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Global Financial Stability Report, April 2019

Vulnerabilities in a Maturing Credit Cycle

The April 2019 GFSR finds that despite significant variability over the past two quarters, financial conditions remain accommodative.

A Primer on Managing Sovereign Debt-Portfolio Risks

A Primer on Managing Sovereign Debt-Portfolio Risks »

Volume/Issue: 2018/74

Series: IMF Working Papers

Author(s): Thordur Jonasson , and Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 April 2018

DOI: http://dx.doi.org/10.5089/9781484350546.001

ISBN: 9781484350546

Keywords: Public debt management, Financial risk, Foreign Exchange Hedging, Government Securities Markets, General, Portfolio Choice

This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management s...

Curbing Corporate Debt Bias

Curbing Corporate Debt Bias »

Volume/Issue: 2017/22

Series: IMF Working Papers

Author(s): Ruud A. Mooij , and Shafik Hebous

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 January 2017

DOI: http://dx.doi.org/10.5089/9781475573053.001

ISBN: 9781475573053

Keywords: Corporate debt, Debt service ratios, Financial risk, Corporate taxes, Thin capitalization, Risk management, Econometric models, Corporate tax, capital structure, debt bias

Tax provisions favoring corporate debt over equity finance ('debt bias') are widely recognized as a risk to financial stability. This paper explores whether and how thin-capitalization rules, which restrict interes...

Financial and Business Cycles in Brazil

Financial and Business Cycles in Brazil »

Volume/Issue: 2017/12

Series: IMF Working Papers

Author(s): Ivo Krznar , and Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 January 2017

DOI: http://dx.doi.org/10.5089/9781475571042.001

ISBN: 9781475571042

Keywords: Western Hemisphere, Econometric models, Public sector, Private sector, Financial risk, Brazil, Business cycles, Credit expansion, Procyclicality of financial system, Parameter estimation

This paper explores the nexus between the financial cycle and business cycle in Brazil. Cycles are estimated using a variety of commonly-used statistical methods and with a small, semistructural model of the Brazil...

Financial Stability and Interest-Rate Policy
			: A Quantitative Assessment of Costs and Benefits

Financial Stability and Interest-Rate Policy : A Quantitative Assessment of Costs and Benefits »

Volume/Issue: 2016/73

Series: IMF Working Papers

Author(s): Andrea Pescatori , and Stefan Laseen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 March 2016

DOI: http://dx.doi.org/10.5089/9781475522679.001

ISBN: 9781475522679

Keywords: Monetary Policy, Endogenous Financial Risk, Bayesian VAR, Non-Linear Dynamics, Policy Evaluation.

Should monetary policy use its short-term policy rate to stabilize the growth in household credit and housing prices with the aim of promoting financial stability? We ask this question for the case of Canada. We fi...

Ms. Muffet, the Spider(gram) and the Web of Macro-Financial Linkages

Ms. Muffet, the Spider(gram) and the Web of Macro-Financial Linkages »

Volume/Issue: 2014/99

Series: IMF Working Papers

Author(s): Ricardo Cervantes , Phakawa Jeasakul , Joseph Maloney , and Li Lian Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 June 2014

DOI: http://dx.doi.org/10.5089/9781498366397.001

ISBN: 9781498366397

Keywords: Bilateral, Country Financial Stability Map, Global Financial Stability Map, Ms. Muffet, macro-financial risks and conditions, multilateral, financial system, inflation, financial sector, monetary policy

The global financial crisis has underscored the importance of understanding macro-financial developments and spillovers in an increasingly interconnected and intricate system. At the IMF, staff is focusing on the l...

Stressing to Breaking Point
			: Interpreting Stress Test Results

Stressing to Breaking Point : Interpreting Stress Test Results »

Volume/Issue: 2008/148

Series: IMF Working Papers

Author(s): Rupert Worrell

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2008

DOI: http://dx.doi.org/10.5089/9781451870060.001

ISBN: 9781451870060

Keywords: Stress test, financial risk assessment, capital adequacy, capital adequacy ratio, banking, banking system, capital inflow,

This paper illustrates how stress tests of banking systems may be designed to evaluate banks' reaction to shocks of increasing intensity, up to the point where regulatory norms are breached, or banks become insolve...

Systemic Financial Risk in Payment Systems

Systemic Financial Risk in Payment Systems »

Volume/Issue: 1990/65

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 1990

DOI: http://dx.doi.org/10.5089/9781451962437.001

ISBN: 9781451962437

Keywords: payments, credit, payment system, payment systems, banking, Systemic Financial Risk,

Efficient and stable payments systems are of fundamental importance in maintaining an orderly international monetary system. Major disruptions of national and international payments systems would have highly advers...

Systemic Risk
			: A New Trade-off for Monetary Policy?

Systemic Risk : A New Trade-off for Monetary Policy? »

Volume/Issue: 2015/142

Series: IMF Working Papers

Author(s): Stefan Laseen , Andrea Pescatori , and Jarkko Turunen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2015

DOI: http://dx.doi.org/10.5089/9781513579245.001

ISBN: 9781513579245

Keywords: Endogenous Financial Risk, DSGE models, Non-Linear Dynamics, Policy Evaluation, financial sector, welfare, prices, equity,

We introduce time-varying systemic risk in an otherwise standard New-Keynesian model to study whether a simple leaning-against-the-wind policy can reduce systemic risk and improve welfare. We find that an unexpecte...

The Nonlinear Interaction Between Monetary Policy and Financial Stress

The Nonlinear Interaction Between Monetary Policy and Financial Stress »

Volume/Issue: 2017/184

Series: IMF Working Papers

Author(s): Martín Saldías

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 August 2017

DOI: http://dx.doi.org/10.5089/9781484313794.001

ISBN: 9781484313794

Keywords: Financial crisis, Financial risk, Monetary policy, Stress testing, Econometric models, Financial crises, Shock identification, financial stress, Bayesian threshold vector autoregression, Time-Series Models

This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) mo...