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Currency Crises

Currency Crises »

Source: Currency Crises : In Search of Common Elements

Volume/Issue: 2000/67

Series: IMF Working Papers

Author(s): Ranil Salgado , Jahangir Aziz , and Francesco Caramazza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

ISBN: 9781451848892

Keywords: Currency Crises, outliers, banking crises, standard deviations, standard deviation

The paper seeks to identify common characteristics among a variety of macroeconomic and financial variables for a large sample of currency crises in industrial countries and emerging market economies. It covers cri...

Volatility and Predictability in National Stock Markets

Volatility and Predictability in National Stock Markets »

Source: Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?

Volume/Issue: 1996/29

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

ISBN: 9781451844757

Keywords: emerging markets, predictability, autocorrelation, cointegration, standard deviation

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been n...

The Macroeconomic Effects of Capital Controls and the Stabilization of the Balance of Trade

The Macroeconomic Effects of Capital Controls and the Stabilization of the Balance of Trade »

Source: The Macroeconomic Effects of Capital Controls and the Stabilization of the Balance of Trade

Volume/Issue: 1990/109

Series: IMF Working Papers

Author(s): Enrique Mendoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1990

ISBN: 9781451946055

Keywords: capital controls, capital stock, probability distribution, domestic capital, standard deviation

A dynamic stochastic equilibrium model of a small open economy is used to quantify the macroeconomic effects of introducing capital controls to stabilize the balance of trade. This model focuses on the role of inte...

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...

Pooling Risk Among Countries

Pooling Risk Among Countries »

Source: Pooling Risk Among Countries

Volume/Issue: 2007/132

Series: IMF Working Papers

Author(s): Jean Imbs , and Paolo Mauro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

ISBN: 9781451866964

Keywords: Risk Sharing, Diversification, Enforceability, standard deviation, emerging markets, samples,

In this paper, we identify the groups of countries where international risk-sharing opportunities are most attractive. We show that the bulk of risk-sharing gains can be achieved in groups consisting of as few as s...

Public Policies and Private Savings and Investment in Sub-Saharan Africa

Public Policies and Private Savings and Investment in Sub-Saharan Africa »

Source: Public Policies and Private Savings and Investment in Sub-Saharan Africa : An Empirical Investigation

Volume/Issue: 1995/19

Series: IMF Working Papers

Author(s): Dhaneshwar Ghura , and Michael Hadjimichael

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1995

ISBN: 9781451922523

Keywords: private investment, standard deviation, equation, dummy variables, correlation

This paper assesses empirically the role of public policies in stimulating private savings and investment in sub-Saharan African countries, based on data for the period 1986-92. The main findings of the analysis ar...

A Small Quarterly Projection Model of the US Economy1

A Small Quarterly Projection Model of the US Economy1 »

Source: A Small Quarterly Projection Model of the US Economy

Volume/Issue: 2008/278

Series: IMF Working Papers

Author(s): Igor Ermolaev , Michel Juillard , Ioan Carabenciov , Charles Freedman , Douglas Laxton , Ondrej Kamenik , and Dmitry Korshunov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

ISBN: 9781451871364

Keywords: Macroeconomic Modeling, Bayesian Estimation, inflation, equation, correlation, forecasting, standard deviation,

This is the first of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both...

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...

The Terms of Trade and Economic Fluctuations

The Terms of Trade and Economic Fluctuations »

Source: The Terms of Trade and Economic Fluctuations

Volume/Issue: 1992/98

Series: IMF Working Papers

Author(s): Enrique Mendoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1992

ISBN: 9781451852066

Keywords: terms of trade, correlation, standard deviation, import prices, statistics

A three-good, stochastic intertemporal equilibrium model of a small open economy is used to examine the link between terms of trade and business cycles. Equilibrium co-movements of model economies representing indu...

The Relative Volatility of Commodity Prices

The Relative Volatility of Commodity Prices »

Source: The Relative Volatility of Commodity Prices : A Reappraisal

Volume/Issue: 2011/279

Series: IMF Working Papers

Author(s): Rabah Arezki , Daniel Lederman , and Hongyan Zhao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2011

ISBN: 9781463925963

Keywords: International Commodity Prices, Volatility, Manufactured Product Prices., commodity prices, foreign trade, standard deviations, international trade, standard deviation, Country and Industry Studies of Trade, Manufactured Product Prices,

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in international trade data from the United States over the period 2002 to 2011. The conventional wis...