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Institutionalizing Countercyclical Investment

Institutionalizing Countercyclical Investment »

Volume/Issue: 2016/38

Series: IMF Working Papers

Author(s): Bradley Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 February 2016

DOI: http://dx.doi.org/10.5089/9781513512495.001

ISBN: 9781513512495

Keywords: Asset Allocation, Asset Owners, Momentum, Risk Management, asset, investment, risk, returns, Asset Pricing, Government Policy and Regulation

Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations? And if countercyclical investment (with both market-stabilizing and return-generati...

The Great Cross-Border Bank Deleveraging
			: Supply Constraints and Intra-Group Frictions

The Great Cross-Border Bank Deleveraging : Supply Constraints and Intra-Group Frictions »

Volume/Issue: 2014/180

Series: IMF Working Papers

Author(s): Eugenio Cerutti , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 September 2014

DOI: http://dx.doi.org/10.5089/9781498354783.001

ISBN: 9781498354783

Keywords: Global banks, Credit supply, Deleveraging, banking, banking system, systemic crisis, Financial Markets and the Macroeconomy, Financial Aspects of Economic Integration,

International banks greatly reduced their direct cross-border and local affiliates' lending as the global financial crisis strained balance sheets, lowered borrower demand, and changed government policies. Using bi...

Survey of Reserve Managers
			: Lessons from the Crisis

Survey of Reserve Managers : Lessons from the Crisis »

Volume/Issue: 2013/99

Series: IMF Working Papers

Author(s): Aideen Morahan , and Christian Mulder

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 May 2013

DOI: http://dx.doi.org/10.5089/9781484308486.001

ISBN: 9781484308486

Keywords: Foreign Currency Reserves, reserve managers, central banks, currency composition, reserve management, central bank,

This paper reports in detail on a survey that was circulated to reserve managing central banks of IMF member countries in April 2012. The survey aims to gain further insight into how reserve managers have reacted t...

Tax Composition and Growth
			: A Broad Cross-Country Perspective

Tax Composition and Growth : A Broad Cross-Country Perspective »

Volume/Issue: 2012/257

Series: IMF Working Papers

Author(s): Santiago Acosta Ormaechea , and Jiae Yoo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 October 2012

DOI: http://dx.doi.org/10.5089/9781616355678.001

ISBN: 9781616355678

Keywords: Tax composition, growth, income taxes, property taxes, tax revenue, tax structure, consumption taxes,

We investigate the relation between changes in tax composition and long-run economic growth using a new dataset covering a broad cross-section of countries with different income levels. We specifically consider 69...

Effects of Culture on Firm Risk-Taking
			: A Cross-Country and Cross-Industry Analysis

Effects of Culture on Firm Risk-Taking : A Cross-Country and Cross-Industry Analysis »

Volume/Issue: 2012/210

Series: IMF Working Papers

Author(s): Roxana Mihet

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

DOI: http://dx.doi.org/10.5089/9781475505603.001

ISBN: 9781475505603

Keywords: National culture, corporate risk-taking, industry opacity, risk-taking, shareholders, shareholder, shareholders ? rights, Firm Objectives, Organization, and Behavior: General

This paper investigates the effects of national culture on firm risk-taking, using a comprehensive dataset covering 50,000 firms in 400 industries in 51 countries. Risk-taking is found to be higher for domestic fir...

Predicting Recessions
			: A New Approach for Identifying Leading Indicators and Forecast Combinations

Predicting Recessions : A New Approach for Identifying Leading Indicators and Forecast Combinations »

Volume/Issue: 2011/235

Series: IMF Working Papers

Author(s): Turgut Kisinbay , and Chikako Baba

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

DOI: http://dx.doi.org/10.5089/9781463922016.001

ISBN: 9781463922016

Keywords: forecast encompassing, forecast combination, forecasting, recessions, probability, significance level, significance levels, Multiple or Simultaneous Equation Models: General, Multiple or Simultaneous Equation Models: Time-Series Models, Model Evaluation and Selection

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast...

