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Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Source: Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...

Macrofinance Model of the Czech Economy

Macrofinance Model of the Czech Economy »

Source: Macrofinance Model of the Czech Economy : Asset Allocation Perspective

Volume/Issue: 2012/78

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

ISBN: 9781475502305

Keywords: yield curve modeling, macrofinance modeling, vector auto-regression model, bond, bond yield, government bond, bond yields, correlation, Econometric Modeling: General,

The paper developes a VAR macrofinance model of the Czech economy. It shows that yield misalignments from the yields implied by the macrofinance model partially determine subsequent yield changes over three to nine...

Cyclicality of Revenue and Structural Balances in South Africa

Cyclicality of Revenue and Structural Balances in South Africa »

Source: Cyclicality of Revenue and Structural Balances in South Africa

Volume/Issue: 2010/216

Series: IMF Working Papers

Author(s): Burcu Aydin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455208814

Keywords: structural balance, credit growth, commodity and asset prices, tax revenue, tax base, tax policy, budget balance, Multiple or Simultaneous Equation Models: Time-Series Models, Econometric Modeling: General,

This paper applies a disaggregated method for the calculation of the cyclical component of the budget balance for South Africa with an emphasis on the effect of commodity and asset prices, and credit cycle. Results...

Commodity Price Shocks and the Oddson Fiscal Performance

Commodity Price Shocks and the Oddson Fiscal Performance »

Source: Commodity Price Shocks and the Oddson Fiscal Performance

Volume/Issue: 2005/171

Series: IMF Working Papers

Author(s): Francis Kumah , and John Matovu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2005

ISBN: 9781451861907

Keywords: structural VAR, pro-cyclical fiscal policy, expenditure, fiscal performance, expenditures, fiscal aggregates, Econometric Modeling: General, General Outlook and Conditions, Strucral VAR,

Unanticipated changes in commodity prices can generate significant movements in fiscal aggregates. This paper seeks to understand the dynamics of these fiscal movements in the context of transitory commodity price...

Performance of Fiscal Accounts in South Africa in a Cross-Country Setting

Performance of Fiscal Accounts in South Africa in a Cross-Country Setting »

Source: Performance of Fiscal Accounts in South Africa in a Cross-Country Setting

Volume/Issue: 2010/217

Series: IMF Working Papers

Author(s): Burcu Aydin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455208821

Keywords: structural balance, panel data, tax revenue, financial crisis, global financial crisis, revenue collection, fiscal accounts, Multiple or Simultaneous Equation Models: Time-Series Models, Econometric Modeling: General,

This paper analyzes the cyclical fluctuations in South Africa in a cross-country context, and studies the impact of the output gap by controlling for export intensity, the debt burden, asset prices, and banking cri...

Structural Breaks in Fiscal Performance

Structural Breaks in Fiscal Performance »

Source: Structural Breaks in Fiscal Performance : Did Fiscal Responsibility Laws Have Anything to Do with Them?

Volume/Issue: 2010/248

Series: IMF Working Papers

Author(s): Leandro Medina , Carlos Caceres , and Ana Corbacho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209484

Keywords: Fiscal Responsibility Laws, Fiscal Institutions, fiscal balance, fiscal balances, primary fiscal balance, Econometric Modeling: General, Studies of Particular Policy Episodes, National Budget, Deficit, and Debt: General,

In recent years, many countries have adopted Fiscal Responsibility Laws to strengthen fiscal institutions and promote fiscal discipline in a credible, predictable and transparent manner. Still, results on the effec...

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...

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

DOI: http://dx.doi.org/10.5089/9781475505436.001

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...

Returns to Human Capital and Investment in New Technology

Returns to Human Capital and Investment in New Technology »

Source: Returns to Human Capital and Investment in New Technology

Volume/Issue: 2001/133

Series: IMF Working Papers

Author(s): Rodolfo Luzio , Steven Dunaway , and Martin Kaufman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2001

ISBN: 9781451855494

Keywords: New technology, wage premium, income redistribution policies, wage, skilled workers, output growth, skilled labor, Econometric Modeling: General, Macroeconomic Policy, Macroeconomic Aspects of Public Finance

This paper presents a simple framework that illustrates the link between skill-based wage differentiation and human capital acquisition given skill-biased technical progress. The analysis points to the economic cos...

What Drives Credit Growth in Emerging Asia?

What Drives Credit Growth in Emerging Asia? »

Source: What Drives Credit Growth in Emerging Asia?

Volume/Issue: 2012/43

Series: IMF Working Papers

Author(s): Fei Han , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463936440

Keywords: rapid credit growth, emerging Asia, SVAR, Bayesian estimation, sign restrictions, aggregate demand, domestic monetary policy, inflation, financial stability, What Drives Credit Growth in Emerging Asia?

This paper seeks to uncover the main drivers of credit growth in emerging Asia using a multi-country structural vector autoregressive (SVAR) model. Taking a novel approach, we developed a two-block SVAR whereby sho...