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After the Crisis

After the Crisis »

Source: After the Crisis : Assessing the Damage in Italy

Volume/Issue: 2010/244

Series: IMF Working Papers

Author(s): Silvia Sgherri , and Hanan Morsy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209446

Keywords: productivity growth, output losses, unemployment, total factor productivity, tfp, employment, real gdp, Multiple or Simultaneous Equation Models: Time-Series Models,

Italy's deep-rooted structural problems resulted in an unsatisfactory productivity performance and a dismal growth over the last 15 years. The global financial crisis has exacerbated these long-standing weaknesses,...

Systemic Risks and the Macroeconomy

Systemic Risks and the Macroeconomy »

Source: Systemic Risks and the Macroeconomy

Volume/Issue: 2010/29

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

ISBN: 9781451962567

Keywords: Dynamic Factor Model, Quantile Regressions, bank credit, forecasting, banking, bank lending, Econometric Modeling, Business Fluctuations, And Cycles, financial Institutions And Services,

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural...

France in the Global Economy

France in the Global Economy »

Source: France in the Global Economy : A Structural Approximate Dynamic Factor Model Analysis

Volume/Issue: 2007/129

Series: IMF Working Papers

Author(s): Francisco Nadal De Simone , and Alain Kabundi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

ISBN: 9781451866933

Keywords: Dynamic factor models, international business cycles, sign restrictions, fixed capital formation, capital formation, balance of payments, terms of trade, fixed investment,

This study identifies the main shocks that cause fluctuations in French output and their channels of transmission. It uses a large-dimensional structural approximate dynamic factor model. There are three main findi...

The Impact of the EMUon the Structure of European Equity Returns

The Impact of the EMUon the Structure of European Equity Returns »

Source: The Impact of the EMUon the Structure of European Equity Returns : An Empirical Analysis of the First 21 Months

Volume/Issue: 2001/84

Series: IMF Working Papers

Author(s): Thomas Kraus

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2001

ISBN: 9781451850642

Keywords: EMU, correlations, industry sectors, factor models, correlation, stock markets, stock market, International Monetary Arrangements and Institutions, Financial Aspects of Economic Integration,

Using symmetric data sets of 92 weekly return observations before and after the introduction of the euro, the paper analyzes the impact of the new currency on the return structure of equity markets in the European...

After the Crisis
			: Assessing the Damage in Italy

After the Crisis : Assessing the Damage in Italy »

Volume/Issue: 2010/244

Series: IMF Working Papers

Author(s): Silvia Sgherri , and Hanan Morsy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

DOI: http://dx.doi.org/10.5089/9781455209446.001

ISBN: 9781455209446

Keywords: productivity growth, output losses, unemployment, total factor productivity, tfp, employment, real gdp, Multiple or Simultaneous Equation Models: Time-Series Models,

Italy's deep-rooted structural problems resulted in an unsatisfactory productivity performance and a dismal growth over the last 15 years. The global financial crisis has exacerbated these long-standing weaknesses,...

Systemic Risks and the Macroeconomy

Systemic Risks and the Macroeconomy »

Volume/Issue: 2010/29

Series: IMF Working Papers

Author(s): Marcella Lucchetta , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2010

DOI: http://dx.doi.org/10.5089/9781451962567.001

ISBN: 9781451962567

Keywords: Dynamic Factor Model, Quantile Regressions, bank credit, forecasting, banking, bank lending, Econometric Modeling, Business Fluctuations, And Cycles, financial Institutions And Services,

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic financial risk, as well as stress-tests of these indicators as impulse responses to structural...

France in the Global Economy
			: A Structural Approximate Dynamic Factor Model Analysis

France in the Global Economy : A Structural Approximate Dynamic Factor Model Analysis »

Volume/Issue: 2007/129

Series: IMF Working Papers

Author(s): Francisco Nadal De Simone , and Alain Kabundi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

DOI: http://dx.doi.org/10.5089/9781451866933.001

ISBN: 9781451866933

Keywords: Dynamic factor models, international business cycles, sign restrictions, fixed capital formation, capital formation, balance of payments, terms of trade, fixed investment,

This study identifies the main shocks that cause fluctuations in French output and their channels of transmission. It uses a large-dimensional structural approximate dynamic factor model. There are three main findi...

The Impact of the EMUon the Structure of European Equity Returns
			: An Empirical Analysis of the First 21 Months

The Impact of the EMUon the Structure of European Equity Returns : An Empirical Analysis of the First 21 Months »

Volume/Issue: 2001/84

Series: IMF Working Papers

Author(s): Thomas Kraus

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2001

DOI: http://dx.doi.org/10.5089/9781451850642.001

ISBN: 9781451850642

Keywords: EMU, correlations, industry sectors, factor models, correlation, stock markets, stock market, International Monetary Arrangements and Institutions, Financial Aspects of Economic Integration,

Using symmetric data sets of 92 weekly return observations before and after the introduction of the euro, the paper analyzes the impact of the new currency on the return structure of equity markets in the European...