Data-Rich DSGE and Dynamic Factor Models

Data-Rich DSGE and Dynamic Factor Models »

Volume/Issue: 2011/216

Series: IMF Working Papers

Author(s): Maxym Kryshko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

DOI: http://dx.doi.org/10.5089/9781463903497.001

ISBN: 9781463903497

Keywords: Data-rich DSGE models, dynamic factor models, Bayesian estimation, inflation, monetary policy, real output, monetary base, monetary economics, Bayesian Analysis, Multiple or Simultaneous Equation Models: Time-Series Models

Dynamic factor models and dynamic stochastic general equilibrium (DSGE) models are widely used for empirical research in macroeconomics. The empirical factor literature argues that the co-movement of large panels o...

Jointly Optimal Monetary and Fiscal Policy Rules under Borrowing Constraints

Jointly Optimal Monetary and Fiscal Policy Rules under Borrowing Constraints »

Volume/Issue: 2009/286

Series: IMF Working Papers

Author(s): Michael Kumhof , and Huixin Bi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

DOI: http://dx.doi.org/10.5089/9781451874310.001

ISBN: 9781451874310

Keywords: Optimal simple rules, monetary policy rules, fiscal policy rules, welfare analysis, borrowing constraints, tax revenue, inflation, government spending,

We study the welfare properties of an economy where both monetary and fiscal policy follow simple rules, and where a subset of agents is borrowing constrained. The optimized fiscal rule is far more aggressive than...

The Inflation-Unemployment Trade-off at Low Inflation

The Inflation-Unemployment Trade-off at Low Inflation »

Volume/Issue: 2009/34

Series: IMF Working Papers

Author(s): Luca Ricci , and Pierpaolo Benigno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

DOI: http://dx.doi.org/10.5089/9781451871814.001

ISBN: 9781451871814

Keywords: Phillips curve, downward nominal rigidities, wage, wage inflation, wages, low inflation,

Wage setters take into account the future consequences of their current wage choices in the presence of downward nominal wage rigidities. Several interesting implications arise. First, a closed-form solution for a...

The Use of Encompassing Tests for Forecast Combinations

The Use of Encompassing Tests for Forecast Combinations »

Volume/Issue: 2007/264

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

DOI: http://dx.doi.org/10.5089/9781451868272.001

ISBN: 9781451868272

Keywords: forecast combination, forecast encompassing, thick-modeling, forecasting, significance level, time series, significance levels, econometrics,

The paper proposes an algorithm that uses forecast encompassing tests for combining forecasts. The algorithm excludes a forecast from the combination if it is encompassed by another forecast. To assess the usefulne...

A Framework for the Surveillance of Derivatives Activities

A Framework for the Surveillance of Derivatives Activities »

Volume/Issue: 2005/61

Series: IMF Working Papers

Author(s): Eva Gutierrez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

DOI: http://dx.doi.org/10.5089/9781451860801.001

ISBN: 9781451860801

Keywords: Derivatives, derivative, credit risk, credit derivatives, financial institutions, risk management, General Financial Markets: Other, Financial Institutions and Services: General,

This paper proposes a framework for the surveillance of financial institutions' derivatives activities. The designed framework builds on information likely to be collected by financial market regulators for supervi...

Can Debt Crises Be Self-Fulfilling?

Can Debt Crises Be Self-Fulfilling? »

Volume/Issue: 2004/99

Series: IMF Working Papers

Author(s): Marcos Chamon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2004

DOI: http://dx.doi.org/10.5089/9781451852301.001

ISBN: 9781451852301

Keywords: Debt crises, multiple equilibria, financial innovation, investors, short-term debt, sovereign debt, public debt, Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook: General

Several papers argue that debt crises can be the result of self-fulfilling expectations that no one will lend to a country. I show this type of coordination failure can be eliminated by a combination of state-conti...

