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Portfolio Choice in a Monetary Open-Economy DSGE Model

Portfolio Choice in a Monetary Open-Economy DSGE Model »

Source: Portfolio Choice in a Monetary Open-Economy DSGE Model

Volume/Issue: 2005/165

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

ISBN: 9781451861846

Keywords: Home bias, international portfolio choice, equation, equations, correlation, foreign equity, covariance, Open Economy Macroeconomics,

This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some g...

The Determinants of International Portfolio Holdings and Home Bias

The Determinants of International Portfolio Holdings and Home Bias »

Source: The Determinants of International Portfolio Holdings and Home Bias

Volume/Issue: 2004/34

Series: IMF Working Papers

Author(s): Shujing Li , Hamid Faruqee , and Isabel Yan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451845297

Keywords: International portfolio choice, Home bias, Transaction cost, Information cost, equation, correlation, market size, survey, statistics,

Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity...

Skill Heterogeneity and Aggregation Bias Over the Business Cycle

Skill Heterogeneity and Aggregation Bias Over the Business Cycle »

Source: Skill Heterogeneity and Aggregation Bias Over the Business Cycle

Volume/Issue: 1995/122

Series: IMF Working Papers

Author(s): Eswar Prasad

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1995

ISBN: 9781451854435

Keywords: wage, standard deviation, correlation, wages, worker, Skill Heterogeneity and Aggregation Bias over the Business Cycle,

This paper extends the equilibrium business cycle framework to incorporate ex ante skill heterogeneity among workers. Consistent with the empirical evidence, skilled and unskilled workers in the model face the same...

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Measuring Contagion with a Bayesian Time-Varying Coefficient Model »

Source: Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Volume/Issue: 2003/171

Series: IMF Working Papers

Author(s): Alessandro Rebucci , and Matteo Ciccarelli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2003

ISBN: 9781451858525

Keywords: contagion, Gibbs sampling, heteroskedasticity, omitted variable bias, time-varying coefficient models, correlation, covariance, parameter vector, correlations, Bayesian Analysis

We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity an...

Financing of Global Imbalances

Financing of Global Imbalances »

Source: Financing of Global Imbalances

Volume/Issue: 2007/177

Series: IMF Working Papers

Author(s): Maria Teresa Punzi , and W. Christopher Walker

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867411

Keywords: home bias, panel VAR, U.S. bond inflows, bond, bond flows, equation, correlation, statistics, Us Bond Inflows,

This paper analyzes the determinants of bond flows, now the dominant source of capital inflows, into the United States, as a means of establishing conditions affecting the financing of the U.S. current account defi...

Fat-Tails and their (Un)Happy Endings

Fat-Tails and their (Un)Happy Endings »

Source: Fat-Tails and their (Un)Happy Endings : Correlation Bias and its Implications for Systemic Risk and Prudential Regulation

Volume/Issue: 2011/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455226061

Keywords: Basel III, correlation bias, copula capital structure model, prudential regulation, systemic risk., correlation, subordinated debt, banking, probability, General Financial Markets: Government Policy and Regulation

The correlation bias refers to the fact that claim subordination in the capital structure of the firm influences claim holders' preferred degree of asset correlation in portfolios held by the firm. Using the copula...

Portfolio Choice in a Monetary Open-Economy DSGE Model

Portfolio Choice in a Monetary Open-Economy DSGE Model »

Volume/Issue: 2005/165

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

DOI: http://dx.doi.org/10.5089/9781451861846.001

ISBN: 9781451861846

Keywords: Home bias, international portfolio choice, equation, equations, correlation, foreign equity, covariance, Open Economy Macroeconomics,

This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some g...

The Determinants of International Portfolio Holdings and Home Bias

The Determinants of International Portfolio Holdings and Home Bias »

Volume/Issue: 2004/34

Series: IMF Working Papers

Author(s): Shujing Li , Hamid Faruqee , and Isabel Yan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

DOI: http://dx.doi.org/10.5089/9781451845297.001

ISBN: 9781451845297

Keywords: International portfolio choice, Home bias, Transaction cost, Information cost, equation, correlation, market size, survey, statistics,

Despite the liberalization of foreign portfolio investment around the globe since the early 1980s, the home-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity...

Skill Heterogeneity and Aggregation Bias Over the Business Cycle

Skill Heterogeneity and Aggregation Bias Over the Business Cycle »

Volume/Issue: 1995/122

Series: IMF Working Papers

Author(s): Eswar Prasad

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1995

DOI: http://dx.doi.org/10.5089/9781451854435.001

ISBN: 9781451854435

Keywords: wage, standard deviation, correlation, wages, worker, Skill Heterogeneity and Aggregation Bias over the Business Cycle,

This paper extends the equilibrium business cycle framework to incorporate ex ante skill heterogeneity among workers. Consistent with the empirical evidence, skilled and unskilled workers in the model face the same...

Measuring Contagion with a Bayesian Time-Varying Coefficient Model

Measuring Contagion with a Bayesian Time-Varying Coefficient Model »

Volume/Issue: 2003/171

Series: IMF Working Papers

Author(s): Alessandro Rebucci , and Matteo Ciccarelli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2003

DOI: http://dx.doi.org/10.5089/9781451858525.001

ISBN: 9781451858525

Keywords: contagion, Gibbs sampling, heteroskedasticity, omitted variable bias, time-varying coefficient models, correlation, covariance, parameter vector, correlations, Bayesian Analysis

We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity an...