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Policy, Risk and Spillover Analysis in the World Economy

Policy, Risk and Spillover Analysis in the World Economy »

Source: Policy, Risk and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach

Volume/Issue: 2017/89

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 April 2017

ISBN: 9781475592757

Keywords: Monetary policy analysis; Fiscal policy analysis; Macroprudential policy analysis; Spillover analysis; Forecasting; World economy; Bayesian econometrics, Monetary policy analysis, Fiscal policy analysis, Macroprudential policy analysis, Spillover analysis, Forecasting, World economy, Bayesian econometrics, Bayesian Analysis, Models with Panel Data

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis....

The Nonlinear Interaction Between Monetary Policy and Financial Stress1

The Nonlinear Interaction Between Monetary Policy and Financial Stress1 »

Source: The Nonlinear Interaction Between Monetary Policy and Financial Stress

Volume/Issue: 2017/184

Series: IMF Working Papers

Author(s): Martín Saldías

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 August 2017

ISBN: 9781484313794

Keywords: Financial crisis, Financial risk, Monetary policy, Stress testing, Econometric models, Financial crises, Shock identification, financial stress, Bayesian threshold vector autoregression, Time-Series Models

This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) mo...

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks1

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks1 »

Source: Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Volume/Issue: 2018/197

Series: IMF Working Papers

Author(s): Ron Anderson , Jon Danielsson , Chikako Baba , Udaibir Das , Heedon Kang , and Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2018

ISBN: 9781484375839

Keywords: Financial crises, Systemic risk, Macroprudential Policy, Financial stability, Macroprudential Stress testing, Asset Pricing, Financial Markets and the Macroeconomy, Bayesian Analysis, Semiparametric and Nonparametric Methods, Cross-Sectional Models

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resil...

Policy, Risk and Spillover Analysis in the World Economy
			: A Panel Dynamic Stochastic General Equilibrium Approach

Policy, Risk and Spillover Analysis in the World Economy : A Panel Dynamic Stochastic General Equilibrium Approach »

Volume/Issue: 2017/89

Series: IMF Working Papers

Author(s): Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 April 2017

DOI: http://dx.doi.org/10.5089/9781475592757.001

ISBN: 9781475592757

Keywords: Monetary policy analysis; Fiscal policy analysis; Macroprudential policy analysis; Spillover analysis; Forecasting; World economy; Bayesian econometrics, Monetary policy analysis, Fiscal policy analysis, Macroprudential policy analysis, Spillover analysis, Forecasting, World economy, Bayesian econometrics, Bayesian Analysis, Models with Panel Data

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis....

The Nonlinear Interaction Between Monetary Policy and Financial Stress

The Nonlinear Interaction Between Monetary Policy and Financial Stress »

Volume/Issue: 2017/184

Series: IMF Working Papers

Author(s): Martín Saldías

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 August 2017

DOI: http://dx.doi.org/10.5089/9781484313794.001

ISBN: 9781484313794

Keywords: Financial crisis, Financial risk, Monetary policy, Stress testing, Econometric models, Financial crises, Shock identification, financial stress, Bayesian threshold vector autoregression, Time-Series Models

This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold Vector Autoregression (TVAR) mo...

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks »

Volume/Issue: 2018/197

Series: IMF Working Papers

Author(s): Ron Anderson , Jon Danielsson , Chikako Baba , Udaibir Das , Heedon Kang , and Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2018

DOI: http://dx.doi.org/10.5089/9781484375839.001

ISBN: 9781484375839

Keywords: Financial crises, Systemic risk, Macroprudential Policy, Financial stability, Macroprudential Stress testing, Asset Pricing, Financial Markets and the Macroeconomy, Bayesian Analysis, Semiparametric and Nonparametric Methods, Cross-Sectional Models

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resil...