capital inflows, namely portfolio and foreign direct investment (FDI). The purp...
Africa’s Rising Exposure to China: How Large Are Spillovers Through Trade? »
Source: Africa's Rising Exposure to China : How Large Are Spillovers Through Trade?
Volume/Issue: 2013/250
Series: IMF Working Papers
Author(s): Paulo Drummond , and Estelle Liu
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 17 December 2013
ISBN: 9781484311318
Keywords: spillover, panel data, econometrics, export growth, exporters, oil exporters, total exports, General,
The rapid growth in China's domestic investment in recent decades has generated a large appetite for global goods, including from sub-Saharan Africa (SSA). This paper estimates the impact of changes in China's inve...
Mobilizing Revenue in Sub-Saharan Africa »
Source: Mobilizing Revenue in Sub-Saharan Africa : Empirical Norms and Key Determinants
Volume/Issue: 2012/108
Series: IMF Working Papers
Author(s): Paulo Drummond , Wendell Daal , Nandini Srivastava , and Luiz Oliveira
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 May 2012
ISBN: 9781475503296
Keywords: econometric panel estimation, tax revenue, fiscal revenue, tax policy, taxation, tax effort, Subsidies, and Revenue: General, Multiple or Simultaneous Equation Models: Models with Panel Data, Econometric Modeling: Other,
Mobilizing more revenue is a priority for sub-Saharan African (SSA) countries. Countries have to finance their development agendas, and weak revenue mobilization is the root cause of fiscal imbalances in several co...
Income and Democracy »
Source: Income and Democracy : Lipset's Law Revisited
Volume/Issue: 2012/295
Series: IMF Working Papers
Author(s): Anke Hoeffler , Robert H. Bates , and Ghada Fayad
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 17 December 2012
ISBN: 9781475596649
Keywords: democracy, dynamic panel data, parameter heterogeneity, cross-section dependence, time series, democratization, error correction coefficient, econometrics, political institutions, Models with Panel Data
We revisit Lipset‘s law, which posits a positive and significant relationship between income and democracy. Using dynamic and heterogeneous panel data estimation techniques, we find a significant and negative relat...
On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications »
Source: On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications
Volume/Issue: 2003/73
Series: IMF Working Papers
Author(s): Alessandro Rebucci
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 2003
ISBN: 9781451849486
Keywords: Dynamic Panel Data Models, Monte Carlo Simulation, Heterogeneity Bias, VARs, time series, finite sample, sample bias, econometrics, equation, Multiple or Simultaneous Equation Models: Models with Panel Data
This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the...
Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis1 »
Source: Equity Returns in the Banking Sector in the Wake of the Great Recession and the European Sovereign Debt Crisis
Volume/Issue: 2012/174
Series: IMF Working Papers
Author(s): Jorge Chan-Lau , Estelle Liu , and Jochen M. Schmittmann
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 July 2012
ISBN: 9781475505221
Keywords: equity returns, sovereign debt crisis, regulatory capital, panel data econometrics, banking, tier 1 capital, bank bond, General Financial Markets,
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk an...
The Impact of Capital and Foreign Exchange Flowson the Competitiveness of Developing Countries »
Source: The Impact of Capital and Foreign Exchange Flowson the Competitiveness of Developing Countries
Volume/Issue: 2010/154
Series: IMF Working Papers
Author(s): Bassem Kamar , Damyana Bakardzhieva , Samy Ben Naceur , and Sami Ben Naceur
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 July 2010
ISBN: 9781455201372
Keywords: Real Exchange Rate, Competitiveness, FDI, Foreign Exchange Flows, Panel Data Econometrics, reer, exchange rate, Open Economy Macroeconomics, International Factor Movements And International Business,
Attracting capital and foreign exchange flows is crucial for developing countries. Yet, these flows could lead to real exchange rate appreciation and may thus have detrimental effects on competitiveness, jeopardizi...
Long-Run Exchange Rate Dynamics »
Source: Long-Run Exchange Rate Dynamics : A Panel Data Study
Volume/Issue: 1999/50
Series: IMF Working Papers
Author(s): Karl Habermeier , and Mario Mesquita
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 April 1999
ISBN: 9781451846959
Keywords: Exchange Rates, Panel Data Econometrics, Purchasing Power Parity (PPP), Balassa-Samuelson Effect, Terms of Trade, exchange rate, real exchange rates, real exchange rate, inflation
Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does...
Performance of Fiscal Accounts in South Africa in a Cross-Country Setting »
Source: Performance of Fiscal Accounts in South Africa in a Cross-Country Setting
Volume/Issue: 2010/217
Series: IMF Working Papers
Author(s): Burcu Aydin
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 September 2010
ISBN: 9781455208821
Keywords: structural balance, panel data, tax revenue, financial crisis, global financial crisis, revenue collection, fiscal accounts, Multiple or Simultaneous Equation Models: Time-Series Models, Econometric Modeling: General,
This paper analyzes the cyclical fluctuations in South Africa in a cross-country context, and studies the impact of the output gap by controlling for export intensity, the debt burden, asset prices, and banking cri...