Volume/Issue: 2009/178
Series: IMF Working Papers
Author(s):
Prakash Kannan
, and
Selim Elekdag
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
August
2009
ISBN: 9781451873252
This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the...
Volume/Issue: 1998/29
Series: IMF Working Papers
Author(s):
Jenny Lye
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
March
1998
ISBN: 9781451844771
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptoku...
Volume/Issue: 2002/62
Series: IMF Working Papers
Author(s):
Robert Flood
, and
Nancy Marion
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
April
2002
ISBN: 9781451848298
Why do countries hold so much international reserves? Global reserve holdings (excluding gold) were equivalent to 17 weeks of imports at the end of 1999. That is almost double what they were at the end of 1960 and...
Volume/Issue: 2010/39
Series: IMF Working Papers
Author(s):
Masahiro Nozaki
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
February
2010
ISBN: 9781451962864
The answer seems affirmative. We compare currency carry trades with an investment strategy based on currency fundamentals: taking a long (short) position in undervalued (overvalued) currencies. Carry trades have hi...
Volume/Issue: 2011/64
Series: IMF Working Papers
Author(s):
Norbert Funke
,
Weifeng Wu
, and
Yanliang Miao
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
March
2011
ISBN: 9781455228065
We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating...
Volume/Issue: 2008/133
Series: IMF Working Papers
Author(s):
Noureddine Krichene
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
May
2008
ISBN: 9781451869927
Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward c...
Volume/Issue: 2006/299
Series: IMF Working Papers
Author(s):
Noureddine Krichene
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
December
2006
ISBN: 9781451865592
Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-...
Volume/Issue: 2020/64
Series: IMF Working Papers
Author(s):
Michal Andrle
, and
Benjamin Hunt
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
22
May
2020
ISBN: 9781513536460
This paper outlines an approach to assess uncertainty around a forecast baseline as well as the impact of alternative policy rules on macro variability. The approach allows for non-Gaussian shock distributions and...
Volume/Issue: 2009/178
Series: IMF Working Papers
Author(s):
Prakash Kannan
, and
Selim Elekdag
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
August
2009
DOI: http://dx.doi.org/10.5089/9781451873252.001
ISBN: 9781451873252
This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the...
Volume/Issue: 1998/29
Series: IMF Working Papers
Author(s):
Jenny Lye
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
March
1998
DOI: http://dx.doi.org/10.5089/9781451844771.001
ISBN: 9781451844771
This paper builds on the ARCH approach for modeling distributions with time-varying conditional variance by using the generalized Student t distribution. The distribution offers flexibility in modeling both leptoku...