Search Results

You are looking at 1 - 10 of 26 items :

  • Keyword: Financial Forecasting and Simulation... x
  • International - Economics x
Clear All Modify Search
How Financial Conditions Matter Differently across Latin America

How Financial Conditions Matter Differently across Latin America »

Source: How Financial Conditions Matter Differently across Latin America

Volume/Issue: 2017/218

Series: IMF Working Papers

Author(s): Luis Brandao-Marques , and Esther Perez Ruiz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

ISBN: 9781484325506

Keywords: Financial conditions indexes, TVP-FAVAR, financial spillovers, Forecasting and Simulation, Financial Markets and the Macroeconomy, General

This paper develops comparable financial conditions indices (FCIs) for the six large and most financially-integrated Latin American economies (LA6) by following Korobilis (2013) and Koop and Korobilis (2014). The m...

Towards Macroprudential Stress Testing

Towards Macroprudential Stress Testing »

Source: Towards Macroprudential Stress Testing : Incorporating Macro-Feedback Effects

Volume/Issue: 2017/149

Series: IMF Working Papers

Author(s): Ivo Krznar , and Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 June 2017

ISBN: 9781484303634

Keywords: Stress testing, macro feedback effects, solvency risk, credit crunch, Forecasting and Simulation, Financial Markets and the Macroeconomy, Financial Forecasting and Simulation

Macro-feedback effects have been identified as a key missing element for more effective macro-prudential stress testing. To fill this gap, this paper develops a framework that facilitates the analysis of both the d...

Forecasts in Times of Crises*

Forecasts in Times of Crises* »

Source: Forecasts in Times of Crises

Volume/Issue: 2018/48

Series: IMF Working Papers

Author(s): Theo Eicher , David Kuenzel , Chris Papageorgiou , and Charis Christofides

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 March 2018

ISBN: 9781484345436

Keywords: Financial crises, Forecasting, IMF Programs, Economic forecasting, Gross domestic product, Balance of payments, GDP Growth, Financial Accounts, Fiscal Accounts, Forecasting and Other Model Applications

Financial crises pose unique challenges for forecast accuracy. Using the IMF's Monitoring of Fund Arrangement (MONA) database, we conduct the most comprehensive evaluation of IMF forecasts to date for countries in...

Measures of Fiscal Risk in  Hydrocarbon-Exporting Countries

Measures of Fiscal Risk in Hydrocarbon-Exporting Countries »

Source: Measures of Fiscal Risk in Hydrocarbon-Exporting Countries

Volume/Issue: 2012/260

Series: IMF Working Papers

Author(s): Carlos Caceres , and Leandro Medina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2012

ISBN: 9781475530162

Keywords: stochastic simulations, volatility, break-even prices, exporting countries, commodity prices, break-even prices., Forecasting and Other Model Applications, Financial Forecasting and Simulation, General, Government Policy,

The recent relatively high levels of global oil prices have led to a significant improvement in the public finances of several hydrocarbon-exporting countries. However, despite the increase in fiscal buffers, mediu...

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...

Understanding the Macro-Financial Effects of Household Debt: A Global Perspective

Understanding the Macro-Financial Effects of Household Debt: A Global Perspective »

Source: Understanding the Macro-Financial Effects of Household Debt: A Global Perspective

Volume/Issue: 2018/76

Series: IMF Working Papers

Author(s): Adrian Alter , Alan Xiaochen Feng , and Nico Valckx

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 April 2018

ISBN: 9781484349861

Keywords: Household debt; financial crises; neglected crash risk; leverage; macro-financial stability, Household debt, financial crises, neglected crash risk, leverage, macro-financial stability, Forecasting and Simulation, General

We confirm the negative relationship between household debt and future GDP growth documented in Mian, Sufi, and Verner (2017) for a wider set of countries over the period 1950-2016. Three mutually reinforcing mecha...

Housing Price, Credit, and Output Cycles: How Domestic and External Shocks Impact Lithuania's Credit

Housing Price, Credit, and Output Cycles: How Domestic and External Shocks Impact Lithuania's Credit »

Source: Housing Price, Credit, and Output Cycles: How Domestic and External Shocks Impact Lithuania's Credit

Volume/Issue: 2018/160

Series: IMF Working Papers

Author(s): Iacovos Ioannou

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 July 2018

ISBN: 9781484367513

Keywords: Lithuania, Europe, Credit, house prices, business cycle, macro-financial linkages, contagion, General, Forecasting and Simulation, Financial Markets and the Macroeconomy

Lithuania's current credit cycle highlights the strong link between housing prices and credit. We explore this relationship in more detail by analyzing the main features of credit, housing price, and output cycles...

Financial Information and Macroeconomic Forecasts

Financial Information and Macroeconomic Forecasts »

Source: Financial Information and Macroeconomic Forecasts

Volume/Issue: 2016/251

Series: IMF Working Papers

Author(s): Sophia Chen , and Romain Ranciere

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 December 2016

ISBN: 9781475563177

Keywords: Time series, Stock prices, Low-income developing countries, Economic forecasting, Emerging markets, Housing prices, Forecasting models, Developed countries, Credit expansion, Variables (Mathematics)

We study the forecasting power of financial variables for macroeconomic variables for 62 countries between 1980 and 2013. We find that financial variables such as credit growth, stock prices and house prices have c...

Saudi's Growth and Financial Spillovers to Other GCC Countries: An Empirical Analysis

Saudi's Growth and Financial Spillovers to Other GCC Countries: An Empirical Analysis »

Source: Saudi's Growth and Financial Spillovers to Other GCC Countries: An Empirical Analysis

Volume/Issue: 2018/278

Series: IMF Working Papers

Author(s): Olumuyiwa Adedeji , Sohaib Shahid , and Ling Zhu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 December 2018

ISBN: 9781484388792

Keywords: Saudi Arabia, Middle East, Growth, Gulf Corporation Council, Spillovers, Financial Markets and the Macroeconomy, Country and Industry Studies of Trade, Trade Forecasting and Simulation, International Policy Coordination and Transmission

This paper examines real and financial linkages between Saudi Arabia and other GCC countries. Growth spillovers from Saudi Arabia to Bahrain are found to be sizeable and statistically significant, but those to othe...

No Business Taxation Without Model Representation

No Business Taxation Without Model Representation »

Source: No Business Taxation Without Model Representation : Adding Corporate Income and Cash Flow Taxes to GIMF

Volume/Issue: 2017/259

Series: IMF Working Papers

Author(s): Benjamin Carton , Emilio Fernández Corugedo , and Benjamin Hunt

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 November 2017

ISBN: 9781484326015

Keywords: tax policy; business taxation; financial accelerator; corporate leverage; dynamic stochastic general equilibrium models; macroeconomic interdependence; tax policy; business taxation; dynamic stochastic general equilibrium models; macroeconomic interdependence; Forecasting and Simulation; Monetary Policy (Targets; Instruments; and Effects); Open Economy Macroeconomics

The Global Integrated Monetary and Fiscal model (GIMF) is a multi-region, forward-looking, DSGE model developed at the International Monetary Fund for policy analysis and international economic research. This paper...