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Empirical Modeling of Contagion

Empirical Modeling of Contagion »

Source: Empirical Modeling of Contagion : A Review of Methodologies

Volume/Issue: 2004/78

Series: IMF Working Papers

Author(s): Mardi Dungey , Renee Fry , Vance Martin , and Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2004

ISBN: 9781451850130

Keywords: contagion, equation, correlation, covariance, equations, Simulation Methods,

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified fr...

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...

The Cost Channel of Monetary Policy

The Cost Channel of Monetary Policy »

Source: The Cost Channel of Monetary Policy : Further Evidence for the United States and the Euro Area

Volume/Issue: 2003/149

Series: IMF Working Papers

Author(s): Pau Rabanal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2003

ISBN: 9781451856910

Keywords: Price Puzzle, New Keynesian Models, Bayesian Methods, nominal interest rate, central bank, monetary economics, Bayesian Analysis, Simulation Methods, Price-Puzzle,

This paper estimates the importance of the cost channel of monetary policy in a New Keynesian model of the business cycle. A model with nominal rigidities is extended by assuming that a fraction of firms need to bo...

Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies

Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies »

Source: Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies

Volume/Issue: 2006/268

Series: IMF Working Papers

Author(s): Philippe Karam , and Douglas Hostland

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865288

Keywords: dynamic analysis, Monte Carlo simulations, inflation, external debt, public debt, debt burden, monetary policy, Simulation Methods, National Deficit Surplus,

This paper documents the specification of a model that was constructed to assess debt sustainability in emerging market economies. Key features of the model include external and fiscal sectors, which allow assessme...

Identifying Fiscal Policy Transmission in Stochastic Debt Forecasts

Identifying Fiscal Policy Transmission in Stochastic Debt Forecasts »

Source: Identifying Fiscal Policy Transmission in Stochastic Debt Forecasts

Volume/Issue: 2011/107

Series: IMF Working Papers

Author(s): Kei Kawakami , and Rafael Romeu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455261369

Keywords: debt, interest, interest rate, interest rates, budget, Simulation Methods, National Deficit Surplus,

A stochastic debt forecasting framework is presented where projected debt distributions reflect both the joint realization of the fiscal policy reaction to contemporaneous stochastic macroeconomic projections, and...

Pricing and Hedging of Contingent Credit Lines

Pricing and Hedging of Contingent Credit Lines »

Source: Pricing and Hedging of Contingent Credit Lines

Volume/Issue: 2006/13

Series: IMF Working Papers

Author(s): Elena Loukoianova , Salih Neftci , and Sunil Sharma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

ISBN: 9781451862737

Keywords: Contingent credit line (CCL), pricing, credit line, credit lines, bond, hedge, Simulation Methods,

Contingent credit lines (CCLs) are widely used in bank lending and also play an important role in the functioning of short-term capital markets. Yet, their pricing and hedging has not received much attention in the...

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model »

Source: Limited Information Bayesian Model Averaging for Dynamic Panels with An Application to a Trade Gravity Model

Volume/Issue: 2011/230

Series: IMF Working Papers

Author(s): Huigang Chen , Alin Mirestean , and Charalambos Tsangarides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463921309

Keywords: Bayesian Model Averaging, model uncertainty, dynamic panels, Generalized Method of Moments, gravity model, probability, probabilities, econometrics, equation, sample size

This paper extends the Bayesian Model Averaging framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Mod...

Regional Trade Arrangements in Africa

Regional Trade Arrangements in Africa »

Source: Regional Trade Arrangements in Africa : Past Performance and the Way Forward

Volume/Issue: 2005/36

Series: IMF Working Papers

Author(s): Yongzheng Yang , and Sanjeev Gupta

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2005

ISBN: 9781451860559

Keywords: Regional Trade Arrangements, regional integration, regional trade, trade liberalization, intraregional trade, Simulation Methods, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Regional trade arrangements (RTAs) in Africa have been ineffective in promoting trade and foreign direct investment. Relatively high external trade barriers and low resource complementarity between member countries...

Autocorrelation-Corrected Standard Errors in Panel Probits

Autocorrelation-Corrected Standard Errors in Panel Probits »

Source: Autocorrelation-Corrected Standard Errors in Panel Probits : An Application to Currency Crisis Prediction

Volume/Issue: 2004/39

Series: IMF Working Papers

Author(s): Andrew Berg , and Rebecca Coke

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

ISBN: 9781451845860

Keywords: Currency crisis, early-warning systems, serial correlation, panel probit, standard errors, bootstrap, standard error, correlation, Simulation Methods, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magn...

Quantitative properties of sovereign default models

Quantitative properties of sovereign default models »

Source: Quantitative properties of sovereign default models : solution methods matter

Volume/Issue: 2010/100

Series: IMF Working Papers

Author(s): Leonardo Martinez , Horacio Sapriza , and Juan Carlos Hatchondo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

ISBN: 9781451982770

Keywords: Emerging economies, numerical methods, bond, bond price, computation, statistics, simulation results, International Lending and Debt Problems, Open Economy Macroeconomics,

We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with...