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Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds »

Source: Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Volume/Issue: 2010/9

Series: IMF Working Papers

Author(s): Aaron Howard Clifford Brown , Michael Papaioannou , and Iva Petrova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451961904

Keywords: Macrofinancial Linkages, bonds, government bonds, correlation, covariance, standard deviation,

This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic ass...

How Accurate Are Private Sector Forecasts

How Accurate Are Private Sector Forecasts »

Source: How Accurate Are Private Sector Forecasts : Cross-Country Evidence From Consensus Forecasts of Output Growth

Volume/Issue: 2000/77

Series: IMF Working Papers

Author(s): Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2000

ISBN: 9781451849981

Keywords: Forecasting, Recessions, GDP, Consensus, IMF, recession, standard deviation, correlation

This paper evaluates the performance of Consensus Forecasts of GDP growth for industrialized and developing countries from 1989 to 1998. The questions addressed are (1) How do forecast errors differ across industri...

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons »

Source: Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Volume/Issue: 2003/131

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451855302

Keywords: GARCH, high-frequency data, realized volatility, integrated volatility, and asymmetric volatility, forecasting, statistics, sampling, standard deviation, maximum likelihood estimation

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecast...

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds

Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds »

Volume/Issue: 2010/9

Series: IMF Working Papers

Author(s): Aaron Howard Clifford Brown , Michael Papaioannou , and Iva Petrova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

DOI: http://dx.doi.org/10.5089/9781451961904.001

ISBN: 9781451961904

Keywords: Macrofinancial Linkages, bonds, government bonds, correlation, covariance, standard deviation,

This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic ass...

How Accurate Are Private Sector Forecasts
			: Cross-Country Evidence From Consensus Forecasts of Output Growth

How Accurate Are Private Sector Forecasts : Cross-Country Evidence From Consensus Forecasts of Output Growth »

Volume/Issue: 2000/77

Series: IMF Working Papers

Author(s): Prakash Loungani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2000

DOI: http://dx.doi.org/10.5089/9781451849981.001

ISBN: 9781451849981

Keywords: Forecasting, Recessions, GDP, Consensus, IMF, recession, standard deviation, correlation

This paper evaluates the performance of Consensus Forecasts of GDP growth for industrialized and developing countries from 1989 to 1998. The questions addressed are (1) How do forecast errors differ across industri...

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons

Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons »

Volume/Issue: 2003/131

Series: IMF Working Papers

Author(s): Turgut Kisinbay

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

DOI: http://dx.doi.org/10.5089/9781451855302.001

ISBN: 9781451855302

Keywords: GARCH, high-frequency data, realized volatility, integrated volatility, and asymmetric volatility, forecasting, statistics, sampling, standard deviation, maximum likelihood estimation

Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecast...