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A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic

A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic »

Volume/Issue: 2004/45

Series: IMF Working Papers

Author(s): Jaromir Benes , and Papa N'Diaye

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

DOI: http://dx.doi.org/10.5089/9781451846508.001

ISBN: 9781451846508

Keywords: Phillips Curve, nairu, equation, equations, covariance,

This paper presents a multivariate (MV) methodology for obtaining measures of excess demand that can facilitate discussion of monetary policy issues and improve policy decisions. Using data for the Czech Republic,...

Empirical Modeling of Contagion
			: A Review of Methodologies

Empirical Modeling of Contagion : A Review of Methodologies »

Volume/Issue: 2004/78

Series: IMF Working Papers

Author(s): Mardi Dungey , Renee Fry , Vance Martin , and Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2004

DOI: http://dx.doi.org/10.5089/9781451850130.001

ISBN: 9781451850130

Keywords: contagion, equation, correlation, covariance, equations, Simulation Methods,

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified fr...

Asymmetry in the ERM
			: A Case Study of French and German Interest Rates Since Basle-Nyborg

Asymmetry in the ERM : A Case Study of French and German Interest Rates Since Basle-Nyborg »

Volume/Issue: 1992/96

Series: IMF Working Papers

Author(s): W. Perraudin , and E. Gardner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1992

DOI: http://dx.doi.org/10.5089/9781451949988.001

ISBN: 9781451949988

Keywords: standard errors, monetary policy, covariance, monetary system

We study empirically daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree o...

Domestic, Foreign or Common Shocks?

Domestic, Foreign or Common Shocks? »

Volume/Issue: 1996/107

Series: IMF Working Papers

Author(s): Stefania Fabrizio , and J. Lopez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1996

DOI: http://dx.doi.org/10.5089/9781451852936.001

ISBN: 9781451852936

Keywords: covariance, statistics, domestic shocks, correlation, world economy

A stochastic general equilibrium model of the world economy is used to analyze the origin of international business cycles using data for Germany, Japan and the United States. The findings indicate that after 1973,...

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds »

Volume/Issue: 2010/9

Series: IMF Working Papers

Author(s): Aaron Howard Clifford Brown , Michael Papaioannou , and Iva Petrova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

DOI: http://dx.doi.org/10.5089/9781451961904.001

ISBN: 9781451961904

Keywords: Macrofinancial Linkages, bonds, government bonds, correlation, covariance, standard deviation,

This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic ass...

Asset Prices and Time-Varying Risk

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

DOI: http://dx.doi.org/10.5089/9781451975437.001

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...

Solving for Country Portfolios in Open Economy Macro Models

Solving for Country Portfolios in Open Economy Macro Models »

Volume/Issue: 2007/284

Series: IMF Working Papers

Author(s): Michael Devereux , and Alan Sutherland

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

DOI: http://dx.doi.org/10.5089/9781451868470.001

ISBN: 9781451868470

Keywords: Country portfolios, solution methods, equations, equation, equilibrium solution, covariance,

This paper presents a general approximation method for characterizing time-varying equilibrium portfolios in a two-country dynamic general equilibrium model. the method can be easily adapted to most dynamic general...

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

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

DOI: http://dx.doi.org/10.5089/9781451867466.001

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 »

Volume/Issue: 2003/208

Series: IMF Working Papers

Author(s): Jun Nagayasu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

DOI: http://dx.doi.org/10.5089/9781451874723.001

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 »

Volume/Issue: 2006/195

Series: IMF Working Papers

Author(s): Michael Papaioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

DOI: http://dx.doi.org/10.5089/9781451864557.001

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...