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Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Source: Global Factors in the Term Structure of Interest Rates

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...

Systemic Real and Financial Risks

Systemic Real and Financial Risks »

Source: Systemic Real and Financial Risks : Measurement, Forecasting, and Stress Testing

Volume/Issue: 2012/58

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463937768

Keywords: Systemic Risks, Dynamic Factor Model, Quantile Auto-regressions, Density Forecasts, forecasting, bank credit, banking, probability, Econometric Modeling, Business Fluctuations

This paper formulates a novel modeling framework that delivers: (a) forecasts of indicators of systemic real risk and systemic financial risk based on density forecasts of indicators of real activity and financial...

Sharing a Ride on the Commodities Roller Coaster

Sharing a Ride on the Commodities Roller Coaster »

Source: Sharing a Ride on the Commodities Roller Coaster : Common Factors in Business Cycles of Emerging Economies

Volume/Issue: 2015/280

Series: IMF Working Papers

Author(s): Andres Fernandez , Andres Gonzalez , and Diego Rodriguez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 December 2015

ISBN: 9781513587677

Keywords: Emerging economies, common factors, Bayesian estimation, dynamic stochastic equilibrium models, commodity, prices, price, commodity price, Open Economy Macroeconomics, International Business Cycles

Fluctuations in commodity prices are an important driver of business cycles in small emerging market economies (EMEs). We document how these fluctuations correlate strongly with the business cycle in EMEs. We then...

Endowment Versus Finance

Endowment Versus Finance »

Source: Endowment Versus Finance : A Wooden Barrel Theory of International Trade

Volume/Issue: 2005/123

Series: IMF Working Papers

Author(s): Jiandong Ju , and Shang-Jin Wei

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2005

ISBN: 9781451861426

Keywords: External Finance, Factor Endowment, Financial Development, HOS model, Wooden Barrel, external capital, capital market, capital owners, Neoclassical Models of Trade, Financial Institutions and Services: General,

This paper develops a theory of international trade in which financial development and factor endowments jointly determine comparative advantage. We apply the financial contract model of Holmstrom and Tirole (1998)...

Productivity Trends in India's Manufacturing Sectors in the Last Two Decades

Productivity Trends in India's Manufacturing Sectors in the Last Two Decades »

Source: Productivity Trends in India's Manufacturing Sectors in the Last Two Decades

Volume/Issue: 2003/22

Series: IMF Working Papers

Author(s): Bulent Unel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2003

ISBN: 9781451843996

Keywords: factor productivity, tfp, growth rates, labor shares, Economic Growth and Aggregate Productivity: General, General Aggregative Models: General,

Starting in the late 1970s, the Indian authorities implemented a series of reforms aimed at exposing the economy to greater competition and at liberalizing key aspects of economic activity. This paper investigates...

A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle

A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle »

Source: A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle

Volume/Issue: 2009/73

Series: IMF Working Papers

Author(s): Abdullah Al-Hassan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872200

Keywords: GCC monetary union, factor models, GDFM, business cycle indicators, business cycle, time series, gdp growth, covariance, And Business Cycle Indicators,

This paper constructs a coincident indicator for the Gulf Cooperation Council (GCC) area business cycle. The resulting coincident indicator provides a reliable measure of the GCC business cycle; over the last decad...

Forecast Errors and Uncertainty Shocks

Forecast Errors and Uncertainty Shocks »

Source: Forecast Errors and Uncertainty Shocks

Volume/Issue: 2016/228

Series: IMF Working Papers

Author(s): Sylwia Nowak , and Pratiti Chatterjee

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 November 2016

ISBN: 9781475555523

Keywords: Forecasting, common factors, uncertainty, Forecasting and Other Model Applications, Criteria for Decision-Making under Risk and Uncertainty

Macroeconomic forecasts are persistently too optimistic. This paper finds that common factors related to general uncertainty about U.S. macrofinancial prospects and global demand drive this overoptimism. These comm...

The Effectiveness of Monetary Policy Transmission Under Capital Inflows

The Effectiveness of Monetary Policy Transmission Under Capital Inflows »

Source: The Effectiveness of Monetary Policy Transmission Under Capital Inflows : Evidence from Asia

Volume/Issue: 2012/265

Series: IMF Working Papers

Author(s): Sonali Jain-Chandra , and Filiz Unsal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 November 2012

ISBN: 9781475525823

Keywords: Monetary policy transmission, dynamic factor model, structural VAR, long-term interest rates, bond yields, Monetary Policy (Targets, Instruments, and Effects), Open Economy Macroeconomics,

The effectiveness of the monetary policy transmission mechanism in open economies could be impaired if interest rates are driven primarily by global factors, especially during periods of large capital inflows. The...

On Brazil’s Term Structure

On Brazil’s Term Structure »

Source: On Brazil's Term Structure : Stylized Facts and Analysis of Macroeconomic Interactions

Volume/Issue: 2011/113

Series: IMF Working Papers

Author(s): Rodrigo Cabral , Richard Munclinger , Luiz Alves , and Marco Rodriguez Waldo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455261420

Keywords: Term structure models of interest rates, interest rates, yields on bonds, macroeconomic variables, central bank, macroeconomic factors, interest, Financial Markets and the Macroeconomy,

This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to reproduce its stylized facts for the period 2004-2010. For this purpose, this paper uses a soft...

Estimating Parameters of Short-Term Real Interest Rate Models1

Estimating Parameters of Short-Term Real Interest Rate Models1 »

Source: Estimating Parameters of Short-Term Real Interest Rate Models

Volume/Issue: 2013/212

Series: IMF Working Papers

Author(s): Vadim Khramov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 October 2013

ISBN: 9781475594645

Keywords: Real Interest Rate, Single-factor Models, Short-term Interest Rate, interest rate, interest, interest rates, real interest, Asset Pricing, Asset Pricing, and Short-term Interest Rate.,

This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and...