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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...

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...

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...

Asset Prices and Time-Varying Risk

Asset Prices and Time-Varying Risk »

Source: Asset Prices and Time-Varying Risk

Volume/Issue: 1988/42

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 May 1988

ISBN: 9781451975437

Keywords: equation, fiscal reform, government spending, covariance, time series

Observers have often characterized asset markets as being subject to periods of tranquility and periods of turbulence. Until recently, however, researchers were unable to produce closed-form asset pricing formulas...

The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period

The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period »

Source: The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period

Volume/Issue: 2003/208

Series: IMF Working Papers

Author(s): Jun Nagayasu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

ISBN: 9781451874723

Keywords: zero interest rates, equation, statistics, inflation, covariance, key words,

This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is f...

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...

Solving for Country Portfolios in Open Economy Macro Models

Solving for Country Portfolios in Open Economy Macro Models »

Source: Solving for Country Portfolios in Open Economy Macro Models

Volume/Issue: 2007/284

Series: IMF Working Papers

Author(s): Michael Devereux , and Alan Sutherland

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868470

Keywords: Country portfolios, solution methods, equations, equation, equilibrium solution, covariance,

This paper presents a general approximation method for characterizing time-varying equilibrium portfolios in a two-country dynamic general equilibrium model. the method can be easily adapted to most dynamic general...

Market Volatility As a Financial Soundness Indicator

Market Volatility As a Financial Soundness Indicator »

Source: Market Volatility As a Financial Soundness Indicator : An Application to Israel

Volume/Issue: 2003/47

Series: IMF Working Papers

Author(s): Armando Méndez Morales , and Liliana Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451846669

Keywords: Volatility, Risk, Indicator, Portfolio, exchange rate, equations, correlations, covariance, equation, Financial Markets and the Macroeconomy,

Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have been used by policymakers and regulators to assess the market risk environment. This paper applie...

Development Accounting and the Rise of TFP

Development Accounting and the Rise of TFP »

Source: Development Accounting and the Rise of TFP

Volume/Issue: 2010/101

Series: IMF Working Papers

Author(s): Reda Cherif , and Rabah Arezki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

ISBN: 9781451982787

Keywords: Development Accounting, Income Differences, TFP, logarithm, explanatory power, covariance, economic growth, Macroeconomics: Production,

The paper presents evidence that the contribution of differences in total factor productivity (TFP) to income differences across countries steadily increased between 1970 and 2000. We verify that our finding is nei...