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In Search of Coincident and Leading Indicators of Economic Activity in Argentina

In Search of Coincident and Leading Indicators of Economic Activity in Argentina »

Source: In Search of Coincident and Leading Indicators of Economic Activity in Argentina

Volume/Issue: 2001/30

Series: IMF Working Papers

Author(s): Alejandro Simone

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2001

ISBN: 9781451844917

Keywords: real gdp, forecasting, cointegration, statistics, equation, Forecasting and Other Model Applications, Macroeconomics: Production, Macroeconomics: Consumption, Saving, Production

Time series on economic activity in developing countries, in particular real GDP, are reported with important lags. Therefore, it is useful to construct indicators that coincide or lead the actual direction and lev...

IMF Drawing Programs

IMF Drawing Programs »

Source: IMF Drawing Programs : Participation Determinants and Forecasting

Volume/Issue: 2007/152

Series: IMF Working Papers

Author(s): Eugenio Cerutti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867169

Keywords: current account, imf credit outstanding, probability, probabilities, forecasting

This paper studies the factors that have influenced countries' participation in IMF drawing programs. IMF drawing programs are defined as the period of a Stand-By Arrangement or an Extended Fund Facilities program...

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets1

An Option-Based Approach to Bank Vulnerabilities in Emerging Markets1 »

Source: An Option-Based Approach to Bank Vulnerabilities in Emerging Markets

Volume/Issue: 2004/33

Series: IMF Working Papers

Author(s): Arnaud Jobert , Janet Kong , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451845211

Keywords: Distance-to-default, forecasting, banking, correlation, bank distress, probability,

We measure bank vulnerability in emerging markets using the distance-to-default, a risk-neutral indicator based on Merton's (1974) structural model of credit risk. The indicator is estimated using equity prices and...

Real-time Forecasts of Economic Activity for Latin American Economies

Real-time Forecasts of Economic Activity for Latin American Economies »

Source: Real-time Forecasts of Economic Activity for Latin American Economies

Volume/Issue: 2011/98

Series: IMF Working Papers

Author(s): Philip Liu , Rafael Romeu , and Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455254293

Keywords: Nowcasting, Short-term forecasting, Real-time data, and Latin America, gdp growth, forecasting, real gdp, equation, equations, Model Construction and Estimation

Macroeconomic policy decisions in real-time are based the assessment of current and future economic conditions. These assessments are made difficult by the presence of incomplete and noisy data. The problem is more...

How Well Do Economists Forecast Recessions?

How Well Do Economists Forecast Recessions? »

Source: How Well Do Economists Forecast Recessions?

Volume/Issue: 2018/39

Series: IMF Working Papers

Author(s): Zidong An , João Tovar Jalles , and Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 March 2018

ISBN: 9781484344873

Keywords: Economic forecasting, Economic recession, Economic models, Economic growth, Business cycles, Production growth, Financial crises, recession, bias, efficiency

We describe the evolution of forecasts in the run-up to recessions. The GDP forecasts cover 63 countries for the years 1992 to 2014. The main finding is that, while forecasters are generally aware that recession ye...

Predicting Emerging Market Currency Crashes

Predicting Emerging Market Currency Crashes »

Source: Predicting Emerging Market Currency Crashes

Volume/Issue: 2002/7

Series: IMF Working Papers

Author(s): W. Perraudin , Manmohan Kumar , and Uma Moorthy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2002

ISBN: 9781451842425

Keywords: emerging market crises, trading strategies, probability, exchange rate, probabilities, foreign exchange, forecasting

This paper assesses the extent to which crashes in emerging market currencies are predictable using simple logit models based on lagged macroeconomic and financial data. To evaluate our model, we calculate trading...

Fundamentals-Based Estimation of Default Probabilities - A Survey1

Fundamentals-Based Estimation of Default Probabilities - A Survey1 »

Source: Fundamentals-Based Estimation of Default Probabilities - A Survey

Volume/Issue: 2006/149

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451864090

Keywords: Default probabilities, scoring models, ratings models, probabilities, probability, banking, forecasting, bankrupt, Forecasting and Other Model Applications, Financial Economics: General

This survey reviews a number of different fundamentals-based models for estimating default probabilities for firms and/or industries, and illustrates them with real applications by practitioners and policy making i...

Uncovered Interest Parity in Crisis

Uncovered Interest Parity in Crisis »

Source: Uncovered Interest Parity in Crisis : The Interest Rate Defense in the 1990s

Volume/Issue: 2001/207

Series: IMF Working Papers

Author(s): Andrew Rose , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

ISBN: 9781451874655

Keywords: empirical, exchange rate, fixed, floating, developing, developed, exchange rate changes, exchange rates, standard errors, forecasting,

This paper tests for uncovered interest parity (UIP) using daily data for 23 developing and developed countries through the crisis-strewn 1990s. We find that UIP works better on average in the 1990s than in previou...

Autocorrelation-Corrected Standard Errors in Panel Probits

Autocorrelation-Corrected Standard Errors in Panel Probits »

Source: Autocorrelation-Corrected Standard Errors in Panel Probits : An Application to Currency Crisis Prediction

Volume/Issue: 2004/39

Series: IMF Working Papers

Author(s): Andrew Berg , and Rebecca Coke

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

ISBN: 9781451845860

Keywords: Currency crisis, early-warning systems, serial correlation, panel probit, standard errors, bootstrap, standard error, correlation, Simulation Methods, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Many estimates of early-warning-system (EWS) models of currency crisis have reported incorrect standard errors because of serial correlation in the context of panel probit regressions. This paper documents the magn...

Post-Crisis Recovery

Post-Crisis Recovery »

Source: Post-Crisis Recovery : When Does Increased Fiscal Discipline Work?

Volume/Issue: 2006/219

Series: IMF Working Papers

Author(s): Pritha Mitra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 October 2006

ISBN: 9781451864793

Keywords: sovereign debt, foreign debt, long-term debt, budget surplus, General Aggregative Models: General, Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data), Open Economy Macroeconomics, Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation,

Emerging market financial crises during the late 1990s were marked by sudden withdrawals of funds by foreign creditors, resulting in production declines. The IMF favored positive signals to potential foreign credit...