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Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide

Systemic Risk Monitoring ("SysMo") Toolkit—A User Guide »

Source: Systemic Risk Monitoring ("SysMo") Toolkit-A User Guide

Volume/Issue: 2013/168

Series: IMF Working Papers

Author(s): Nicolas Blancher , Srobona Mitra , Hanan Morsy , Akira Otani , Tiago Severo , and Laura Valderrama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 July 2013

ISBN: 9781484383438

Keywords: Sytemic Risk, Risk Indicators, Risk Monitoring, banking, banking sector, banking system, sovereign risk, banking crisis, Other, Model Construction and Estimation,

There has recently been a proliferation of new quantitative tools as part of various initiatives to improve the monitoring of systemic risk. The "SysMo" project takes stock of the current toolkit used at the IMF fo...

The Transmission Mechanism of European Monetary Policy

The Transmission Mechanism of European Monetary Policy »

Source: The Transmission Mechanism of European Monetary Policy : Is There Heterogeneity? Is it Changing over Time?

Volume/Issue: 2002/54

Series: IMF Working Papers

Author(s): Matteo Ciccarelli , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2002

ISBN: 9781451847529

Keywords: Bayesian estimation, European monetary policy, Gibbs sampling, Heterogeneity, Transmission mechanism, inflation, central bank, monetary transmission, Multiple or Simultaneous Equation Models: Models with Panel Data, Bayesian Analysis

This paper investigates the transmission mechanism of monetary policy in the four largest euro area countries by means Bayesian estimation of dynamic econometric models. Based on pre-EMU evidence from Germany, Fran...

Transmission of Financial Stress in Europe

Transmission of Financial Stress in Europe »

Source: Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece

Volume/Issue: 2014/76

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 May 2014

ISBN: 9781484368190

Keywords: Volatility, Contagion, Credit Default Swaps, financial crisis, financial markets, Time-Series Models, Model Construction and Estimation, Financial Markets and the Macroeconomy, Asset Pricing,

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyse...

An Unbiased Appraisal of Purchasing Power Parity

An Unbiased Appraisal of Purchasing Power Parity »

Source: An Unbiased Appraisal of Purchasing Power Parity

Volume/Issue: 2001/196

Series: IMF Working Papers

Author(s): C. McDermott , and Paul Cashin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

ISBN: 9781451859966

Keywords: Median-unbiased estimation, shock persistence, exchange rate, exchange rates, confidence intervals, confidence interval, real exchange rates,

Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However,...

Understanding Countries’ Tax Effort

Understanding Countries’ Tax Effort »

Source: Understanding Countries' Tax Effort

Volume/Issue: 2013/244

Series: IMF Working Papers

Author(s): Ricardo Fenochietto , and Carola Pessino

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 December 2013

ISBN: 9781484301272

Keywords: tax effort, tax frontier, tax capacity, stochastic tax frontier, inefficiency, tax revenues, tax analysis, determinants of tax revenue, tax system, Models with Panel Data

This paper presents a model to determine the tax effort and tax capacity of 113 countries and the main variables on which they depend. The results and the model allow a clear determination of which countries are ne...

Valuation of Unlisted Direct Investment Equity

Valuation of Unlisted Direct Investment Equity »

Source: Valuation of Unlisted Direct Investment Equity

Volume/Issue: 2009/242

Series: IMF Working Papers

Author(s): Thomas Elkjaer , Jannick Damgaard , and Emmanuel Kumah

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2009

ISBN: 9781451873894

Keywords: Valuation methods, FDI, macroeconomic statistical methodology, estimation techniques, direct investment, independent variables, investors, statistics, central tendency, Methodology for Collecting

This paper analyzes the seven valuation methods for unlisted direct investment equity included in the recently adopted IMF Balance of Payments and International Investment Position Manual, Sixth Edition (BPM6). Bas...