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U.S. Dollar Dynamics

U.S. Dollar Dynamics »

Source: U.S. Dollar Dynamics : How Important Are Policy Divergence and FX Risk Premiums?

Volume/Issue: 2016/125

Series: IMF Working Papers

Author(s): Ravi Balakrishnan , Stefan Laseen , and Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 July 2016

ISBN: 9781498348416

Keywords: Foreign exchange, monetary policy shocks, FX risk premium, SVAR

We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk pre...

Financial Frictions in Data

Financial Frictions in Data »

Source: Financial Frictions in Data : Evidence and Impact

Volume/Issue: 2014/238

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

ISBN: 9781484336557

Keywords: Financial Frictions, Bayesian VAR, External Financing Premium, Default risk, Financial shocks, Generalized IRF, DSGE, default, credit spread, maturity

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector...

Monetary Policy and Risk-Premium Shocks in Hungary

Monetary Policy and Risk-Premium Shocks in Hungary »

Source: Monetary Policy and Risk-Premium Shocks in Hungary : Results from a Large Bayesian VAR

Volume/Issue: 2011/259

Series: IMF Working Papers

Author(s): Adina Popescu , and Alina Carare

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463923983

Keywords: Risk premium shocks, Transmission mechanism, Large Bayesian VAR, inflation, central bank, financial stability, foreign currency, General Aggregative Models: Forecasting and Simulation, Money and Interest Rates: Forecasting and Simulation, Bayesian Analysis

We document the transmission of monetary policy and risk-premium shocks in Hungary, by applying recent advances in the Bayesian estimation of large VAR models. The method allows extracting information from over 100...

The U.S. Dollar and the Trade Deficit

The U.S. Dollar and the Trade Deficit »

Source: The U.S. Dollar and the Trade Deficit : What Accounts for the Late 1990's?

Volume/Issue: 2003/194

Series: IMF Working Papers

Author(s): Benjamin Hunt , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

ISBN: 9781451859881

Keywords: Balassa-Samuelson Effect, Learning, Productivity Shocks, Real Exchange Rate, Risk Premium Shocks, Trade Balance, U.S. Economy, exchange rate, intermediate goods, elasticity of substitution

Based on a version of the IMF’s new Global Economic Model (GEM), calibrated to analyze macroeconomic interdependence between the United States and the rest of the world, this paper asks to what extent an asy...

U.S. Dollar Dynamics
			: How Important Are Policy Divergence and FX Risk Premiums?

U.S. Dollar Dynamics : How Important Are Policy Divergence and FX Risk Premiums? »

Volume/Issue: 2016/125

Series: IMF Working Papers

Author(s): Ravi Balakrishnan , Stefan Laseen , and Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 July 2016

DOI: http://dx.doi.org/10.5089/9781498348416.001

ISBN: 9781498348416

Keywords: Foreign exchange, monetary policy shocks, FX risk premium, SVAR

We investigate the drivers of dynamics of major U.S. FX bilaterals. We first construct a novel measure of FX risk premiums using Consensus exchange rate forecasts. We then use VAR analysis to show that (i) risk pre...

Financial Frictions in Data
			: Evidence and Impact

Financial Frictions in Data : Evidence and Impact »

Volume/Issue: 2014/238

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2014

DOI: http://dx.doi.org/10.5089/9781484336557.001

ISBN: 9781484336557

Keywords: Financial Frictions, Bayesian VAR, External Financing Premium, Default risk, Financial shocks, Generalized IRF, DSGE, default, credit spread, maturity

This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector...

Monetary Policy and Risk-Premium Shocks in Hungary
			: Results from a Large Bayesian VAR

Monetary Policy and Risk-Premium Shocks in Hungary : Results from a Large Bayesian VAR »

Volume/Issue: 2011/259

Series: IMF Working Papers

Author(s): Adina Popescu , and Alina Carare

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

DOI: http://dx.doi.org/10.5089/9781463923983.001

ISBN: 9781463923983

Keywords: Risk premium shocks, Transmission mechanism, Large Bayesian VAR, inflation, central bank, financial stability, foreign currency, General Aggregative Models: Forecasting and Simulation, Money and Interest Rates: Forecasting and Simulation, Bayesian Analysis

We document the transmission of monetary policy and risk-premium shocks in Hungary, by applying recent advances in the Bayesian estimation of large VAR models. The method allows extracting information from over 100...

The U.S. Dollar and the Trade Deficit
			: What Accounts for the Late 1990's?

The U.S. Dollar and the Trade Deficit : What Accounts for the Late 1990's? »

Volume/Issue: 2003/194

Series: IMF Working Papers

Author(s): Benjamin Hunt , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

DOI: http://dx.doi.org/10.5089/9781451859881.001

ISBN: 9781451859881

Keywords: Balassa-Samuelson Effect, Learning, Productivity Shocks, Real Exchange Rate, Risk Premium Shocks, Trade Balance, U.S. Economy, exchange rate, intermediate goods, elasticity of substitution

Based on a version of the IMF’s new Global Economic Model (GEM), calibrated to analyze macroeconomic interdependence between the United States and the rest of the world, this paper asks to what extent an asy...