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Assessing Default Risks for Chinese Firms

Assessing Default Risks for Chinese Firms »

Source: Assessing Default Risks for Chinese Firms : A Lost Cause?

Volume/Issue: 2015/140

Series: IMF Working Papers

Author(s): Daniel Law , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 June 2015

ISBN: 9781513597584

Keywords: default probabilities, equity, market, Asset Pricing, Financial Forecasting and Simulation,

Assessing default risks for Chinese firms is hard. Standard measures of risk using market indicators may be unreliable because of implicit guarantees, the large role played by less-informed investors, and other mar...

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...

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...

Macroeconomic Model Spillovers and  Their Discontents1

Macroeconomic Model Spillovers and Their Discontents1 »

Source: Macroeconomic Model Spillovers and Their Discontents

Volume/Issue: 2013/4

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Francis Vitek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 January 2013

ISBN: 9781475519860

Keywords: Growth spillovers, macroeconomic models, international financial links, bond, bond yields, financial market, financial markets, Financial Markets and the Macroeconomy, International Policy Coordination and Transmission, Forecasting and Simulation,

The Great Recession underlined that policies in some countries can have profound spillovers elsewhere. Sadly, the solution of simulating large macroeconomic models to measure these spillovers has been found wanting...

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...

International Reserve Adequacy in Central America

International Reserve Adequacy in Central America »

Source: International Reserve Adequacy in Central America

Volume/Issue: 2011/144

Series: IMF Working Papers

Author(s): Kristin Magnussen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

ISBN: 9781455268443

Keywords: Foreign reserves, balance of payments crises, financial dollarization, international reserves, external debt, exchange rate, emerging markets, current account, International Finance Forecasting and Simulation, Open Economy Macroeconomics,

Countries' absolute and relative international reserves adequacy has recently attracted considerable attention. The analysis has however concentrated on the largest and most advanced economies. We apply various met...