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Asymmetry in the ERM

Asymmetry in the ERM »

Source: Asymmetry in the ERM : A Case Study of French and German Interest Rates Since Basle-Nyborg

Volume/Issue: 1992/96

Series: IMF Working Papers

Author(s): W. Perraudin , and E. Gardner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1992

ISBN: 9781451949988

Keywords: standard errors, monetary policy, covariance, monetary system

We study empirically daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree o...

Stability of Velocity in the Group of Seven Countries

Stability of Velocity in the Group of Seven Countries »

Source: Stability of Velocity in the Group of Seven Countries : A Kalman Filter Approach

Volume/Issue: 1990/80

Series: IMF Working Papers

Author(s): Eduard Bomhoff

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1990

ISBN: 9781451955392

Keywords: standard error, covariance, money demand, time series

This paper estimates forecasting models using annual data for the income velocity of money in the G-7 countries. The predictions are conditional upon the realized value of the long-term domestic government bond rat...

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,...

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds »

Source: Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Volume/Issue: 2010/9

Series: IMF Working Papers

Author(s): Aaron Howard Clifford Brown , Michael Papaioannou , and Iva Petrova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451961904

Keywords: Macrofinancial Linkages, bonds, government bonds, correlation, covariance, standard deviation,

This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic ass...

Asymmetry in the ERM
			: A Case Study of French and German Interest Rates Since Basle-Nyborg

Asymmetry in the ERM : A Case Study of French and German Interest Rates Since Basle-Nyborg »

Volume/Issue: 1992/96

Series: IMF Working Papers

Author(s): W. Perraudin , and E. Gardner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1992

DOI: http://dx.doi.org/10.5089/9781451949988.001

ISBN: 9781451949988

Keywords: standard errors, monetary policy, covariance, monetary system

We study empirically daily French and German interest rate changes since the Basle-Nyborg agreement of September 1987. In particular, we ask whether the shock associated with German unification altered the degree o...

Stability of Velocity in the Group of Seven Countries
			: A Kalman Filter Approach

Stability of Velocity in the Group of Seven Countries : A Kalman Filter Approach »

Volume/Issue: 1990/80

Series: IMF Working Papers

Author(s): Eduard Bomhoff

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1990

DOI: http://dx.doi.org/10.5089/9781451955392.001

ISBN: 9781451955392

Keywords: standard error, covariance, money demand, time series

This paper estimates forecasting models using annual data for the income velocity of money in the G-7 countries. The predictions are conditional upon the realized value of the long-term domestic government bond rat...

Domestic, Foreign or Common Shocks?

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

DOI: http://dx.doi.org/10.5089/9781451852936.001

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,...

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds »

Volume/Issue: 2010/9

Series: IMF Working Papers

Author(s): Aaron Howard Clifford Brown , Michael Papaioannou , and Iva Petrova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

DOI: http://dx.doi.org/10.5089/9781451961904.001

ISBN: 9781451961904

Keywords: Macrofinancial Linkages, bonds, government bonds, correlation, covariance, standard deviation,

This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic ass...