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Asset Prices in Affine Real Business Cycle Models*

Asset Prices in Affine Real Business Cycle Models* »

Source: Asset Prices in Affine Real Business Cycle Models

Volume/Issue: 2010/249

Series: IMF Working Papers

Author(s): Maral Shamloo , and Aytek Malkhozov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209491

Keywords: Stochastic Volatility, Perturbation Methods, perturbation, consumption growth, equation, equations, calibration, Computational Techniques, Computable General Equilibrium Models, Prices

We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility....

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices »

Source: Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Volume/Issue: 2004/196

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2004

ISBN: 9781451859997

Keywords: Finite difference, Implied risk-neutral distribution, Inverse problem, Market expectations, Option prices, Smile, State prices, Volatility, equation, probability

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dol...

The Design of Fiscal Adjustment Strategies in Botswana, Lesotho, Namibia, and Swaziland

The Design of Fiscal Adjustment Strategies in Botswana, Lesotho, Namibia, and Swaziland »

Source: The Design of Fiscal Adjustment Strategies in Botswana, Lesotho, Namibia, and Swaziland

Volume/Issue: 2011/266

Series: IMF Working Papers

Author(s): Luis-Felipe Zanna , Olivier Basdevant , Susan Yang , Genevieve Verdier , Joannes Mongardini , Borislava Mircheva , and Dalmacio Benicio

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463924652

Keywords: fiscal multipliers, SACU transfers, fiscal consolidation, consumption tax, government spending, fiscal consolidations, consumption tax rate, Computational Techniques, National Budget, Deficit

Botswana, Lesotho, Namibia, and Swaziland face the serious challenge of adjusting not only to lower Southern Africa Customs Union (SACU) transfers because of the global economic crisis, but also to a potential furt...

An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia

An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia »

Source: An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia

Volume/Issue: 2016/22

Series: IMF Working Papers

Author(s): Ken Miyajima

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 February 2016

ISBN: 9781498330329

Keywords: Macro-financial linkages, nonperforming loans, panel vector autoregression, interest, oil prices, revenues, loans, Computational Techniques, Financial Markets and the Macroeconomy, Government Policy and Regulation,

Oil-macro-financial linkages in Saudi Arabia are analyzed by applying panel econometric frameworks (multivariate and vector autoregression) to maceoeconomic and bank-level balance sheet data for 9 banks spanning 19...

Exploration of the Brazilian Term Structure in a Hidden Markov Framework

Exploration of the Brazilian Term Structure in a Hidden Markov Framework »

Source: Exploration of the Brazilian Term Structure in a Hidden Markov Framework

Volume/Issue: 2011/22

Series: IMF Working Papers

Author(s): Richard Munclinger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2011

ISBN: 9781455211937

Keywords: Term Structure, Hidden Markov Models, MCMC, ATSM, parameters, probability, forecasting, covariance, statistics, Bayesian Analysis

We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics...

An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia

An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia »

Volume/Issue: 2016/22

Series: IMF Working Papers

Author(s): Ken Miyajima

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 February 2016

DOI: http://dx.doi.org/10.5089/9781498330329.001

ISBN: 9781498330329

Keywords: Macro-financial linkages, nonperforming loans, panel vector autoregression, interest, oil prices, revenues, loans, Computational Techniques, Financial Markets and the Macroeconomy, Government Policy and Regulation,

Oil-macro-financial linkages in Saudi Arabia are analyzed by applying panel econometric frameworks (multivariate and vector autoregression) to maceoeconomic and bank-level balance sheet data for 9 banks spanning 19...

Asset Prices in Affine Real Business Cycle Models

Asset Prices in Affine Real Business Cycle Models »

Volume/Issue: 2010/249

Series: IMF Working Papers

Author(s): Maral Shamloo , and Aytek Malkhozov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

DOI: http://dx.doi.org/10.5089/9781455209491.001

ISBN: 9781455209491

Keywords: Stochastic Volatility, Perturbation Methods, perturbation, consumption growth, equation, equations, calibration, Computational Techniques, Computable General Equilibrium Models, Prices

We develop a tractable way to solve for equilibrium quantities and asset prices in a class of real business cycle models featuring Epstein-Zin preferences and affine dynamics for productivity growth and volatility....

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices

Deriving Market Expectations for the Euro-Dollar Exchange Rate from Option Prices »

Volume/Issue: 2004/196

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2004

DOI: http://dx.doi.org/10.5089/9781451859997.001

ISBN: 9781451859997

Keywords: Finite difference, Implied risk-neutral distribution, Inverse problem, Market expectations, Option prices, Smile, State prices, Volatility, equation, probability

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dol...

Exploration of the Brazilian Term Structure in a Hidden Markov Framework

Exploration of the Brazilian Term Structure in a Hidden Markov Framework »

Volume/Issue: 2011/22

Series: IMF Working Papers

Author(s): Richard Munclinger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2011

DOI: http://dx.doi.org/10.5089/9781455211937.001

ISBN: 9781455211937

Keywords: Term Structure, Hidden Markov Models, MCMC, ATSM, parameters, probability, forecasting, covariance, statistics, Bayesian Analysis

We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics...

Macro-Financial Linkages in Egypt
			: A Panel Analysis of Economic Shocks and Loan Portfolio Quality

Macro-Financial Linkages in Egypt : A Panel Analysis of Economic Shocks and Loan Portfolio Quality »

Volume/Issue: 2013/271

Series: IMF Working Papers

Author(s): Inessa Love , and Rima Turk Ariss

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 December 2013

DOI: http://dx.doi.org/10.5089/9781484338315.001

ISBN: 9781484338315

Keywords: Macroeconomic Shocks, Loan Quality, Panel Vector Autoregression, banking, loan portfolio quality, banking sector, banks ’; loan, banks ’; balance sheets, Computational Techniques, Financial Markets and the Macroeconomy

This paper investigates macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework...