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Spillovers Across NAFTA

Spillovers Across NAFTA »

Source: Spillovers Across NAFTA

Volume/Issue: 2008/3

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Andrew Swiston

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2008

ISBN: 9781451868654

Keywords: NAFTA, correlation, covariance, correlations,

This paper examines linkages across North America by estimating the size of spillovers from the major regions of the world-the United States, euro area, Japan, and the rest of the world-to Canada and Mexico, and de...

Portfolio Performance of the SDR and Reserve Currencies

Portfolio Performance of the SDR and Reserve Currencies »

Source: Portfolio Performance of the SDR and Reserve Currencies : Tests Using the ArCH Methodology

Volume/Issue: 1993/10

Series: IMF Working Papers

Author(s): Tugrul Temel , and Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1993

ISBN: 9781451842630

Keywords: statistic, kurtosis, statistics, equation, covariance

In managing their foreign exchange exposure, international investors, including central banks, often compare actual portfolios with hypothetical portfolios that have been calculated using certain assumptions regard...

Domestic, Foreign or Common Shocks?

Domestic, Foreign or Common Shocks? »

Source: Domestic, Foreign or Common Shocks?

Volume/Issue: 1996/107

Series: IMF Working Papers

Author(s): Stefania Fabrizio , and J. Lopez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1996

ISBN: 9781451852936

Keywords: covariance, statistics, domestic shocks, correlation, world economy

A stochastic general equilibrium model of the world economy is used to analyze the origin of international business cycles using data for Germany, Japan and the United States. The findings indicate that after 1973,...

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...

Stability of Velocity in the Group of Seven Countries

Stability of Velocity in the Group of Seven Countries »

Source: Stability of Velocity in the Group of Seven Countries : A Kalman Filter Approach

Volume/Issue: 1990/80

Series: IMF Working Papers

Author(s): Eduard Bomhoff

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1990

ISBN: 9781451955392

Keywords: standard error, covariance, money demand, time series

This paper estimates forecasting models using annual data for the income velocity of money in the G-7 countries. The predictions are conditional upon the realized value of the long-term domestic government bond rat...

Asymmetry in the ERM

Asymmetry in the ERM »

Source: Asymmetry in the ERM : A Case Study of French and German Interest Rates Since Basle-Nyborg

Volume/Issue: 1992/96

Series: IMF Working Papers

Author(s): W. Perraudin , and E. Gardner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1992

ISBN: 9781451949988

Keywords: standard errors, monetary policy, covariance, monetary system

We study empirically daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree o...

A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic

A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic »

Source: A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic

Volume/Issue: 2004/45

Series: IMF Working Papers

Author(s): Jaromir Benes , and Papa N'Diaye

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

ISBN: 9781451846508

Keywords: Phillips Curve, nairu, equation, equations, covariance,

This paper presents a multivariate (MV) methodology for obtaining measures of excess demand that can facilitate discussion of monetary policy issues and improve policy decisions. Using data for the Czech Republic,...

A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager

A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager »

Source: A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager

Volume/Issue: 2006/195

Series: IMF Working Papers

Author(s): Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

ISBN: 9781451864557

Keywords: Risk measurement, bond, bonds, probability, standard deviation, covariance,

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it...

Foreign Entanglements

Foreign Entanglements »

Source: Foreign Entanglements : Estimating the Source and Size of Spillovers Across Industrial Countries

Volume/Issue: 2007/182

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Andrew Swiston

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867466

Keywords: international business cycles, vector autoregressions, correlation, equation, covariance,

VARs of real growth since 1970 are used to estimate spillovers between the U.S., euro area, Japan, and an aggregate of small industrial countries, which proxies for global shocks. U.S. and global shocks generate si...

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds »

Source: Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Volume/Issue: 2010/9

Series: IMF Working Papers

Author(s): Aaron Howard Clifford Brown , Michael Papaioannou , and Iva Petrova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451961904

Keywords: Macrofinancial Linkages, bonds, government bonds, correlation, covariance, standard deviation,

This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic ass...