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Spatial Dependence and Data-Driven Networks of International Banks

Spatial Dependence and Data-Driven Networks of International Banks »

Source: Spatial Dependence and Data-Driven Networks of International Banks

Volume/Issue: 2016/184

Series: IMF Working Papers

Author(s): Ben Craig , and Martín Saldías

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 September 2016

ISBN: 9781475536706

Keywords: Network analysis, spatial dependence, banking.

This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply spatial-dependence method...

Aggregate Uncertainty and Sectoral Productivity Growth

Aggregate Uncertainty and Sectoral Productivity Growth »

Source: Aggregate Uncertainty and Sectoral Productivity Growth : The Role of Credit Constraints

Volume/Issue: 2016/174

Series: IMF Working Papers

Author(s): Sangyup Choi , Davide Furceri , Yi Huang , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 August 2016

ISBN: 9781475526370

Keywords: productivity growth; financial dependence; uncertainty

We show that an increase in aggregate uncertainty-measured by stock market volatility-reduces productivity growth more in industries that depend heavily on external finance. This effect is larger during recessions,...

Real Effects of Capital Inflows in Emerging Markets

Real Effects of Capital Inflows in Emerging Markets »

Source: Real Effects of Capital Inflows in Emerging Markets

Volume/Issue: 2016/235

Series: IMF Working Papers

Author(s): Deniz Igan , Ali Kutan , and Ali Mirzae

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 December 2016

ISBN: 9781475558555

Keywords: Financial crises, Industrial sector, Capital flows, Capital inflows, Economic growth, Emerging markets, financial dependence, industry growth, emerging economies, General

We examine the association between capital inflows and industry growth in a sample of 22 emerging market economies from 1998 to 2010. We expect more external finance dependent industries in countries that host more...

Corporate Indebtedness and Low Productivity Growth of Italian Firms1

Corporate Indebtedness and Low Productivity Growth of Italian Firms1 »

Source: Corporate Indebtedness and Low Productivity Growth of Italian Firms

Volume/Issue: 2018/33

Series: IMF Working Papers

Author(s): Gareth Anderson , and Mehdi Raissi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 February 2018

ISBN: 9781484343265

Keywords: Productivity, Europe, Italy, Corporate debt, dynamic heterogeneous panel threshold models, cross-sectional dependence, Models with Panel Data, Firm Behavior: Empirical Analysis, General

Productivity growth in Italy has been persistently anemic and has lagged that of the euro area over the period 1999-2015, while the indebtedness of its corporate sector has increased. Using the ORBIS firm-level dat...

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...

Spatial Dependence and Data-Driven Networks of International Banks

Spatial Dependence and Data-Driven Networks of International Banks »

Volume/Issue: 2016/184

Series: IMF Working Papers

Author(s): Ben Craig , and Martín Saldías

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 September 2016

DOI: http://dx.doi.org/10.5089/9781475536706.001

ISBN: 9781475536706

Keywords: Network analysis, spatial dependence, banking.

This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply spatial-dependence method...

Aggregate Uncertainty and Sectoral Productivity Growth
			: The Role of Credit Constraints

Aggregate Uncertainty and Sectoral Productivity Growth : The Role of Credit Constraints »

Volume/Issue: 2016/174

Series: IMF Working Papers

Author(s): Sangyup Choi , Davide Furceri , Yi Huang , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 August 2016

DOI: http://dx.doi.org/10.5089/9781475526370.001

ISBN: 9781475526370

Keywords: productivity growth; financial dependence; uncertainty

We show that an increase in aggregate uncertainty-measured by stock market volatility-reduces productivity growth more in industries that depend heavily on external finance. This effect is larger during recessions,...

Is There a Debt-threshold Effect on Output Growth?1

Is There a Debt-threshold Effect on Output Growth?1 »

Source: Is There a Debt-threshold Effect on Output Growth?

Volume/Issue: 2015/197

Series: IMF Working Papers

Author(s): Alexander Chudik , Kamiar Mohaddes , M. Pesaran , and Mehdi Raissi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 September 2015

ISBN: 9781513513355

Keywords: Panel tests of threshold effects, long-run relationships, estimation and inference, large dynamic heterogeneous panels, cross-section dependence, and inflation, variables, gdp, cd, inflation

This paper studies the long-run impact of public debt expansion on economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. Our contribution is both theoretical and e...

Real Effects of Capital Inflows in Emerging Markets

Real Effects of Capital Inflows in Emerging Markets »

Volume/Issue: 2016/235

Series: IMF Working Papers

Author(s): Deniz Igan , Ali Kutan , and Ali Mirzae

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 December 2016

DOI: http://dx.doi.org/10.5089/9781475558555.001

ISBN: 9781475558555

Keywords: Financial crises, Industrial sector, Capital flows, Capital inflows, Economic growth, Emerging markets, financial dependence, industry growth, emerging economies, General

We examine the association between capital inflows and industry growth in a sample of 22 emerging market economies from 1998 to 2010. We expect more external finance dependent industries in countries that host more...

Corporate Indebtedness and Low Productivity Growth of Italian Firms

Corporate Indebtedness and Low Productivity Growth of Italian Firms »

Volume/Issue: 2018/33

Series: IMF Working Papers

Author(s): Gareth Anderson , and Mehdi Raissi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 February 2018

DOI: http://dx.doi.org/10.5089/9781484343265.001

ISBN: 9781484343265

Keywords: Productivity, Europe, Italy, Corporate debt, dynamic heterogeneous panel threshold models, cross-sectional dependence, Models with Panel Data, Firm Behavior: Empirical Analysis, General

Productivity growth in Italy has been persistently anemic and has lagged that of the euro area over the period 1999-2015, while the indebtedness of its corporate sector has increased. Using the ORBIS firm-level dat...