Search Results

You are looking at 1 - 10 of 22 items

  • Keyword: autocorrelation, x
Clear All Modify Search
Volatility and Predictability in National Stock Markets

Volatility and Predictability in National Stock Markets »

Source: Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?

Volume/Issue: 1996/29

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

ISBN: 9781451844757

Keywords: emerging markets, predictability, autocorrelation, cointegration, standard deviation

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been n...

The Volatility of Consumption in a Simple General Equilibrium Model

The Volatility of Consumption in a Simple General Equilibrium Model »

Source: The Volatility of Consumption in a Simple General Equilibrium Model

Volume/Issue: 1992/109

Series: IMF Working Papers

Author(s): Gunnar Tersman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1992

ISBN: 9781451946130

Keywords: optimization, time series, autocorrelation, correlation, consumption relative

This paper studies the volatility of consumption relative to output in the context of a simple general equilibrium model of a small open economy subject to exogenous shocks in productivity. With infinite horizons a...

Foreign Exchange Risk Premium

Foreign Exchange Risk Premium »

Source: Foreign Exchange Risk Premium : Does Fiscal Policy Matter? Evidence From Italian Data

Volume/Issue: 1997/39

Series: IMF Working Papers

Author(s): Lorenzo Giorgianni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1997

ISBN: 9781451845792

Keywords: Risk Premium, Survey Data, survey, equation, autocorrelation, investors

This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—...

Natural Resource Endowments, Governance, and the Domestic Revenue Effort

Natural Resource Endowments, Governance, and the Domestic Revenue Effort »

Source: Natural Resource Endowments, Governance, and the Domestic Revenue Effort : Evidence from a Panel of Countries

Volume/Issue: 2008/170

Series: IMF Working Papers

Author(s): John Thornton , Fabian Bornhorst , and Sanjeev Gupta

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2008

ISBN: 9781451870282

Keywords: hydrocarbon revenues, domestic revenue effort, government revenue, equation, statistics, autocorrelation,

The recent development literature stresses that countries that receive large revenues from natural resource endowments typically raise less revenue from domestic taxation, and that this creates governance problems...

Idiosyncratic Risk

Idiosyncratic Risk »

Source: Idiosyncratic Risk : An Empirical Analysis, with Implications for the Risk of Relative-Value Trading Strategies

Volume/Issue: 1999/148

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1999

ISBN: 9781451856804

Keywords: Idiosyncratic Risk, Dispersion, Risk Management, Hedge Funds, equity markets, autocorrelation, hedging, equation, correlation

This paper models the idiosyncratic or asset-specific return of an asset as the return on a portfolio that is long in that asset and short in other assets in the same class, thereby removing the common components o...

Imperfect Information and Saving in a Small Open Economy

Imperfect Information and Saving in a Small Open Economy »

Source: Imperfect Information and Saving in a Small Open Economy

Volume/Issue: 2011/60

Series: IMF Working Papers

Author(s): Agustin Roitman , and Christian Daude

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455221042

Keywords: saving, uncertainty, Bayesian learning, Markov switching, autocorrelation, stochastic process, correlation, probabilities, statistics, Asymmetric and Private Information,

Emerging markets are more volatile and face different types of shocks, in size and nature, compared to their developed counterparts. Accurate identification of the stochastic properties of shocks is difficult. We s...

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...

A Reexamination of Korea's Trade Flows

A Reexamination of Korea's Trade Flows »

Source: A Reexamination of Korea's Trade Flows : What Has Changed and What Explains These Changes?

Volume/Issue: 2004/145

Series: IMF Working Papers

Author(s): Kevin Cheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2004

ISBN: 9781451856576

Keywords: Trade equations, equations, heteroscedasticity, export volume, export demand, autocorrelation, Trade: General, Country and Industry Studies of Trade,

This paper reexamines Korea's trade flows. Using the standard demand-based models, the paper finds that owing to the increasing share of electrical and electronic products (EEPs) in total exports, the income elasti...

Foreign Currency Credit Ratings for Emerging Market Economies

Foreign Currency Credit Ratings for Emerging Market Economies »

Source: Foreign Currency Credit Ratings for Emerging Market Economies

Volume/Issue: 2001/191

Series: IMF Working Papers

Author(s): Roberto Perrelli , and Christian Mulder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

ISBN: 9781451859713

Keywords: foreign currency credit ratings, economic crises., statistics, autocorrelation, equation, short-term debt, covariance, International Lending and Debt Problems, General Financial Markets: Government Policy and Regulation, Economic Crises,

This paper examines how ratings for emerging market economies have been set. Given the high degree of autocorrelation in ratings, we use estimators that yield consistent parameters in the presence of such correlati...

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions

The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions »

Source: The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions

Volume/Issue: 2010/153

Series: IMF Working Papers

Author(s): Jiri Podpiera , and Inci Ötker

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2010

ISBN: 9781455201365

Keywords: Large Complex Financial Institutions, dynamic panel data, CAMELS, vulnerability analysis, bond, autocorrelation, corporate bond, statistics, standard errors, Financial Institutions and Services: Government Policy and Regulation

This paper attempts to identify the fundamental variables that drive the credit default swaps during the initial phase of distress in selected European Large Complex Financial Institutions (LCFIs). It uses yearly d...