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Incorporating Market Information into the Construction of the Fan Chart

Incorporating Market Information into the Construction of the Fan Chart »

Article

Source: Incorporating Market Information into the Construction of the Fan Chart

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

Keywords: Fan Chart, Balance of Risks, Option Prices, Consensus Forecasts, risk factors, survey, skewness, normal distribution, equation,

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...

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates »

Article

Source: Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

Volume/Issue: 1998/29

Series: IMF Working Papers

Author(s): Jenny Lye

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1998

ISBN: 9781451844771

Keywords: ARCH, Generalized Student t Distributions, Modeling Variance, Exchange Rates, exchange rate, skewness, normal distribution, statistics

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...

Holding International Reserves in an Era of High Capital Mobility

Holding International Reserves in an Era of High Capital Mobility »

Article

Source: Holding International Reserves in an Era of High Capital Mobility

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

Keywords: International reserves, Reserves, capital mobility, reserve holdings, equation, skewness, central bank, statistics

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...

Do Currency Fundamentals Matter for Currency Speculators?

Do Currency Fundamentals Matter for Currency Speculators? »

Article

Source: Do Currency Fundamentals Matter for Currency Speculators?

Volume/Issue: 2010/39

Series: IMF Working Papers

Author(s): Masahiro Nozaki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451962864

Keywords: currency speculation, carry trades, currency fundamentals, exchange rate, skewness, real effective exchange rate, effective exchange rate, exchange rates,

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...

Reviving the Competitive Storage Model

Reviving the Competitive Storage Model »

Article

Source: Reviving the Competitive Storage Model : A Holistic Approach to Food Commodity Prices

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

Keywords: Food commodity prices, Competitive storage model, Rational expectation equilibrium, real interest rate, price elasticity, kurtosis, skewness, real interest rates, Computational Techniques,

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...

Crude Oil Prices

Crude Oil Prices »

Article

Source: Crude Oil Prices : Trends and Forecast

Volume/Issue: 2008/133

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2008

ISBN: 9781451869927

Keywords: Characteristic function, crude oil prices, density forecast, Esscher transform, Fourier transform, inverse problem, normal inverse Gaussian, option prices., oil prices, probability

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...

Recent Dynamics of Crude Oil Prices

Recent Dynamics of Crude Oil Prices »

Article

Source: Recent Dynamics of Crude Oil Prices

Volume/Issue: 2006/299

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865592

Keywords: Characteristic function, cumulants, drift, Fourier inversion, jump-diffusion, kurtosis, skewness, variance-gamma distribution, volatility, oil markets

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-...

Model-Based Globally-Consistent Risk Assessment1

Model-Based Globally-Consistent Risk Assessment1 »

Article

Source: Model-Based Globally-Consistent Risk Assessment

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

Keywords: Economic models, Economic policy, Business cycles, Monetary policy, Fiscal policy, DSGE models, predictive density, nonlinear, non-Gaussian, skew

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...

Incorporating Market Information into the Construction of the Fan Chart

Incorporating Market Information into the Construction of the Fan Chart »

Journal Issue

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

Keywords: Fan Chart, Balance of Risks, Option Prices, Consensus Forecasts, risk factors, survey, skewness, normal distribution, equation,

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...

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates

Parametric Distributional Flexibility and Conditional Variance Models with an Application to Hourly Exchange Rates »

Journal Issue

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

Keywords: ARCH, Generalized Student t Distributions, Modeling Variance, Exchange Rates, exchange rate, skewness, normal distribution, statistics

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...