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Closing Gender Gaps in India: Does Increasing Womens' Access to Finance Help?

Closing Gender Gaps in India: Does Increasing Womens' Access to Finance Help? »

Source: Closing Gender Gaps in India: Does Increasing Womens' Access to Finance Help?

Volume/Issue: 2018/212

Series: IMF Working Papers

Author(s): Purva Khera

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 September 2018

ISBN: 9781484377468

Keywords: gender inequality, informality, DSGE, Indian economy, Bayesian estimation

Gender gaps in womens' economic opportunities-labor market and entrepreneurship-have remained high in India. Lack of adequate collateral limits women entrepreneurs' ability to access formal finance, leaving them to...

Common and Idiosyncratic Components in Real Output

Common and Idiosyncratic Components in Real Output »

Source: Common and Idiosyncratic Components in Real Output : Further International Evidence

Volume/Issue: 2002/229

Series: IMF Working Papers

Author(s): Francisco Nadal De Simone

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

ISBN: 9781451875485

Keywords: common, European and idiosyncratic components, state-space Models, statistics, correlation, time series, statistic, Model Construction and Estimation, International Policy Coordination and Transmission,

This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, t...

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Contagion Risk in the International Banking System and Implications for London As a Global Financial Center »

Source: Contagion Risk in the International Banking System and Implications for London As a Global Financial Center

Volume/Issue: 2007/74

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , Srobona Mitra , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2007

ISBN: 9781451866384

Keywords: co-exceedance, contagion risk, distance-to-default, extreme value theory, LOGIT, foreign banks, financial institutions, stock market, financial system, financial markets

In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. ba...

Corporate Bond Risk and Real Activity

Corporate Bond Risk and Real Activity »

Source: Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components

Volume/Issue: 2001/158

Series: IMF Working Papers

Author(s): Iryna Ivaschenko , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451857580

Keywords: Investment grade bonds, corporate spreads, business cycle, GMM estimation, systematic risk, principal components analysis, regime-switching, Markov process, bonds, bond

This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the futur...

The Corporate Spread Curve and Industrial Production in the United States

The Corporate Spread Curve and Industrial Production in the United States »

Source: The Corporate Spread Curve and Industrial Production in the United States

Volume/Issue: 2002/8

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2002

ISBN: 9781451842524

Keywords: Investment grade bonds, corporate spreads, term structure, real activity, GMM estimation, bonds, bond, random walk, corporate bond, Prices

The term structure of domestic investment grade bond spreads - or corporate spread curve - contains useful information to predict future changes in industrial production, beyond the information already contained in...

Credit Flows, Fiscal Policy, and the External Deficit of Bosnia and Herzegovina

Credit Flows, Fiscal Policy, and the External Deficit of Bosnia and Herzegovina »

Source: Credit Flows, Fiscal Policy, and the External Deficit of Bosnia and Herzegovina

Volume/Issue: 2006/276

Series: IMF Working Papers

Author(s): Daniel Kanda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865363

Keywords: Fiscal, monetary, trade balance, fiscal expenditure, fiscal tightening, disposable income, fiscal consolidation, Estimation, Model Construction and Estimation, General Aggregative Models: Forecasting and Simulation

This paper develops and estimates a model of the trade balance of Bosnia and Herzegovina. Credit flows and the fiscal stance are found to play a significant role in determining the trade balance. On this basis the...

Credit Growth and Economic Recovery in Europe After the Global Financial Crisis

Credit Growth and Economic Recovery in Europe After the Global Financial Crisis »

Source: Credit Growth and Economic Recovery in Europe After the Global Financial Crisis

Volume/Issue: 2017/256

Series: IMF Working Papers

Author(s): Sergei Antoshin , Marco Arena , Nikolay Gueorguiev , Tonny Lybek , John Ralyea , and Etienne Yehoue

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 November 2017

ISBN: 9781484329610

Keywords: Financial crises, Europe, Economic recovery, credit growth, creditless recoveries, bank profitability, global financial crisis, Models with Panel Data, Single Equation Models, Single Variables

This paper reviews the empirical relationships between credit growth, economic recovery, and bank profitability in Europe after the global financial crisis (GFC). We find that the post-GFC recoveries in Europe have...

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...

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...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Source: Data-Rich DSGE and Dynamic Factor Models

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...