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The Asset Allocation of Emerging Market Mutual Funds

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

DOI: http://dx.doi.org/10.5089/9781451853476.001

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 »

Volume/Issue: 2007/290

Series: IMF Working Papers

Author(s): Marcos Souto , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

DOI: http://dx.doi.org/10.5089/9781451868531.001

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 »

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

DOI: http://dx.doi.org/10.5089/9781451867985.001

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
			: Tests in a Bivariate GARCH Framework

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

DOI: http://dx.doi.org/10.5089/9781451857566.001

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
			: An Application to Israel

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

DOI: http://dx.doi.org/10.5089/9781451846669.001

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 »

Volume/Issue: 1999/136

Series: IMF Working Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1999

DOI: http://dx.doi.org/10.5089/9781451855791.001

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 »

Volume/Issue: 2010/101

Series: IMF Working Papers

Author(s): Reda Cherif , and Rabah Arezki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

DOI: http://dx.doi.org/10.5089/9781451982787.001

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...

Portfolio Choice in a Monetary Open-Economy DSGE Model

Portfolio Choice in a Monetary Open-Economy DSGE Model »

Volume/Issue: 2005/165

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

DOI: http://dx.doi.org/10.5089/9781451861846.001

ISBN: 9781451861846

Keywords: Home bias, international portfolio choice, equation, equations, correlation, foreign equity, covariance, Open Economy Macroeconomics,

This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some g...

Financial Integration
			: A New Methodology and An Illustration

Financial Integration : A New Methodology and An Illustration »

Volume/Issue: 2004/110

Series: IMF Working Papers

Author(s): Andrew Rose , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2004

DOI: http://dx.doi.org/10.5089/9781451853377.001

ISBN: 9781451853377

Keywords: risk-free, rate, intertemporal, asset, market, expected, price, stock, conditional, nasdaq

This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across ass...

A Model of Contagious Currency Crises with Application to Argentina

A Model of Contagious Currency Crises with Application to Argentina »

Volume/Issue: 1999/29

Series: IMF Working Papers

Author(s): Nada Choueiri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1999

DOI: http://dx.doi.org/10.5089/9781451844788.001

ISBN: 9781451844788

Keywords: contagion, multiple equilibria, risk aversion, exchange rate, covariance, equation, exchange rates, probability

This paper proposes a model of contagious currency crises: crises transmit across countries by raising the risk premium on government bonds. Three types of equilibria can occur: a “no-collapse” equili...