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Exchange Market Pressure, Currency Crises, and Monetary Policy

Exchange Market Pressure, Currency Crises, and Monetary Policy »

Source: Exchange Market Pressure, Currency Crises, and Monetary Policy : Additional Evidence From Emerging Markets

Volume/Issue: 2002/14

Series: IMF Working Papers

Author(s): Evan Tanner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2002

ISBN: 9781451843132

Keywords: currency crisis, exchange market pressure, exchange rate, vector autoregression, inflation, monetary base, money supply, central bank, Money And Interest Rates, Macroeconomic Aspects Of International Trade And Finance,

This paper extends my previous work by examining the relationship between monetary policy and exchange market pressure (EMP) in 32 emerging market countries. EMP is a gauge of the severity of crises, and part of th...

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...

Exchange Market Pressure, Currency Crises, and Monetary Policy
			: Additional Evidence From Emerging Markets

Exchange Market Pressure, Currency Crises, and Monetary Policy : Additional Evidence From Emerging Markets »

Volume/Issue: 2002/14

Series: IMF Working Papers

Author(s): Evan Tanner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2002

DOI: http://dx.doi.org/10.5089/9781451843132.001

ISBN: 9781451843132

Keywords: currency crisis, exchange market pressure, exchange rate, vector autoregression, inflation, monetary base, money supply, central bank, Money And Interest Rates, Macroeconomic Aspects Of International Trade And Finance,

This paper extends my previous work by examining the relationship between monetary policy and exchange market pressure (EMP) in 32 emerging market countries. EMP is a gauge of the severity of crises, and part of th...

Exploration of the Brazilian Term Structure in a Hidden Markov Framework

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

DOI: http://dx.doi.org/10.5089/9781455211937.001

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...