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Stress Testing at the IMF

Stress Testing at the IMF »

Source: Stress Testing at the IMF

Volume/Issue: 2008/206

Series: IMF Working Papers

Author(s): Mark Swinburne , Stéphanie Marie Stolz , and Marina Moretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

ISBN: 9781451870640

Keywords: risk modeling, financial sector, financial institutions

For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's e...

Benchmark Priors Revisited

Benchmark Priors Revisited »

Source: Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Volume/Issue: 2009/202

Series: IMF Working Papers

Author(s): Martin Feldkircher , and Stefan Zeugner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873498

Keywords: Bayesian model averaging, hyper-g prior, shrinkage factor, Zellner&;amp;#x2019;s g prior, model uncertainty, growth econometrics, noise, probabilities, statistics, bayes factor

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and...

Avoid Filling Swiss Cheese with Whipped Cream

Avoid Filling Swiss Cheese with Whipped Cream »

Source: Avoid Filling Swiss Cheese with Whipped Cream : Imputation Techniques and Evaluation Procedures for Cross-Country Time Series

Volume/Issue: 2011/151

Series: IMF Working Papers

Author(s): Michael Weber , and Michaela Denk

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

ISBN: 9781455270507

Keywords: Missing or incomplete data, imputation quality, statistical matching, time series, missing data, algorithms, statistical methods, cluster analysis, Estimation, Model Evaluation and Selection

International organizations collect data from national authorities to create multivariate cross-sectional time series for their analyses. As data from countries with not yet well-established statistical systems may...

Credit Risk Spreads in Local and Foreign Currencies

Credit Risk Spreads in Local and Foreign Currencies »

Source: Credit Risk Spreads in Local and Foreign Currencies

Volume/Issue: 2009/110

Series: IMF Working Papers

Author(s): Zvi Wiener , and Dan Galai

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2009

ISBN: 9781451872576

Keywords: credit spread, currency mismatch, Merton&;amp;#x2019;s model, correlation, bond, present value, probability,

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign curr...

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...

Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions

Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions »

Source: Neglected Heterogeneity and Dynamics in Cross-Country Savings Regressions

Volume/Issue: 1999/128

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1999

ISBN: 9781451855036

Keywords: Saving behavior, OECD, cross-country studies, panel data models, slope heterogeneity, dynamics, Ricardian effect, time series, mean group, correlation

This paper examines the extent to which conclusions of cross-country studies of private savings are robust to allowing for the possible heterogeneity of savings behavior across countries and the inclusion of dynami...

Do Fiscal Spillovers Matter?

Do Fiscal Spillovers Matter? »

Source: Do Fiscal Spillovers Matter?

Volume/Issue: 2011/211

Series: IMF Working Papers

Author(s): Sebastian Weber , and Anna Ivanova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2011

ISBN: 9781463902315

Keywords: coordinated fiscal exit, fiscal changes, fiscal consolidation, fiscal measure, Macroeconomic Aspects Of International Trade And Finance, Macroeconomic - Aspects Of Public Finance, Macroeconomic Policy, And General Outlook, general Aggregative Models,

The paper assesses the impact of fiscal spillovers on growth in the context of a coordinated exit from crisis management policies. We find that despite potentially sizeable domestic effects from consolidation, aggr...

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...

An Integrated Framework for Financial Positions and Flowson a From-Whom-To-Whom Basis

An Integrated Framework for Financial Positions and Flowson a From-Whom-To-Whom Basis »

Source: An Integrated Framework for Financial Positions and Flowson a From-Whom-To-Whom Basis : Concepts, Status, and Prospects

Volume/Issue: 2012/57

Series: IMF Working Papers

Author(s): Segismundo Fassler , Manik Shrestha , and Reimund Mink

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463937751

Keywords: financial flows, financial accounts, balance sheet approach, financial instruments, central bank, financial assets, financial corporations, monetary fund, Methodology for Collecting, Estimating

The global crisis of 2008 highlighted the need to understand financial interconnectedness among the various sectors of an economy and between them and their counterparties in the rest of the world. However, applica...

Stress Testing at the IMF

Stress Testing at the IMF »

Volume/Issue: 2008/206

Series: IMF Working Papers

Author(s): Mark Swinburne , Stéphanie Marie Stolz , and Marina Moretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

DOI: http://dx.doi.org/10.5089/9781451870640.001

ISBN: 9781451870640

Keywords: risk modeling, financial sector, financial institutions

For almost a decade, the IMF has been using stress tests to identify vulnerabilities across institutions that could undermine the stability of a country's financial system. This working paper focuses on the IMF's e...