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Are Immigrant Remittance Flows a Source of Capital for Development?

Are Immigrant Remittance Flows a Source of Capital for Development? »

Source: IMF Staff Papers, Volume 52, No. 1

Volume: 52

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 April 2005

ISBN: 9781589064195

Keywords: recessions, recession, asian crisis, probability, probabilities, Capital Stock, Convergence (economics), Correlation (statistics), Decomposition Method, Economic Development. Econometric Models

This first issue of IMF Staff Papers for 2005 contains 7 papers that discuss: whether output recovered after the Asian crisis; the value of a country's trading partners to its own economic growth; whether interdepe...

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...

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...

Did Output Recover from the Asian Crisis?

Did Output Recover from the Asian Crisis? »

Source: IMF Staff Papers, Volume 52, No. 1

Volume: 52

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 April 2005

ISBN: 9781589064195

Keywords: recessions, recession, asian crisis, probability, probabilities, Capital Stock, Convergence (economics), Correlation (statistics), Decomposition Method, Economic Development. Econometric Models

This first issue of IMF Staff Papers for 2005 contains 7 papers that discuss: whether output recovered after the Asian crisis; the value of a country's trading partners to its own economic growth; whether interdepe...

Estimating a Structural Model of Herd Behavior in Financial Markets

Estimating a Structural Model of Herd Behavior in Financial Markets »

Source: Estimating a Structural Model of Herd Behavior in Financial Markets

Volume/Issue: 2010/288

Series: IMF Working Papers

Author(s): Antonio Guarino , and Marco Cipriani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455211692

Keywords: Herd Behavior, Market Microstructure, Structural Estimation, probability, financial markets, probabilities, standard deviation, financial economics, Asymmetric and Private Information, Estimation,

We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the mode...

External Linkages and Contagion Risk in Irish Banks

External Linkages and Contagion Risk in Irish Banks »

Source: External Linkages and Contagion Risk in Irish Banks

Volume/Issue: 2007/44

Series: IMF Working Papers

Author(s): Srobona Mitra , and Elena Duggar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2007

ISBN: 9781451866087

Keywords: Contagion risk, Distance to default, contagion, systemic risk, banking system, interbank market, Model Construction and Estimation,

The large and growing international linkages of big Irish banks expose them to idiosyncratic shocks arising in other countries. We analyze international interdependencies of Irish banks-during both normal times and...

Financial Development, Financial Fragility, and Growth

Financial Development, Financial Fragility, and Growth »

Source: Financial Development, Financial Fragility, and Growth

Volume/Issue: 2005/170

Series: IMF Working Papers

Author(s): Norman Loayza , and Romain Ranciere

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

ISBN: 9781451861891

Keywords: Growth empirics, pooled mean group estimation, financial volatility, financial intermediation, financial liberalization, banking crises, financial fragility, Macroeconomic Analyses of Economic Development,

This paper studies the apparent contradictions between two strands of the literature on the effects of financial intermediation on economic activity. On the one hand, the empirical growth literature finds a positiv...

Financial Frictions and Sources of Business Cycle

Financial Frictions and Sources of Business Cycle »

Source: Financial Frictions and Sources of Business Cycle

Volume/Issue: 2014/194

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2014

ISBN: 9781498347792

Keywords: DSGE, Bayesian Estimation, Financial Frictions, Sources of Business Cycle, business cycle, business cycle fluctuations, Bayesian Analysis, Financial Markets and the Macroeconomy, Forecasting and Simulation, Monetary Policy (Targets

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture th...