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Does Financial Connectedness Predict Crises?1

Does Financial Connectedness Predict Crises?1 »

Source: Does Financial Connectedness Predict Crises?

Volume/Issue: 2013/267

Series: IMF Working Papers

Author(s): Camelia Minoiu , Chanhyun Kang , V.S. Subrahmanian , and Anamaria Berea

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 December 2013

ISBN: 9781475554250

Keywords: financial networks, banking, banking systems, Global Outlook, Financial Aspects of Economic Integration, Forecasting and Simulation,

The global financial crisis has reignited interest in models of crisis prediction. It has also raised the question whether financial connectedness - a possible source of systemic risk - can serve as an early warnin...

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...

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...

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...

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 Poland

A Financial Conditions Index for Poland »

Source: A Financial Conditions Index for Poland

Volume/Issue: 2013/252

Series: IMF Working Papers

Author(s): Giang Ho , and Yinqiu Lu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 December 2013

ISBN: 9781475540642

Keywords: Financial conditions index, factor analysis, vector auto-regression, gdp growth, bond, bond yield, government bond yield, government bond, Forecasting and Simulation, Financial Markets and the Macroeconomy

This paper constructs a financial conditions index for Poland to explore the link between financial conditions and real economic activity. The index in constructed by applying two complementary approaches-factor an...

Corporate Balance Sheet Restructuring and Investment in the Euro Area

Corporate Balance Sheet Restructuring and Investment in the Euro Area »

Source: Corporate Balance Sheet Restructuring and Investment in the Euro Area

Volume/Issue: 2003/117

Series: IMF Working Papers

Author(s): Albert Jaeger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854039

Keywords: Corporate investment and financing, business cycle, capital stock, financial assets, cost of capital, stock market, capital markets, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation,

The recent boom-bust cycle in the euro area's equity valuations has left nonfinancial corporations saddled with a legacy of high debt or leverage. Models of corporate investment behavior based on imperfect capital...

Apocalypse then

Apocalypse then »

Source: Apocalypse then : The Evolution of the North Atlantic Economy and the Global Crisis

Volume/Issue: 2011/212

Series: IMF Working Papers

Author(s): Trung Bui , and Tamim Bayoumi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463902308

Keywords: Financial linkages, financial regulation, banking, bonds, bond, banking systems, financial market, Financial Aspects of Economic Integration, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation, General Financial Markets: Government Policy and Regulation,

The financial crisis, originated from the collapse of US housing markets in 2008, reverberates around the world. Its destructive force was felt nowhere more keenly than Western Europe. Indeed, it continues to mire...

Financial Crises in DSGE Models: A Prototype Model

Financial Crises in DSGE Models: A Prototype Model »

Source: Financial Crises in DSGE Models : A Prototype Model

Volume/Issue: 2014/57

Series: IMF Working Papers

Author(s): Jaromir Benes , Michael Kumhof , and Douglas Laxton

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 April 2014

ISBN: 9781475540895

Keywords: lending boom, credit crunch, financialy cycle, asset price bubble, bank capital, bank balance sheets, bank deposits, banking, Financial Markets and the Macroeconomy, Forecasting and Simulation,

This paper presents the theoretical structure of MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, ban...

Insurance Companies in Emerging Markets

Insurance Companies in Emerging Markets »

Source: Insurance Companies in Emerging Markets

Volume/Issue: 2005/88

Series: IMF Working Papers

Author(s): Janet Kong , and Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2005

ISBN: 9781451861075

Keywords: asset allocation, investments, life insurers, life insurance, risk management, General Financial Markets: Government Policy and Regulation, International Finance Forecasting and Simulation,

This paper focuses on asset allocation decisions of life insurance companies in emerging markets. Mature market insurers allocate only a small fraction of their assets to emerging markets because of regulatory cons...