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Do Asset Price Drops Foreshadow Recessions?

Do Asset Price Drops Foreshadow Recessions? »

Source: Do Asset Price Drops Foreshadow Recessions?

Volume/Issue: 2013/203

Series: IMF Working Papers

Author(s): John Bluedorn , Jörg Decressin , and Marco Terrones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 October 2013

ISBN: 9781484353363

Keywords: Macroeconomic forecasting, Uncertainty, Binary dependent variable models, price, prices, market, spread, volatility, Forecasting and Simulation, Financial Forecasting and Simulation,

This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. I...

Near-Coincident Indicators of Systemic Stress

Near-Coincident Indicators of Systemic Stress »

Source: Near-Coincident Indicators of Systemic Stress

Volume/Issue: 2013/115

Series: IMF Working Papers

Author(s): Ivailo Arsov , Elie Canetti , Laura Kodres , and Srobona Mitra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 May 2013

ISBN: 9781484343784

Keywords: Coincident Indicator, Early Warning, Financial Stress, Tail Risk, financial institutions, financial system, Financial Forecasting and Simulation,

The G-20 Data Gaps Initiative has called for the IMF to develop standard measures of tail risk, which we identify in this paper with systemic risk. To understand the conditions under which tail risk is present, it...

News and Monetary Shocks at a High Frequency

News and Monetary Shocks at a High Frequency »

Source: News and Monetary Shocks at a High Frequency : A Simple Approach

Volume/Issue: 2014/167

Series: IMF Working Papers

Author(s): Troy Matheson , and Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2014

ISBN: 9781498324854

Keywords: Economic News, bond yields, bond, equity prices, term bond, financial market, Forecasting and Other Model Applications, Forecasting and Simulation,

We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve's May...

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...

Reversing the Financial Accelerator

Reversing the Financial Accelerator »

Source: Reversing the Financial Accelerator : Credit Conditions and Macro-Financial Linkages

Volume/Issue: 2011/26

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Reginald Darius

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2011

ISBN: 9781455216734

Keywords: Financial conditions index, credit conditions, survey, statistics, inflation, Money and Interest Rates: Forecasting and Simulation, Financial Markets and the Macroeconomy,

This paper examines the role of credit markets in the transmission of U.S. macro-financial shocks through the prism of a financial conditions index (FCI) based on a vector autoregression (VAR) methodology. It explo...

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...

Systemic Risk, Aggregate Demand, and Commodity Prices

Systemic Risk, Aggregate Demand, and Commodity Prices »

Source: Systemic Risk, Aggregate Demand, and Commodity Prices

Volume/Issue: 2015/165

Series: IMF Working Papers

Author(s): Javier Gómez?Pineda , Dominique Guillaume , and Kadir Tanyeri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 July 2015

ISBN: 9781513552545

Keywords: Financial linkages, Global imbalances Commodity prices, output, country risk, trade, Open Economy Macroeconomics, Forecasting and Simulation,

The paper presents a global model with systemic and country risks, as well as commodity prices.We show that systemic risk shocks have an important impact on world economic activity, with the busts in world output g...

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...

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...

Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework

Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework »

Source: Identifying Vulnerabilities in Systemically-Important Financial Institutions in a Macro-Financial Linkages Framework

Volume/Issue: 2011/111

Series: IMF Working Papers

Author(s): Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455261406

Keywords: vulnerabilities, systemic, macro-financial linkages, investment banks, balance sheet, capital adequacy, excess liquidity, Financial Markets and the Macroeconomy, International Finance Forecasting and Simulation,

This paper attempts to identify the indicators that can demonstrate the vulnerabilities in systemically important financial institutions. The paper finds that (i) indicators on leverage, liquidity, and business sco...