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How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries

How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries »

Source: How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries

Volume/Issue: 2011/231

Series: IMF Working Papers

Author(s): Philippe Bracke

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463921316

Keywords: Housing Cycles, House Prices, Duration Dependence, dependence, equation, probability, statistics, descriptive statistics, Duration Analysis,

This paper analyzes the duration of house price upturns and downturns in the last 40 years for 19 OECD countries. I provide two sets of results, one pertaining to the average length and the other to the length dist...

Creditless Recoveries1

Creditless Recoveries1 »

Source: Creditless Recoveries

Volume/Issue: 2011/58

Series: IMF Working Papers

Author(s): Abdul Abiad , Giovanni Dell'Ariccia , and Bin Li

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455221028

Keywords: Credit cycles, credit crunch, financial dependence, banking, banking crises, recessions, recession, Financial Markets and the Macroeconomy,

Recoveries that occur in the absence of credit growth are often dubbed miracles and named after mythical creatures. Yet these are not rare animals, and are not always miracles. About one out of five recoveries is "...

Systemic Risk and Asymmetric Responses in the Financial Industry1

Systemic Risk and Asymmetric Responses in the Financial Industry1 »

Source: Systemic Risk and Asymmetric Responses in the Financial Industry

Volume/Issue: 2012/152

Series: IMF Working Papers

Author(s): Germán López-Espinosa , Antonio Rubia , Laura Valderrama , and Antonio Moreno

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2012

ISBN: 9781475504347

Keywords: Value at Risk, systemic risk, tail-risk dependence, downside risk, financial system, statistics, bond, financial institutions, probability

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called Co...

The Composition Matters

The Composition Matters »

Source: The Composition Matters : Capital Inflows and Liquidity Crunch During a Global Economic Crisis

Volume/Issue: 2009/164

Series: IMF Working Papers

Author(s): Hui Tong , and Shang-Jin Wei

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

ISBN: 9781451873115

Keywords: Financial globalization, spillover, liquidity constraints, stock price, working capital, financial dependence, Financial Institutions And Services, Corporate Finance And Governance,

We study whether capital flows affect the degree of credit crunch faced by a country's manufacturing firms during the 2007-09 crisis. Examining 3823 firms in 24 emerging countries, we find that the decline in stock...

Income and Democracy

Income and Democracy »

Source: Income and Democracy : Lipset's Law Revisited

Volume/Issue: 2012/295

Series: IMF Working Papers

Author(s): Anke Hoeffler , Robert H. Bates , and Ghada Fayad

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 December 2012

ISBN: 9781475596649

Keywords: democracy, dynamic panel data, parameter heterogeneity, cross-section dependence, time series, democratization, error correction coefficient, econometrics, political institutions, Models with Panel Data

We revisit Lipset‘s law, which posits a positive and significant relationship between income and democracy. Using dynamic and heterogeneous panel data estimation techniques, we find a significant and negative relat...

Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections

Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections »

Source: Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections : An Application to Ecuador

Volume/Issue: 2016/236

Series: IMF Working Papers

Author(s): Francesco Grigoli , Mario Mansilla , and Martín Saldías

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 December 2016

ISBN: 9781475559347

Keywords: Ecuador, Credit risk, Banks, Econometric models, Stress testing, Western Hemisphere, Non-performing loans, Interconnectedness, Systemic risk, banks; cross-sectional dependence; heterogeneity; macro-financial linkages; non-performing loans; stress test

We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects NPL on the basis of such forecasts. Economic...

A Multi-industry Model of Growth with Financing Constraints

A Multi-industry Model of Growth with Financing Constraints »

Source: A Multi-industry Model of Growth with Financing Constraints

Volume/Issue: 2009/119

Series: IMF Working Papers

Author(s): Anna Ilyina , and Roberto Samaniego

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2009

ISBN: 9781451872668

Keywords: Financial development, industry growth, R&;amp;#x0026;D intensity, external finance dependence, convergence dynamics, structural change, r &;amp; d, r &;amp; d intensity, equation, r &;amp; d intensive industries

This paper develops a multi-industry growth model in which firms require external funds to conduct productivity-enhancing R&D. The cost of research is industry-specific. The tightness of financing constraints depen...

Technology and Finance

Technology and Finance »

Source: Technology and Finance

Volume/Issue: 2008/182

Series: IMF Working Papers

Author(s): Anna Ilyina , and Roberto Samaniego

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2008

ISBN: 9781451870404

Keywords: Technology, financial development, external finance dependence, industry growth, R&;amp;#x0026;D intensity, investment lumpiness, r &;amp; d, correlations, r &;amp; d intensity, standard errors

The benefits from financial development are known to vary across industries. However, no systematic effort has been made to determine the technological characteristics that are shared by industries that tend to gro...

How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries

How Long Do Housing Cycles Last? a Duration Analysis for 19 OECD Countries »

Volume/Issue: 2011/231

Series: IMF Working Papers

Author(s): Philippe Bracke

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

DOI: http://dx.doi.org/10.5089/9781463921316.001

ISBN: 9781463921316

Keywords: Housing Cycles, House Prices, Duration Dependence, dependence, equation, probability, statistics, descriptive statistics, Duration Analysis,

This paper analyzes the duration of house price upturns and downturns in the last 40 years for 19 OECD countries. I provide two sets of results, one pertaining to the average length and the other to the length dist...

Creditless Recoveries

Creditless Recoveries »

Volume/Issue: 2011/58

Series: IMF Working Papers

Author(s): Abdul Abiad , Giovanni Dell'Ariccia , and Bin Li

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

DOI: http://dx.doi.org/10.5089/9781455221028.001

ISBN: 9781455221028

Keywords: Credit cycles, credit crunch, financial dependence, banking, banking crises, recessions, recession, Financial Markets and the Macroeconomy,

Recoveries that occur in the absence of credit growth are often dubbed miracles and named after mythical creatures. Yet these are not rare animals, and are not always miracles. About one out of five recoveries is "...