Country and Industry Dynamics in Stock Returns

Country and Industry Dynamics in Stock Returns »

Volume/Issue: 2003/52

Series: IMF Working Papers

Author(s): Luis Catão , and Allan Timmermann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

DOI: http://dx.doi.org/10.5089/9781451847277.001

ISBN: 9781451847277

Keywords: Diversification, Risk, Volatility States, Regime Switching, correlations, probabilities, stock returns, covariances, correlation, Bayesian Analysis

A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure thes...

Implementation of Monetary Policy and the Central Bank's Balance Sheet

Implementation of Monetary Policy and the Central Bank's Balance Sheet »

Volume/Issue: 2001/149

Series: IMF Working Papers

Author(s): Andrea Schaechter

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

DOI: http://dx.doi.org/10.5089/9781451856897.001

ISBN: 9781451856897

Keywords: central bank, monetary base, inflation, foreign exchange

This paper discusses how the choice of central banks' operating targets influences the use of their monetary policy instruments and how the latter affect the central bank's balance sheet. This is of particular inte...

Côte d'Ivoire
			: Selected Issues and Statistical Appendix

Côte d'Ivoire : Selected Issues and Statistical Appendix »

Volume/Issue: 1998/46

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 June 1998

DOI: http://dx.doi.org/10.5089/9781451807837.002

ISBN: 9781451807837

Keywords: export tax, debt service, export price, producer prices, public debt

This Selected Issues paper and Statistical Appendix examines performance of Cote d'lvoire under the 1994-96 programs. The paper highlights that the government's medium-term adjustment strategy for 1994-96, which wa...

The Payment System and Monetary Policy

The Payment System and Monetary Policy »

Volume/Issue: 1998/4

Series: IMF Policy Discussion Papers

Author(s): Omotunde Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1998

DOI: http://dx.doi.org/10.5089/9781451973389.003

ISBN: 9781451973389

Keywords: Payment systems, Monetary policy, central bank, payment system, central banks, interest rates

Achieving the primary objective of price stability without unduly compromising the operational efficiency of the payment system constitutes a major problem for central banks. Routine monetary policy presumes a give...

Cote d'Ivoire
			: Statistical Appendix

Cote d'Ivoire : Statistical Appendix »

Volume/Issue: 1996/135

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 January 1997

DOI: http://dx.doi.org/10.5089/9781451807882.002

ISBN: 9781451807882

Keywords: debt service, external debt, public debt, gross domestic product, balance of payments

In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discuss...

Long
			: Horizon Exchange Rate Predictability?

Long : Horizon Exchange Rate Predictability? »

Volume/Issue: 1997/6

Series: IMF Working Papers

Author(s): Lorenzo Giorgianni , and Jeremy Berkowitz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1997

DOI: http://dx.doi.org/10.5089/9781451842265.001

ISBN: 9781451842265

Keywords: statistics, exchange rates, exchange rate, predictability, cointegration

Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show...

Long-Run Exchange Rate Modeling
			: A Survey of the Recent Evidence

Long-Run Exchange Rate Modeling : A Survey of the Recent Evidence »

Volume/Issue: 1995/14

Series: IMF Working Papers

Author(s): Ronald MacDonald

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1995

DOI: http://dx.doi.org/10.5089/9781451843064.001

ISBN: 9781451843064

Keywords: exchange rate, exchange rates, cointegration, real exchange rate, real exchange rates

In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which tests for a unit root in real exchange rates and the close...

International Capital Markets
			: Recent Develpments and Short-Term Prospects, 1981

International Capital Markets : Recent Develpments and Short-Term Prospects, 1981 »

Series: Occasional Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 August 1981

DOI: http://dx.doi.org/10.5089/9781557750709.084

ISBN: 9781557750709

Keywords: bond, capital markets, international capital markets, capital market, bond issues

This paper provides a review of recent developments and an assessment of short-term prospects for private international capital markets, which constitute one of the main sources of international capital flows....