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Adding Latin America to the Global Projection Model1

Adding Latin America to the Global Projection Model1 »

Source: Adding Latin America to the Global Projection Model

Volume/Issue: 2009/85

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872323

Keywords: Macroeconomic Modeling, Bayesian Estimation, inflation, equation, forecasting, real interest rate,

This is the fourth of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit to which e...

After the Crisis

After the Crisis »

Source: After the Crisis : Assessing the Damage in Italy

Volume/Issue: 2010/244

Series: IMF Working Papers

Author(s): Silvia Sgherri , and Hanan Morsy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209446

Keywords: productivity growth, output losses, unemployment, total factor productivity, tfp, employment, real gdp, Multiple or Simultaneous Equation Models: Time-Series Models,

Italy's deep-rooted structural problems resulted in an unsatisfactory productivity performance and a dismal growth over the last 15 years. The global financial crisis has exacerbated these long-standing weaknesses,...

Appraising Credit Ratings

Appraising Credit Ratings »

Source: Appraising Credit Ratings : Does the CAP Fit Better than the ROC?

Volume/Issue: 2012/122

Series: IMF Working Papers

Author(s): R. John Irwin , and Timothy Irwin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

ISBN: 9781475503517

Keywords: Receiver Operating Characteristic (ROC), Cumulative Accuracy Profile (CAP)., probability, equation, probabilities, Cumulative Accuracy Profile (cap),

ROC and CAP analysis are alternative methods for evaluating a wide range of diagnostic systems, including assessments of credit risk. ROC analysis is widely used in many fields, but in finance CAP analysis is more...

Are Weak Banks Leading Credit Booms? Evidence from Emerging Europe

Are Weak Banks Leading Credit Booms? Evidence from Emerging Europe »

Source: Are Weak Banks Leading Credit Booms? Evidence from Emerging Europe

Volume/Issue: 2008/219

Series: IMF Working Papers

Author(s): Deniz Igan , and Natalia Tamirisa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

ISBN: 9781451870770

Keywords: boom, bank, soundness, transition, equation, net interest margin, statistics,

This paper examines the behavior of bank soundness indicators during episodes of brisk loan growth, using bank-level data for central and eastern Europe and controlling for the feedback effect of credit growth on b...

Assessing the Variability of Tax Elasticities in Lithuania

Assessing the Variability of Tax Elasticities in Lithuania »

Source: Assessing the Variability of Tax Elasticities in Lithuania

Volume/Issue: 2011/270

Series: IMF Working Papers

Author(s): Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463925222

Keywords: tax revenues, tax compliance, tax system, Multiple or Simultaneous Equation Models: Time-Series Models,

This paper quantifies the variability of tax elasticities in Lithuania using two alternative methods: rolling regressions and pooled mean group estimator. The analysis is motivated by the systematic variation of ta...

An Assessment of Estimates of Term Structure Models for the United States

An Assessment of Estimates of Term Structure Models for the United States »

Source: An Assessment of Estimates of Term Structure Models for the United States

Volume/Issue: 2011/247

Series: IMF Working Papers

Author(s): Carlos Medeiros , and Ying He

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463923266

Keywords: Term structure models, term structure of interest rates, yield curves, yields on U.S. Treasury securities, equation, bond, covariance, bonds, equations, Financial Markets and the Macroeconomy,

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox,...

Asset Prices and Time-Varying Risk

Asset Prices and Time-Varying Risk »

Source: Asset Prices and Time-Varying Risk

Volume/Issue: 1988/42

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 May 1988

ISBN: 9781451975437

Keywords: equation, fiscal reform, government spending, covariance, time series

Observers have often characterized asset markets as being subject to periods of tranquility and periods of turbulence. Until recently, however, researchers were unable to produce closed-form asset pricing formulas...

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....

Asset Securitization and Optimal Retention*

Asset Securitization and Optimal Retention* »

Source: Asset Securitization and Optimal Retention

Volume/Issue: 2010/74

Series: IMF Working Papers

Author(s): John Kiff , and Michael Kisser

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

ISBN: 9781451982176

Keywords: Securitization, screening, probability, probabilities, equation, functional form, Financial Institutions and Services: Other, General Financial Markets: Government Policy and Regulation,

This paper builds on recent research by Fender and Mitchell (2009) who show that if financial institutions securitize loans, retaining an interest in the equity tranche does not always induce the securitizer to dil...

Bank Capital and Uncertainty

Bank Capital and Uncertainty »

Source: Bank Capital and Uncertainty

Volume/Issue: 2010/208

Series: IMF Working Papers

Author(s): Fabian Valencia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455205394

Keywords: Banking Capital, Risk, Uncertainty, bank capital, equation, statistics, independent variables,

An important role for bank capital is that of a buffer against unexpected losses. As uncertainty about these losses increases, the theory predicts an increase in the optimal level of bank capital. This paper invest...