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The Volatility Trap

The Volatility Trap »

Source: The Volatility Trap : Precautionary Saving, Investment, and Aggregate Risk

Volume/Issue: 2012/134

Series: IMF Working Papers

Author(s): Reda Cherif , and Fuad Hasanov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2012

ISBN: 9781475503869

Keywords: Volatility, risk, precautionary saving, buffer-stock, growth, investment rate, standard deviation, nonlinear relationship, correlation, statistics

We study the effects of permanent and temporary income shocks on precautionary saving and investment in a "store-or-sow" model of growth. High volatility of permanent shocks results in high precautionary saving in...

Characterizing Exchange Rate Regimes in Post-Crisis East Asia

Characterizing Exchange Rate Regimes in Post-Crisis East Asia »

Source: Characterizing Exchange Rate Regimes in Post-Crisis East Asia

Volume/Issue: 2001/152

Series: IMF Working Papers

Author(s): Taimur Baig

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451857092

Keywords: exchange rate regime, volatility, Asian crisis, exchange rate, exchange rates, random walk, exchange rate volatility, standard deviation, International Monetary Arrangements and Institutions,

This paper examines the behavior of the exchange rates of selected emerging market East Asian economies in the aftermath of the Asian crisis. The results suggest that movements in the Asia-5 currencies (Indonesia,...

Regional Convergence in Latin America

Regional Convergence in Latin America »

Source: Regional Convergence in Latin America

Volume/Issue: 2006/125

Series: IMF Working Papers

Author(s): Bennett Sutton , Genevieve Lindow , Maria Isabel Serra , Gustavo Ramirez , and Maria Fernanda Pazmino

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

ISBN: 9781451863857

Keywords: growth, convergence, regional disparities, standard deviation, trade liberalization, conditional convergence, equation, correlation, Economywide Country Studies: Oceania, Regional Economic Activity: Growth

This paper presents empirical evidence on convergence of per capita output for regions within six large middle-income Latin American countries: Argentina, Brazil, Chile, Colombia, Mexico, and Peru. It explores the...

Capital Account Liberalization and Inequality1

Capital Account Liberalization and Inequality1 »

Source: Capital Account Liberalization and Inequality

Volume/Issue: 2015/243

Series: IMF Working Papers

Author(s): Davide Furceri , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 November 2015

ISBN: 9781513531083

Keywords: Inequality, Capital Account Openness, Crises, Institutions, capital account, liberalization, capital account liberalization, standard deviations, Macroeconomic Analyses of Economic Development, All Countries

This paper examines the distributional impact of capital account liberalization. Using panel data for 149 countries from 1970 to 2010, we find that, on average, capital account liberalization reforms increase inequ...

Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area1

Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area1 »

Source: Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area

Volume/Issue: 2013/209

Series: IMF Working Papers

Author(s): Dominic Quint , and Pau Rabanal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 October 2013

ISBN: 9781484333693

Keywords: EMU, Basel III, Financial Frictions, standard deviation, interest rates, central bank, real variables, Financial Markets and the Macroeconomy, Monetary Policy (Targets, Instruments

In this paper, we study the optimal mix of monetary and macroprudential policies in an estimated two-country model of the euro area. The model includes real, nominal and financial frictions, and hence both monetary...

A Financial Conditions Index for South Africa

A Financial Conditions Index for South Africa »

Source: A Financial Conditions Index for South Africa

Volume/Issue: 2012/196

Series: IMF Working Papers

Author(s): Nombulelo Gumata , Eliphas Ndou , and Nir Klein

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505450

Keywords: Financial conditions index, factor analysis, gdp growth, explanatory power, granger causality, standard deviation, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,

The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman fi...

The Dynamic Implications of Foreign Aid and Its Variability

The Dynamic Implications of Foreign Aid and Its Variability »

Source: The Dynamic Implications of Foreign Aid and Its Variability

Volume/Issue: 2005/119

Series: IMF Working Papers

Author(s): Timothy Lane , Leslie Lipschitz , Cristina Arellano , and Ales Bulir

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2005

ISBN: 9781451861389

Keywords: Real business cycle, general equilibrium, aid, transfer problem, tradable goods, nontradable goods, standard deviation, elasticity of substitution, terms of trade, Computable General Equilibrium Models

The paper examines the effects of aid and its volatility on consumption, investment, and the structure of production in the context of an intertemporal two-sector general equilibrium model. A permanent flow of aid...

What (Really) Accounts for the Fall in Hours After a Technology Shock?

What (Really) Accounts for the Fall in Hours After a Technology Shock? »

Source: What (Really) Accounts for the Fall in Hours After a Technology Shock?

Volume/Issue: 2012/211

Series: IMF Working Papers

Author(s): Nooman Rebei

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505610

Keywords: Firm entry and exit, Habit in consumption, Labor market frictions, Permanent technology shocks, Leontief production, Bayesian estimation., wages, wage, autocorrelation, standard deviation

The paper asks how state of the art DSGE models that account for the conditional response of hours following a positive neutral technology shock compare in a marginal likelihood race. To that end we construct and e...

Seasonalities in China's Stock Markets

Seasonalities in China's Stock Markets »

Source: Seasonalities in China's Stock Markets : Cultural or Structural?

Volume/Issue: 2006/4

Series: IMF Working Papers

Author(s): Jason Mitchell , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

ISBN: 9781451862645

Keywords: A-shares, B-shares, Chinese Lunar New Year, day-of-the-week effect, half-month effect, half-year effect, holiday effect, seasonalities, turn-of-the-year effect, stock market

In this paper, we examine returns in the Chinese A and B stock markets for evidence of calendar anomalies. We find that both cultural and structural (segmentation) factors play an important role in influencing the...

Stock Market Liquidity and the Macroeconomy

Stock Market Liquidity and the Macroeconomy »

Source: Stock Market Liquidity and the Macroeconomy : Evidence from Japan

Volume/Issue: 2005/6

Series: IMF Working Papers

Author(s): Woon Choi , and David Cook

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2005

ISBN: 9781451860252

Keywords: Stock market liquidity, Liquidity shocks, standard deviation, stock market, statistics, Monetary Policy, Central Banking, and the Supply of Money and Credit: General, General Financial Markets: General (includes Measurement and Data),

In a liquid financial market, investors are able to sell large blocks of assets without substantially changing the price. We document a steep drop in the liquidity of the Japanese stock market in the post-bubble pe...