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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...

Regional Economic Outlook, April 2008, Asia and Pacific

Regional Economic Outlook, April 2008, Asia and Pacific »

Series: Regional Economic Outlook

Author(s): International Monetary Fund. Asia and Pacific Dept

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 April 2008

DOI: http://dx.doi.org/10.5089/9781589067103.086

ISBN: 9781589067103

Keywords: recession, domestic demand, export growth, correlations, oil prices

2008 is shaping up as a challenging year for Asia. Activity in most economies remains fairly buoyant, but growth in the United States and, to a lesser extent, Europe is slowing sharply. Given its extensive trade an...

Are Prices Countercyclical?

Are Prices Countercyclical? »

Source: Are Prices Countercyclical?

Volume/Issue: 1992/88

Series: IMF Working Papers

Author(s): Eswar Prasad , and Bankim Chadha

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1992

ISBN: 9781451851076

Keywords: correlations, price level, rate of inflation, correlation

This paper examines the comovement of prices with the cyclical component of output. It argues that determining the cyclical behavior of prices by applying the same stationarity-inducing transformation to the levels...

Financial Linkages Between the U.S. and Latin America

Financial Linkages Between the U.S. and Latin America »

Source: Financial Linkages Between the U.S. and Latin America : Evidence from Daily Data

Volume/Issue: 2007/262

Series: IMF Working Papers

Author(s): Srideep Ganguly , and Roberto Benelli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2007

ISBN: 9781451868258

Keywords: stock market, correlations, bond, correlation, Financial linkages, U.S. Shocks,

Motivated by recent bursts of global financial market turbulence, this paper investigates the linkages between the financial markets in the United States and those of the seven largest Latin American economies, foc...

Linkages Among Asset Markets in the United States

Linkages Among Asset Markets in the United States »

Source: Linkages Among Asset Markets in the United States : Tests in a Bivariate GARCH Framework

Volume/Issue: 1999/158

Series: IMF Working Papers

Author(s): Parha Deb , and Salim Darbar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1999

ISBN: 9781451857566

Keywords: Logistic Exponential GARCH, conditional correlation, Granger causality, correlation, correlations, statistic, statistics, covariance

This paper develops a bivariate GARCH model that allows for time-varying conditional correlations and simultaneous testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket...

ECCU Business Cycles

ECCU Business Cycles »

Source: ECCU Business Cycles : Impact of the U.S.

Volume/Issue: 2009/71

Series: IMF Working Papers

Author(s): Yan Sun , and Wendell Samuel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2009

ISBN: 9781451872187

Keywords: linkages, common, cointegration, equation, correlation, statistic,

With a fixed peg to the U.S. dollar for more than three decades, the tourism-dependent Eastern Caribbean Currency Union (ECCU) countries share a close economic relationship with the U.S. This paper analyzes the imp...

Domestic, Foreign or Common Shocks?

Domestic, Foreign or Common Shocks? »

Source: Domestic, Foreign or Common Shocks?

Volume/Issue: 1996/107

Series: IMF Working Papers

Author(s): Stefania Fabrizio , and J. Lopez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1996

ISBN: 9781451852936

Keywords: covariance, statistics, domestic shocks, correlation, world economy

A stochastic general equilibrium model of the world economy is used to analyze the origin of international business cycles using data for Germany, Japan and the United States. The findings indicate that after 1973,...

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...

Cyclical Behavior of Inventories and Growth Projections Recent Evidence From Europe and the United States1

Cyclical Behavior of Inventories and Growth Projections Recent Evidence From Europe and the United States1 »

Source: Cyclical Behavior of Inventories and Growth Projections Recent Evidence From Europe and the United States

Volume/Issue: 2010/212

Series: IMF Working Papers

Author(s): Alexander Hoffmaister , and Jens Clausen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455205431

Keywords: Inventories, business cycle, inventory, correlation, statistics,

In the United States and a few European countries, inventory behavior is mainly the outcome of demand shocks: a standard buffer-stock model best characterizes these economies. But most European countries are descri...

The Volatility of Consumption in a Simple General Equilibrium Model

The Volatility of Consumption in a Simple General Equilibrium Model »

Source: The Volatility of Consumption in a Simple General Equilibrium Model

Volume/Issue: 1992/109

Series: IMF Working Papers

Author(s): Gunnar Tersman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1992

ISBN: 9781451946130

Keywords: optimization, time series, autocorrelation, correlation, consumption relative

This paper studies the volatility of consumption relative to output in the context of a simple general equilibrium model of a small open economy subject to exogenous shocks in productivity. With infinite horizons a...