Search Results

You are looking at 11 - 20 of 74 items

  • Keyword: covariances x
Clear All Modify Search
Foreign Entanglements

Foreign Entanglements »

Source: Foreign Entanglements : Estimating the Source and Size of Spillovers Across Industrial Countries

Volume/Issue: 2007/182

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Andrew Swiston

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867466

Keywords: international business cycles, vector autoregressions, correlation, equation, covariance,

VARs of real growth since 1970 are used to estimate spillovers between the U.S., euro area, Japan, and an aggregate of small industrial countries, which proxies for global shocks. U.S. and global shocks generate si...

The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period

The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period »

Source: The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period

Volume/Issue: 2003/208

Series: IMF Working Papers

Author(s): Jun Nagayasu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

ISBN: 9781451874723

Keywords: zero interest rates, equation, statistics, inflation, covariance, key words,

This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is f...

A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager

A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager »

Source: A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager

Volume/Issue: 2006/195

Series: IMF Working Papers

Author(s): Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

ISBN: 9781451864557

Keywords: Risk measurement, bond, bonds, probability, standard deviation, covariance,

This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it...

The Asset Allocation of Emerging Market Mutual Funds

The Asset Allocation of Emerging Market Mutual Funds »

Source: The Asset Allocation of Emerging Market Mutual Funds

Volume/Issue: 2001/111

Series: IMF Working Papers

Author(s): Piti Disyatat , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

ISBN: 9781451853476

Keywords: asset allocation, portfolio choice, contagion, statistic, risk aversion, optimization, correlation, covariance,

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedica...

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate »

Source: Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Volume/Issue: 2007/290

Series: IMF Working Papers

Author(s): Marcos Souto , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868531

Keywords: stochastic volatility, fat-tail distributions, Monte Carlo estimation, covariances, time series, probability, probabilities, multivariate stochastic volatility,

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is pos...

Hedonic Imputation versus Time Dummy Hedonic Indexes

Hedonic Imputation versus Time Dummy Hedonic Indexes »

Source: Hedonic Imputation versus Time Dummy Hedonic Indexes

Volume/Issue: 2007/234

Series: IMF Working Papers

Author(s): W. E. Diewert , Mick Silver , and Saeed Heravi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2007

ISBN: 9781451867985

Keywords: Hedonic regressions, hedonic indexes, superlative indexes, equations, expenditure, expenditure share, equation, covariance,

Statistical offices try to match item models when measuring inflation between two periods. However, for product areas with a high turnover of differentiated models, the use of hedonic indexes is more appropriate si...

Linkages Among Asset Markets in the United States

Linkages Among Asset Markets in the United States »

Source: Linkages Among Asset Markets in the United States : Tests in a Bivariate GARCH Framework

Volume/Issue: 1999/158

Series: IMF Working Papers

Author(s): Parha Deb , and Salim Darbar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1999

ISBN: 9781451857566

Keywords: Logistic Exponential GARCH, conditional correlation, Granger causality, correlation, correlations, statistic, statistics, covariance

This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket...

Market Volatility As a Financial Soundness Indicator

Market Volatility As a Financial Soundness Indicator »

Source: Market Volatility As a Financial Soundness Indicator : An Application to Israel

Volume/Issue: 2003/47

Series: IMF Working Papers

Author(s): Armando Méndez Morales , and Liliana Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451846669

Keywords: Volatility, Risk, Indicator, Portfolio, exchange rate, equations, correlations, covariance, equation, Financial Markets and the Macroeconomy,

Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have been used by policymakers and regulators to assess the market risk environment. This paper applie...

Portfolio Diversification, Leverage, and Financial Contagion

Portfolio Diversification, Leverage, and Financial Contagion »

Source: Portfolio Diversification, Leverage, and Financial Contagion

Volume/Issue: 1999/136

Series: IMF Working Papers

Author(s): T. Smith , and Garry Schinasi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1999

ISBN: 9781451855791

Keywords: financial contagion, portfolio choice, leverage, portfolio management, correlation, portfolio manager, covariance, predictions

Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be associated with asset sales in many unrelated markets. This paper demonstrates that contag...

Development Accounting and the Rise of TFP

Development Accounting and the Rise of TFP »

Source: Development Accounting and the Rise of TFP

Volume/Issue: 2010/101

Series: IMF Working Papers

Author(s): Reda Cherif , and Rabah Arezki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

ISBN: 9781451982787

Keywords: Development Accounting, Income Differences, TFP, logarithm, explanatory power, covariance, economic growth, Macroeconomics: Production,

The paper presents evidence that the contribution of differences in total factor productivity (TFP) to income differences across countries steadily increased between 1970 and 2000. We verify that our finding is nei...