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Price Expectations and the U.S. Housing Boom

Price Expectations and the U.S. Housing Boom »

Source: Price Expectations and the U.S. Housing Boom

Volume/Issue: 2015/182

Series: IMF Working Papers

Author(s): Pascal Towbin , and Sebastian Weber

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 July 2015

ISBN: 9781513596235

Keywords: Housing Market, House Price Expectations, Speculation, Housing Boom, VAR

Between 1996 and 2006 the U.S. has experienced an unprecedented boom in house prices. As it has proven to be difficult to explain the large price increase by observable fundamentals, many observers have emphasized...

Modelling the Yield Curve

Modelling the Yield Curve »

Source: Modelling the Yield Curve

Volume/Issue: 1991/134

Series: IMF Working Papers

Author(s): Mark Taylor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

ISBN: 9781451931457

Keywords: interest rates, term structure, expectations, risk, market segmentation, bond, heteroscedasticity, equation, bonds, statistics

We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure e...

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices »

Source: A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

Volume/Issue: 2010/181

Series: IMF Working Papers

Author(s): Kevin Cheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455202157

Keywords: Implied risk-neutral density functions, market expectations, probability, kurtosis, equation, probability density, standard deviation, Estimation,

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset...

IMF Governance Reform

IMF Governance Reform »

Source: IMF Governance Reform

Volume/Issue: 2010/069

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 August 2010

ISBN: 9781498337137

Keywords: Board of Governors, Elected Executive Directors, Executive Board composition, Executive Board size, Fund, Governance, International Monetary and Financial Committee, Quotas, Staff recruitment, Budgeting

This paper reviews progress under the Fund's strengthened cooperative strategy on overdue financial obligations. Since the last review, total arrears to the Fund declined by SDR 17.5 million to SDR 1,309.5 million....

Enhanced Heavily Indebted Poor Countries (HIPC) Initiative - Creditor Participation Issues

Enhanced Heavily Indebted Poor Countries (HIPC) Initiative - Creditor Participation Issues »

Source: Enhanced Heavily Indebted Poor Countries (HIPC) Initiative - Creditor Participation Issues

Volume/Issue: 2003/036

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 August 2003

ISBN: 9781498329521

Keywords: HIPC Initiative, Agricultural development, Assets, Banks, Central banking, Central banks, Commercial credit, Credit, Debt, Debt financing

...

Price Expectations and the U.S. Housing Boom

Price Expectations and the U.S. Housing Boom »

Volume/Issue: 2015/182

Series: IMF Working Papers

Author(s): Pascal Towbin , and Sebastian Weber

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 July 2015

DOI: http://dx.doi.org/10.5089/9781513596235.001

ISBN: 9781513596235

Keywords: Housing Market, House Price Expectations, Speculation, Housing Boom, VAR

Between 1996 and 2006 the U.S. has experienced an unprecedented boom in house prices. As it has proven to be difficult to explain the large price increase by observable fundamentals, many observers have emphasized...

Modelling the Yield Curve

Modelling the Yield Curve »

Volume/Issue: 1991/134

Series: IMF Working Papers

Author(s): Mark Taylor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

DOI: http://dx.doi.org/10.5089/9781451931457.001

ISBN: 9781451931457

Keywords: interest rates, term structure, expectations, risk, market segmentation, bond, heteroscedasticity, equation, bonds, statistics

We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure e...

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices

A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices »

Volume/Issue: 2010/181

Series: IMF Working Papers

Author(s): Kevin Cheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

DOI: http://dx.doi.org/10.5089/9781455202157.001

ISBN: 9781455202157

Keywords: Implied risk-neutral density functions, market expectations, probability, kurtosis, equation, probability density, standard deviation, Estimation,

Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset...

IMF Governance Reform

IMF Governance Reform »

Volume/Issue: 2010/069

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 August 2010

DOI: http://dx.doi.org/10.5089/9781498337137.007

ISBN: 9781498337137

Keywords: Board of Governors, Elected Executive Directors, Executive Board composition, Executive Board size, Fund, Governance, International Monetary and Financial Committee, Quotas, Staff recruitment, Budgeting

This paper reviews progress under the Fund's strengthened cooperative strategy on overdue financial obligations. Since the last review, total arrears to the Fund declined by SDR 17.5 million to SDR 1,309.5 million....

Enhanced Heavily Indebted Poor Countries (HIPC) Initiative - Creditor Participation Issues

Enhanced Heavily Indebted Poor Countries (HIPC) Initiative - Creditor Participation Issues »

Volume/Issue: 2003/036

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 August 2003

DOI: http://dx.doi.org/10.5089/9781498329521.007

ISBN: 9781498329521

Keywords: HIPC Initiative, Agricultural development, Assets, Banks, Central banking, Central banks, Commercial credit, Credit, Debt, Debt financing

...