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Growth Determinants Revisited

Growth Determinants Revisited »

Source: Growth Determinants Revisited

Volume/Issue: 2009/268

Series: IMF Working Papers

Author(s): Charalambos Tsangarides , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874136

Keywords: growth regressions, Bayesian Model Averaging, dynamic panel estimation, limited information estimation, probability, econometrics, probabilities, equation, growth model,

This paper revisits the cross-country growth empirics debate using a novel Limited Information Bayesian Model Averaging framework to address model uncertainty in the context of a dynamic growth model in panel data...

Currency Mismatches and Corporate Default Risk

Currency Mismatches and Corporate Default Risk »

Source: Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications

Volume/Issue: 2006/269

Series: IMF Working Papers

Author(s): Andre Santos , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865295

Keywords: Default risk, currency mismatch, econometric estimation, financial surveillance, probability, equation, diffusion model, bond, calibration,

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for f...

Mobilizing Revenue in Sub-Saharan Africa

Mobilizing Revenue in Sub-Saharan Africa »

Source: Mobilizing Revenue in Sub-Saharan Africa : Empirical Norms and Key Determinants

Volume/Issue: 2012/108

Series: IMF Working Papers

Author(s): Paulo Drummond , Wendell Daal , Nandini Srivastava , and Luiz Oliveira

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

ISBN: 9781475503296

Keywords: econometric panel estimation, tax revenue, fiscal revenue, tax policy, taxation, tax effort, Subsidies, and Revenue: General, Multiple or Simultaneous Equation Models: Models with Panel Data, Econometric Modeling: Other,

Mobilizing more revenue is a priority for sub-Saharan African (SSA) countries. Countries have to finance their development agendas, and weak revenue mobilization is the root cause of fiscal imbalances in several co...

The Volatility of Capital Flows in Emerging Markets

The Volatility of Capital Flows in Emerging Markets »

Source: The Volatility of Capital Flows in Emerging Markets : Measures and Determinants

Volume/Issue: 2017/41

Series: IMF Working Papers

Author(s): Maria Sole Pagliari , and Swarnali Ahmed Hannan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 March 2017

ISBN: 9781475585254

Keywords: Financial integration, Volatility Estimation, International Flows, Financial, Estimation, Models with Panel Data, Financial Econometrics, Financial Aspects of Economic Integration, International Business Cycles

Capital flow volatility is a concern for macroeconomic and financial stability. Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data fo...

Asset Booms and Structural Fiscal Positions

Asset Booms and Structural Fiscal Positions »

Source: Asset Booms and Structural Fiscal Positions : The Case of Ireland

Volume/Issue: 2010/57

Series: IMF Working Papers

Author(s): Daniel Kanda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

ISBN: 9781451963687

Keywords: Asset Price Cycle, Property Bubble, expenditure, structural fiscal, fiscal balance, public finances, Estimation, Model Construction and Estimation, National Deficit Surplus, Econometric And Statistical Methods: - General,

Asset booms and sectoral changes can distort traditional estimates of structural fiscal revenue, and could lead to serious fiscal policy errors. This paper extends the estimation of structural revenues to take acco...

Portfolio Credit Risk and Macroeconomic Shocks

Portfolio Credit Risk and Macroeconomic Shocks »

Source: Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments

Volume/Issue: 2006/283

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865431

Keywords: Portfolio credit risk measurement, macroeconomic shock measurement, multivariate density estimation, entropy distribution, credit risk, probability, equation, probabilities, Econometric and Statistical Methods: Other, Model Evaluation and Selection

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified...

Potential Output Growth Estimates for Central America and the Dominican Republic1

Potential Output Growth Estimates for Central America and the Dominican Republic1 »

Source: Potential Output Growth Estimates for Central America and the Dominican Republic

Volume/Issue: 2016/250

Series: IMF Working Papers

Author(s): Roberto Garcia-Saltos , Fan Zhang , and Iulia Ruxandra Teodoru

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2016

ISBN: 9781475563153

Keywords: Potential output, Parameter estimation, Central America, Cross country analysis, Dominican Republic, Economic growth, Productivity, Econometric models, Western Hemisphere, macroeconomic modeling

This paper presents estimates of potential output for all Central American economies. Our findings are that potential output growth has declined in recent years in most economies of Central America. Lower capital a...

Estimating the Demand for Reserve Assets Across Diverse Groups of Countries1

Estimating the Demand for Reserve Assets Across Diverse Groups of Countries1 »

Source: Estimating the Demand for Reserve Assets Across Diverse Groups

Volume/Issue: 2018/47

Series: IMF Working Papers

Author(s): Rina Bhattacharya , Katja Mann , and Mwanza Nkusu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 March 2018

ISBN: 9781484345146

Keywords: Central banks, Demand, Foreign exchange, Econometric models, Financial crises, International reserves, Central banks and their policies, Panel data estimation, Models with Panel Data

This paper takes a fresh look at the determinants of reserves holding with the aim of highlighting similarities and differences in the motives for holding reserves among emerging markets (EMs), advanced economies (...

Avoid Filling Swiss Cheese with Whipped Cream

Avoid Filling Swiss Cheese with Whipped Cream »

Source: Avoid Filling Swiss Cheese with Whipped Cream : Imputation Techniques and Evaluation Procedures for Cross-Country Time Series

Volume/Issue: 2011/151

Series: IMF Working Papers

Author(s): Michael Weber , and Michaela Denk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

ISBN: 9781455270507

Keywords: Missing or incomplete data, imputation quality, statistical matching, time series, missing data, algorithms, statistical methods, cluster analysis, Estimation, Model Evaluation and Selection

International organizations collect data from national authorities to create multivariate cross-sectional time series for their analyses. As data from countries with not yet well-established statistical systems may...

Data Dissemination Standards and the Statistical Quality of the IMF’s World Economic Outlook Forecasts1

Data Dissemination Standards and the Statistical Quality of the IMF’s World Economic Outlook Forecasts1 »

Source: Data Dissemination Standards and the Statistical Quality of the IMF's World Economic Outlook Forecasts

Volume/Issue: 2010/203

Series: IMF Working Papers

Author(s): Mico Mrkaic

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455205349

Keywords: Data quality, data dissemination standards, WEO, inflation, statistics, variance analysis, probability, correlation, Estimation, Methodology for Collecting

This paper analyzes the effects of IMF member countries participation in the IMF's Data Standards Initiatives (DSI) on the statistical quality of WEO forecasts. Results show that WEO forecasts for SDDS subscribers...