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A Financial Conditions Index for South Africa

A Financial Conditions Index for South Africa »

Source: A Financial Conditions Index for South Africa

Volume/Issue: 2012/196

Series: IMF Working Papers

Author(s): Nombulelo Gumata , Eliphas Ndou , and Nir Klein

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505450

Keywords: Financial conditions index, factor analysis, gdp growth, explanatory power, granger causality, standard deviation, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,

The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman fi...

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...

Financial Frictions and Sources of Business Cycle

Financial Frictions and Sources of Business Cycle »

Source: Financial Frictions and Sources of Business Cycle

Volume/Issue: 2014/194

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2014

ISBN: 9781498347792

Keywords: DSGE, Bayesian Estimation, Financial Frictions, Sources of Business Cycle, business cycle, business cycle fluctuations, Bayesian Analysis, Financial Markets and the Macroeconomy, Forecasting and Simulation, Monetary Policy (Targets

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture th...

Cross-Country Linkages in Europe

Cross-Country Linkages in Europe »

Source: Cross-Country Linkages in Europe : A Global VAR Analysis

Volume/Issue: 2013/194

Series: IMF Working Papers

Author(s): Yan Sun , Frigyes Heinz , and Giang Ho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2013

ISBN: 9781484345474

Keywords: Spillover, Global VAR, regional model, macro-financial linkages, emerging Europe, gdp growth, real gdp, inflation, growth rate, long-term interest rates

This paper uses the Global VAR (GVAR) model proposed by Pesaran et al. (2004) to study cross-country linkages among euro area countries, other advanced European countries (including the Nordics, the UK, etc.), and...

Business Cycles in Emerging Markets

Business Cycles in Emerging Markets »

Source: Business Cycles in Emerging Markets : The Role of Durable Goods and Financial Frictions

Volume/Issue: 2011/133

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

ISBN: 9781455259380

Keywords: real business cycles, durables, financial frictions, business cycles, total consumption, interest rates, business cycle, elasticity of substitution, Open Economy Macroeconomics, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

This paper examines how durable goods and financial frictions shape the business cycle of a small open economy subject to shocks to trend and transitory shocks. In the data, nondurable consumption is not as volatil...

A Financial Conditions Index for South Africa

A Financial Conditions Index for South Africa »

Volume/Issue: 2012/196

Series: IMF Working Papers

Author(s): Nombulelo Gumata , Eliphas Ndou , and Nir Klein

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

DOI: http://dx.doi.org/10.5089/9781475505450.001

ISBN: 9781475505450

Keywords: Financial conditions index, factor analysis, gdp growth, explanatory power, granger causality, standard deviation, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,

The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman fi...

A Financial Conditions Index for Poland

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

DOI: http://dx.doi.org/10.5089/9781475540642.001

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...

Cross-Country Linkages in Europe
			: A Global VAR Analysis

Cross-Country Linkages in Europe : A Global VAR Analysis »

Volume/Issue: 2013/194

Series: IMF Working Papers

Author(s): Yan Sun , Frigyes Heinz , and Giang Ho

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 September 2013

DOI: http://dx.doi.org/10.5089/9781484345474.001

ISBN: 9781484345474

Keywords: Spillover, Global VAR, regional model, macro-financial linkages, emerging Europe, gdp growth, real gdp, inflation, growth rate, long-term interest rates

This paper uses the Global VAR (GVAR) model proposed by Pesaran et al. (2004) to study cross-country linkages among euro area countries, other advanced European countries (including the Nordics, the UK, etc.), and...

Financial Frictions and Sources of Business Cycle

Financial Frictions and Sources of Business Cycle »

Volume/Issue: 2014/194

Series: IMF Working Papers

Author(s): Marzie Taheri Sanjani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 October 2014

DOI: http://dx.doi.org/10.5089/9781498347792.001

ISBN: 9781498347792

Keywords: DSGE, Bayesian Estimation, Financial Frictions, Sources of Business Cycle, business cycle, business cycle fluctuations, Bayesian Analysis, Financial Markets and the Macroeconomy, Forecasting and Simulation, Monetary Policy (Targets

This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture th...

Business Cycles in Emerging Markets
			: The Role of Durable Goods and Financial Frictions

Business Cycles in Emerging Markets : The Role of Durable Goods and Financial Frictions »

Volume/Issue: 2011/133

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

DOI: http://dx.doi.org/10.5089/9781455259380.001

ISBN: 9781455259380

Keywords: real business cycles, durables, financial frictions, business cycles, total consumption, interest rates, business cycle, elasticity of substitution, Open Economy Macroeconomics, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

This paper examines how durable goods and financial frictions shape the business cycle of a small open economy subject to shocks to trend and transitory shocks. In the data, nondurable consumption is not as volatil...