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Spillovers Across NAFTA

Spillovers Across NAFTA »

Source: Spillovers Across NAFTA

Volume/Issue: 2008/3

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Andrew Swiston

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2008

ISBN: 9781451868654

Keywords: NAFTA, correlation, covariance, correlations,

This paper examines linkages across North America by estimating the size of spillovers from the major regions of the world-the United States, euro area, Japan, and the rest of the world-to Canada and Mexico, and de...

Saving-Investment Correlations

Saving-Investment Correlations »

Source: Saving-Investment Correlations : Immobile Capital. Government Policy or Endogenous Behavior?

Volume/Issue: 1989/66

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 August 1989

ISBN: 9781451961881

Keywords: capital mobility, correlations, correlation, international capital, bootstrap

This paper analyzes reasons for the high post-war correlations of saving and investment, both across countries and over time. It is concluded that the main reason for the observed high correlations over the recent...

Methodologies of Price Indices in Transition Countries1/

Methodologies of Price Indices in Transition Countries1/ »

Source: Methodologies of Price Indices in Transition Countries

Volume/Issue: 1995/106

Series: IMF Working Papers

Author(s): Kimberly Zieschang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1995

ISBN: 9781451947113

Keywords: statistics, correlation, transition countries, survey, transition economies

Since late 1991, the IMF Statistics Department has conducted a program of technical assistance on consumer and producer price measurement and index compilation for the countries that have emerged from the former So...

Are Prices Countercyclical? Evidence From the G-7

Are Prices Countercyclical? Evidence From the G-7 »

Source: Are Prices Countercyclical? Evidence From the G-7

Volume/Issue: 1994/91

Series: IMF Working Papers

Author(s): Eswar Prasad , and Bankim Chadha

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1994

ISBN: 9781451851472

Keywords: correlations, price level, inflation rate, linear trend

This paper re-examines the cyclical behavior of prices using postwar quarterly data for the G-7. We confirm recent evidence that the price level is countercyclical. However, we find strong evidence that the inflati...

Correlations Between Real Interest Rates and Output in a Dynamic International Model

Correlations Between Real Interest Rates and Output in a Dynamic International Model »

Source: Correlations Between Real Interest Rates and Output in a Dynamic International Model : Evidence from G-7 Countries

Volume/Issue: 1998/179

Series: IMF Working Papers

Author(s): Jahanara Zaman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1998

ISBN: 9781451859003

Keywords: Adjustment costs, Habit persistence, Interest rates, correlations, real interest rates, correlation, real interest rate, predictions

This paper examines the extent to which a dynamic international general equilibrium model can account for observed movements in real interest rates and interest rate differentials. Using data for Group of Seven, th...

A Small Quarterly Projection Model of the US Economy1

A Small Quarterly Projection Model of the US Economy1 »

Source: A Small Quarterly Projection Model of the US Economy

Volume/Issue: 2008/278

Series: IMF Working Papers

Author(s): Igor Ermolaev , Michel Juillard , Ioan Carabenciov , Charles Freedman , Douglas Laxton , Ondrej Kamenik , and Dmitry Korshunov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

ISBN: 9781451871364

Keywords: Macroeconomic Modeling, Bayesian Estimation, inflation, equation, correlation, forecasting, standard deviation,

This is the first of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both...

Concordance in Business Cycles

Concordance in Business Cycles »

Source: Concordance in Business Cycles

Volume/Issue: 2000/37

Series: IMF Working Papers

Author(s): C. McDermott , and Alasdair Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

ISBN: 9781451845563

Keywords: Concordance, phase, statistic, correlation, statistics, random walks, sample size

We study the properties of a test that determines whether two time series comove. The test computes a simple nonparametric statistic for “concordance,” which describes the proportion of time that the...

The Terms of Trade and Economic Fluctuations

The Terms of Trade and Economic Fluctuations »

Source: The Terms of Trade and Economic Fluctuations

Volume/Issue: 1992/98

Series: IMF Working Papers

Author(s): Enrique Mendoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1992

ISBN: 9781451852066

Keywords: terms of trade, correlation, standard deviation, import prices, statistics

A three-good, stochastic intertemporal equilibrium model of a small open economy is used to examine the link between terms of trade and business cycles. Equilibrium co-movements of model economies representing indu...

Country and Industry Dynamics in Stock Returns

Country and Industry Dynamics in Stock Returns »

Source: Country and Industry Dynamics in Stock Returns

Volume/Issue: 2003/52

Series: IMF Working Papers

Author(s): Luis Catão , and Allan Timmermann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451847277

Keywords: Diversification, Risk, Volatility States, Regime Switching, correlations, probabilities, stock returns, covariances, correlation, Bayesian Analysis

A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure thes...

Trade, Finance, Specialization, and Synchronization

Trade, Finance, Specialization, and Synchronization »

Source: Trade, Finance, Specialization, and Synchronization

Volume/Issue: 2003/81

Series: IMF Working Papers

Author(s): Jean Imbs

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2003

ISBN: 9781451850383

Keywords: specialization, financial openness, international business cycle, optimal currency area, financial integration, equation, correlations, correlation, bilateral trade, Open Economy Macroeconomics,

The paper investigates the determinants of business cycles synchronization across regions. It uses both international and intranational data to evaluate the linkages between trade in goods, trade in financial asset...