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How Financial Conditions Matter Differently across Latin America

How Financial Conditions Matter Differently across Latin America »

Source: How Financial Conditions Matter Differently across Latin America

Volume/Issue: 2017/218

Series: IMF Working Papers

Author(s): Luis Brandao-Marques , and Esther Perez Ruiz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

ISBN: 9781484325506

Keywords: Financial conditions indexes, TVP-FAVAR, financial spillovers, Forecasting and Simulation, Financial Markets and the Macroeconomy, General

This paper develops comparable financial conditions indices (FCIs) for the six large and most financially-integrated Latin American economies (LA6) by following Korobilis (2013) and Koop and Korobilis (2014). The m...

Designing Effective Macroprudential Stress Tests

Designing Effective Macroprudential Stress Tests »

Source: Designing Effective Macroprudential Stress Tests : Progress So Far and the Way Forward

Volume/Issue: 2015/146

Series: IMF Working Papers

Author(s): Dimitri Demekas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2015

ISBN: 9781513513621

Keywords: contagion, solvency, bank, risk, capital, balance sheet, General, Financial Forecasting and Simulation, Government Policy and Regulation,

Giving stress tests a macroprudential perspective requires (i) incorporating general equilibrium dimensions, so that the outcome of the test depends not only on the size of the shock and the buffers of individual i...

Forecasts in Times of Crises*

Forecasts in Times of Crises* »

Source: Forecasts in Times of Crises

Volume/Issue: 2018/48

Series: IMF Working Papers

Author(s): Theo Eicher , David Kuenzel , Chris Papageorgiou , and Charis Christofides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 March 2018

ISBN: 9781484345436

Keywords: Financial crises, Forecasting, IMF Programs, Economic forecasting, Gross domestic product, Balance of payments, GDP Growth, Financial Accounts, Fiscal Accounts, Forecasting and Other Model Applications

Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in...

Financial Conditions Indexes for the United States and Euro Area

Financial Conditions Indexes for the United States and Euro Area »

Source: Financial Conditions Indexes for the United States and Euro Area

Volume/Issue: 2011/93

Series: IMF Working Papers

Author(s): Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455253326

Keywords: Financial Conditions, Short-term Forecasting, Real-Time Data, forecasting, bond, bond spread, government bond, bond yield, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,

Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for fore...

Measures of Fiscal Risk in  Hydrocarbon-Exporting Countries

Measures of Fiscal Risk in Hydrocarbon-Exporting Countries »

Source: Measures of Fiscal Risk in Hydrocarbon-Exporting Countries

Volume/Issue: 2012/260

Series: IMF Working Papers

Author(s): Carlos Caceres , and Leandro Medina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2012

ISBN: 9781475530162

Keywords: stochastic simulations, volatility, break-even prices, exporting countries, commodity prices, break-even prices., Forecasting and Other Model Applications, Financial Forecasting and Simulation, General, Government Policy,

The recent relatively high levels of global oil prices have led to a significant improvement in the public finances of several hydrocarbon-exporting countries. However, despite the increase in fiscal buffers, mediu...

Monetary Policy and Risk-Premium Shocks in Hungary

Monetary Policy and Risk-Premium Shocks in Hungary »

Source: Monetary Policy and Risk-Premium Shocks in Hungary : Results from a Large Bayesian VAR

Volume/Issue: 2011/259

Series: IMF Working Papers

Author(s): Adina Popescu , and Alina Carare

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463923983

Keywords: Risk premium shocks, Transmission mechanism, Large Bayesian VAR, inflation, central bank, financial stability, foreign currency, General Aggregative Models: Forecasting and Simulation, Money and Interest Rates: Forecasting and Simulation, Bayesian Analysis

We document the transmission of monetary policy and risk-premium shocks in Hungary, by applying recent advances in the Bayesian estimation of large VAR models. The method allows extracting information from over 100...

Exploration of the Brazilian Term Structure in a Hidden Markov Framework

Exploration of the Brazilian Term Structure in a Hidden Markov Framework »

Source: Exploration of the Brazilian Term Structure in a Hidden Markov Framework

Volume/Issue: 2011/22

Series: IMF Working Papers

Author(s): Richard Munclinger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2011

ISBN: 9781455211937

Keywords: Term Structure, Hidden Markov Models, MCMC, ATSM, parameters, probability, forecasting, covariance, statistics, Bayesian Analysis

We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics...

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France1

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France1 »

Source: Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France

Volume/Issue: 2017/269

Series: IMF Working Papers

Author(s): Piyabha Kongsamut , Christian Mumssen , Anne-Charlotte Paret , and Thierry Tressel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2017

ISBN: 9781484330968

Keywords: Europe, France, Forecasting, financial conditions index, macro-financial linkages, vector auto-regression, refers to exports volume of goods, General, Forecasting and Simulation

How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific fi...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Source: Default, Credit Growth, and Asset Prices

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

ISBN: 9781451864830

Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...

A Financial Conditions Index for Greece

A Financial Conditions Index for Greece »

Source: A Financial Conditions Index for Greece

Volume/Issue: 2015/220

Series: IMF Working Papers

Author(s): Jonathan Manning , and Maral Shamloo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 October 2015

ISBN: 9781513520230

Keywords: Financial conditions, principal component analysis, monetary policy, credit growth, financial shocks, loans, balance sheets, Forecasting and Simulation, Financial Markets and the Macroeconomy, General,

We construct a Financial Conditions Index (FCI) for Greece as a surveillance tool to quantify the degree of the stress in the financial sector. We use principal component analysis to capture the information content...