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On Fixed and Variable Fiscal Surplus Rules

On Fixed and Variable Fiscal Surplus Rules »

Source: On Fixed and Variable Fiscal Surplus Rules

Volume/Issue: 2004/117

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

ISBN: 9781451854046

Keywords: Debt dynamics, Monte-Carlo simulation, fiscal policy rules, debt ratio, fiscal rules, Simulation Methods,

Fiscal rules are being increasingly used by both emerging and developed economies. This paper analyzes two alternative fiscal policy rules in terms of their impact on debt sustainability: a rule that fixes the rati...

A World Trade Leading Index (WTLI)

A World Trade Leading Index (WTLI) »

Source: A World Trade Leading Index (WTLI)

Volume/Issue: 2015/20

Series: IMF Working Papers

Author(s): Karim Barhoumi , and Laurent Ferrara

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 January 2015

ISBN: 9781498307543

Keywords: factor models., trade, growth rate, variables, Trade Forecasting and Simulation, Forecasting and Simulation,

This paper develops a new monthly World Trade Leading Indicator (WTLI) that relies on nonparametric and parametric approaches. Compared to the CPB World Trade Monitor's benchmark indicator for global trade the WTLI...

Inflation Reports and Models

Inflation Reports and Models »

Source: Inflation Reports and Models : How Well Do Central Banks Really Write?

Volume/Issue: 2014/91

Series: IMF Working Papers

Author(s): Ales Bulir , Jaromír Hurník , and Katerina Smidkova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 May 2014

ISBN: 9781498387613

Keywords: Kalman filter, monetary policy communication, inflation, central bank, aggregate demand, Forecasting and Simulation, Forecasting and Simulation,

We offer a novel methodology for assessing the quality of inflation reports. In contrast to the existing literature, which mostly evaluates the formal quality of these reports, we evaluate their economic content by...

Real Effective Exchange Rate and the Constant Elasticity of Substitution Assumption

Real Effective Exchange Rate and the Constant Elasticity of Substitution Assumption »

Source: Real Effective Exchange Rate and the Constant Elasticity of Substitution Assumption

Volume/Issue: 2000/128

Series: IMF Working Papers

Author(s): Antonio Spilimbergo , and Athanasios Vamvakidis

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2000

ISBN: 9781451855043

Keywords: trade forecasting and simulation, reer, equation, equations, statistics, cointegration

The real effective exchange rate is an aggregation of several bilateral real exchange rates with respect to other countries. The aggregation is usually done under the assumption of constant elasticity of substituti...

Policy Challenges of Population Aging in Ireland

Policy Challenges of Population Aging in Ireland »

Source: Policy Challenges of Population Aging in Ireland

Volume/Issue: 2007/247

Series: IMF Working Papers

Author(s): Dora Iakova , and Dennis Botman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451868104

Keywords: simulation, general equilibrium, pension, pension system, retirement, pensions,

The projected rise in age-related government spending as a share of GDP in Ireland over the next forty years is among the highest in the euro area. In the absence of reforms, public debt will increase to unsustaina...

Assessing Default Risks for Chinese Firms

Assessing Default Risks for Chinese Firms »

Source: Assessing Default Risks for Chinese Firms : A Lost Cause?

Volume/Issue: 2015/140

Series: IMF Working Papers

Author(s): Daniel Law , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 June 2015

ISBN: 9781513597584

Keywords: default probabilities, equity, market, Asset Pricing, Financial Forecasting and Simulation,

Assessing default risks for Chinese firms is hard. Standard measures of risk using market indicators may be unreliable because of implicit guarantees, the large role played by less-informed investors, and other mar...

Stress Testing and Calibration of Macroprudential Policy Tools*

Stress Testing and Calibration of Macroprudential Policy Tools* »

Source: Stress Testing and Calibration of Macroprudential Policy Tools

Volume/Issue: 2020/165

Series: IMF Working Papers

Author(s): Lucyna Gornicka , and Laura Valderrama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 August 2020

ISBN: 9781513554471

Keywords: stress testing, systemic risk, mortgage risk, calibration, simulation, macroprudential policy

We present a semi-structural model of default risk, which is a function of loan and borrower characteristics, economic conditions, and the regulatory environment. We use this model to simulate bank credit losses fo...

Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies

Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies »

Source: Specification of a Stochastic Simulation Model for Assessing Debt Sustainability in Emerging Market Economies

Volume/Issue: 2006/268

Series: IMF Working Papers

Author(s): Philippe Karam , and Douglas Hostland

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865288

Keywords: dynamic analysis, Monte Carlo simulations, inflation, external debt, public debt, debt burden, monetary policy, Simulation Methods, National Deficit Surplus,

This paper documents the specification of a model that was constructed to assess debt sustainability in emerging market economies. Key features of the model include external and fiscal sectors, which allow assessme...

Information Rigidities in Economic Growth Forecasts

Information Rigidities in Economic Growth Forecasts »

Source: Information Rigidities in Economic Growth Forecasts : Evidence from a Large International Panel

Volume/Issue: 2013/56

Series: IMF Working Papers

Author(s): Jonas Dovern , Ulrich Fritsche , Prakash Loungani , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2013

ISBN: 9781475562958

Keywords: forecast, economic, information, emerging economies, real gdp, gdp growth, growth rate, Forecasting and Simulation, Forecasting and Simulation,

We examine the behavior of forecasts for real GDP growth using a large panel of individual forecasts from 30 advanced and emerging economies during 1989-2010. Our main findings are as follows. First, our evidence d...

Do Asset Price Drops Foreshadow Recessions?

Do Asset Price Drops Foreshadow Recessions? »

Source: Do Asset Price Drops Foreshadow Recessions?

Volume/Issue: 2013/203

Series: IMF Working Papers

Author(s): John Bluedorn , Jörg Decressin , and Marco Terrones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 October 2013

ISBN: 9781484353363

Keywords: Macroeconomic forecasting, Uncertainty, Binary dependent variable models, price, prices, market, spread, volatility, Forecasting and Simulation, Financial Forecasting and Simulation,

This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. I...