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Productivity Shocks, Learning, and Open Economy Dynamics

Productivity Shocks, Learning, and Open Economy Dynamics »

Source: Productivity Shocks, Learning, and Open Economy Dynamics

Volume/Issue: 2004/88

Series: IMF Working Papers

Author(s): Jacques Miniane

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2004

ISBN: 9781451851199

Keywords: Learning, Current Account Dynamics, correlations, equation, correlation, random walk,

I study the implications of productivity shocks in a model where agents observe the aggregate level of productivity but not its permanent and transitory components separately. The model's predictions under learning...

Stock Market Response to Unexpected Macroeconomic News

Stock Market Response to Unexpected Macroeconomic News »

Source: Stock Market Response to Unexpected Macroeconomic News : The Australian Evidence

Volume/Issue: 1992/61

Series: IMF Working Papers

Author(s): Mahdi Sadeghi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1992

ISBN: 9781451964974

Keywords: inflation, survey, inflation rate, inflation rates, correlation

This paper provides empirical evidence on the relationship between unexpected changes in macroeconomic variables and Australian stock returns over the period 1980-1991. The results suggest that stock returns are po...

Empirical Modeling of Contagion

Empirical Modeling of Contagion »

Source: Empirical Modeling of Contagion : A Review of Methodologies

Volume/Issue: 2004/78

Series: IMF Working Papers

Author(s): Mardi Dungey , Renee Fry , Vance Martin , and Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2004

ISBN: 9781451850130

Keywords: contagion, equation, correlation, covariance, equations, Simulation Methods,

The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified fr...

How Does Globalization Affect the Synchronization of Business Cycles?

How Does Globalization Affect the Synchronization of Business Cycles? »

Source: How Does Globalization Affect the Synchronization of Business Cycles?

Volume/Issue: 2003/27

Series: IMF Working Papers

Author(s): Ayhan Kose , Eswar Prasad , and Marco Terrones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 March 2003

ISBN: 9781451844542

Keywords: Macroeconomic fluctuations, trade and financial integration, output and consumption comovement, correlations, financial integration, capital flows, correlation, Open Economy Macroeconomics, International Policy Coordination and Transmission,

This paper examines the impact of rising trade and financial integration on international business cycle comovement among a large group of industrial and developing countries. The results provide at best limited su...

Pure Contagion and Investors Shifting Risk Appetite

Pure Contagion and Investors Shifting Risk Appetite »

Source: Pure Contagion and Investors Shifting Risk Appetite : Analytical Issues and Empirical Evidence

Volume/Issue: 2001/134

Series: IMF Working Papers

Author(s): Manmohan Kumar , and Avinash Persaud

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2001

ISBN: 9781451855609

Keywords: Risk aversion, contagion affects, financial crises, contagion, correlation, probability, currency crises, Financial Institutions and Services: General,

This paper discusses a "pure" form of financial contagion, unrelated to economic fundamentals - investors' shifting appetite for risk. It provides an analytical framework for identifying changes in investors' risk...

Key Features of Australian Business Cycles

Key Features of Australian Business Cycles »

Source: Key Features of Australian Business Cycles

Volume/Issue: 2001/171

Series: IMF Working Papers

Author(s): Paul Cashin , and Sam Ouliaris

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2001

ISBN: 9781451858501

Keywords: duration dependence, real gdp, growth cycles, business cycle, correlation, Multiple or Simultaneous Equation Models: Time-Series Models,

This paper identifies and describes the key features of Australian business cycles during 1959-2000. In particular, we identify the chronologies in Australia's classical cycle (expansions and contractions in the le...

FIRST

FIRST »

Source: FIRST : A Market-Based Approach to Evaluate Financial System Risk and Stability

Volume/Issue: 2005/232

Series: IMF Working Papers

Author(s): Renzo Avesani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2005

ISBN: 9781451862515

Keywords: Large Complex Financial Institutions, financial institutions, probability, probabilities, correlation, Financial Institutions and Services: Government Policy and Regulation,

This paper presents background work that has been the basis for the development of the market and credit risk indicators (MRI and CRI, respectively) as published in the IMF's Global Financial Stability Report (GFSR...

An Index Number Formula Problem

An Index Number Formula Problem »

Source: An Index Number Formula Problem : The Aggregation of Broadly Comparable items

Volume/Issue: 2009/19

Series: IMF Working Papers

Author(s): Mick Silver

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

ISBN: 9781451871661

Keywords: Unit value index, Superlative index, Consumer price index, Producer Price Index, equation, statistics, correlation, political economy, number theory,

Index number theory informs us that if data on matched prices and quantities are available, a superlative index number formula is best to aggregate heterogeneous items, and a unit value index to aggregate homogeneo...

Productivity Shocks, Learning, and Open Economy Dynamics

Productivity Shocks, Learning, and Open Economy Dynamics »

Volume/Issue: 2004/88

Series: IMF Working Papers

Author(s): Jacques Miniane

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2004

DOI: http://dx.doi.org/10.5089/9781451851199.001

ISBN: 9781451851199

Keywords: Learning, Current Account Dynamics, correlations, equation, correlation, random walk,

I study the implications of productivity shocks in a model where agents observe the aggregate level of productivity but not its permanent and transitory components separately. The model's predictions under learning...

Stock Market Response to Unexpected Macroeconomic News
			: The Australian Evidence

Stock Market Response to Unexpected Macroeconomic News : The Australian Evidence »

Volume/Issue: 1992/61

Series: IMF Working Papers

Author(s): Mahdi Sadeghi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1992

DOI: http://dx.doi.org/10.5089/9781451964974.001

ISBN: 9781451964974

Keywords: inflation, survey, inflation rate, inflation rates, correlation

This paper provides empirical evidence on the relationship between unexpected changes in macroeconomic variables and Australian stock returns over the period 1980-1991. The results suggest that stock returns are po...