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Western Hemisphere > Argentina

You are looking at 1 - 10 of 13 items for :

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Cover IMF Working Papers
Spatial Spillovers in Emerging Market Spreads
Mr. Salvatore Dell'Erba
,
Mr. Emanuele Baldacci
, and
Mr. Tigran Poghosyan
We use novel spatial econometrics techniques to explore spillovers in the sovereign bond market for 24 emerging economies during 1995-2010. The paper extends the previous literature focusing on spillover effects from advanced to emerging economies by analyzing transmission of shocks across emerging markets. After controlling for the impact of global factors, we find strong evidence of spillovers from both sovereign spreads and macroeconomic fundamentals in neighboring emerging economies. In addition to the geographical proximity, the channels of spatial transmission include trade and financial linkages. The results of the paper highlight the importance of accounting not only for spillovers from advanced economies to emerging markets, but also across emerging markets when analyzing sovereign spreads.
Keywords:
WP; business cycle; debt; EM; sovereign spreads; emerging market; spillovers; spatial econometrics; Ols estimation; stripped bond; EM fundamentals; GDP ratio; EM sovereign; correlation matrix; estimation result; intra-EM spillover; trade linkage; Spatial models; Inflation; Business cycles; Global
Cover IMF Working Papers
Real-time Forecasts of Economic Activity for Latin American Economies
Mr. Philip Liu
,
Rafael Romeu
, and
Mr. Troy D Matheson
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 acute for emerging market economies, where most economic data are released infrequently with a (sometimes substantial) lag. This paper evaluates "nowcasts" and forecasts of real GDP growth using five alternative models for ten Latin American countries. The results indicate that the flow of monthly data helps to improve forecast accuracy, and the dynamic factor model consistently produces more accurate nowcasts and forecasts relative to other model specifications, across most of the countries we consider.
Keywords:
WP
Cover IMF Working Papers
Structural Breaks in Fiscal Performance: Did Fiscal Responsibility Laws Have Anything to Do with Them?
Leandro Medina
,
Carlos Caceres
, and
Ms. Ana Corbacho
In recent years, many countries have adopted Fiscal Responsibility Laws to strengthen fiscal institutions and promote fiscal discipline in a credible, predictable and transparent manner. Still, results on the effectiveness of these laws remain tentative. In this paper, we test empirically whether fiscal performance, measured as the level of primary fiscal balances and their volatility, indeed improved after the implementation of Fiscal Responsibility Laws in a sample of Latin American and advanced economies. We show that traditional econometric approaches, which rely on the use of dummies in time series or panel regressions, yield biased estimates. In contrast, our empirical strategy recognizes that, a priori, the timing of the effect of these laws on fiscal performance is unknown, while controlling for the impact of the business and commodity cycles on fiscal outcomes. Overall, we find limited empirical evidence in support of the view that Fiscal Responsibility Laws have had a distinguishable effect on fiscal performance. However, Fiscal Responsibility Laws could still have other positive effects on the conduct of fiscal policy not analyzed here, for instance, through enhanced transparency and guidance in the budget process and lower risk premia.
Keywords:
WP; FRL dummy
Cover IMF Working Papers
International Pricing of Emerging Market Corporate Debt: Does the Corporate Matter?
Ms. Sonja Keller
and
Mr. Ashoka Mody
We examine risk spreads charged on corporate bonds placed by emerging market borrowers on international exchanges. While global developments have an important effect on spreads, changes in firm-level default risk also matter significantly in a way consistent with theory and experience in mature markets. In contrast, except during periods of financial crisis, country factors play a limited role. These findings go against the supposition that limited information on emerging market firms or significant agency problems prevent firm-level credit discrimination by international investors. The firm-level information capitalization into spreads possibly reflects protection afforded by the exchange listing on international markets.
Keywords:
WP; equity return; market equity; GMM estimator; firm equity; country risk; GMM-system estimator; Corporate bonds; bond spreads; Fama-French factors; equity data; risk arbitrage; U.S. dollar; market volatility; Fixed-Effects estimator; Emerging and frontier financial markets; Stock markets; Stocks; Estimation techniques; Bonds; Global
Cover IMF Working Papers
Fundamentals-Based Estimation of Default Probabilities - A Survey
Mr. Jorge A Chan-Lau
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 institutions. The models are especially useful when the firms analyzed do not have publicly traded securities or secondary market prices are unreliable because of low liquidity.
Keywords:
WP; default probability; credit scoring
Cover IMF Working Papers
Common Factors in Latin America's Business Cycles
Mr. Allan Timmermann
,
Mr. Luis Catão
, and
Mr. Marco Aiolfi
This paper constructs new business cycle indices for Argentina, Brazil, Chile, and Mexico based on common dynamic factors extracted from a comprehensive set of sectoral output, external data, and fiscal and financial variables spanning over a century. The constructed indices are used to derive a business cycle chronology for these countries and characterize a set of new stylized facts. In particular, we show that all four countries have historically displayed a striking combination of high business cycle and persistence relative to benchmark countries, and that such volatility has been time-varying, with important differences across policy regimes. We also uncover a sizeable common factor across the four economies which has greatly limited scope for regional risk sharing.
Keywords:
WP; real GDP; standard deviation; economic activity; government spending; Business Cycles; Factor Models; Latin America; business cycle volatility; shortening business cycle length; volatility in Latin America; time series; backcasted business cycle; density function; business cycle driver; Terms of trade; Economic recession; Global; Middle East; Africa; Asia and Pacific
Cover IMF Working Papers
What Determines Long-Run Macroeconomic Stability? Democratic Institutions
Mr. Arvind Subramanian
and
Mr. Shanker Satyanath
We examine the deep determinants of long-run macroeconomic stability in a cross-country framework. We find that conflict, openness, and democratic political institutions have a strong and statistically significant causal impact on macroeconomic stability. Surprisingly the most robust relationship of the three is for democratic institutions. A one standard deviation increase in democracy can reduce nominal instability nearly fourfold. This impact is robust to alternative measures of democracy, samples, covariates, and definitions of conflict. It is particularly noteworthy that a variety of nominal pathologies discussed in the recent macroeconomic literature, such as procyclical policy, original sin, and debt intolerance, have common origins in weak democratic institutions. We also find evidence that democratic institutions both strongly influence monetary policy and have a strong, independent positive effect on stability after controlling for various policy variables.
Keywords:
WP; central bank; time series; public goods; dependent variable; Macroeconomic instability; political institutions; openness; conflict; political system; inflation country; democracy rating; least squares; Income inequality; Estimation techniques; Inflation; Multiple currency practices; Exchange rates; Sub-Saharan Africa; Africa
Cover IMF Working Papers
Autocorrelation-Corrected Standard Errors in Panel Probits: An Application to Currency Crisis Prediction
Mr. Andrew Berg
and
Rebecca N. Coke
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 magnitude of the problem, proposes and tests a solution, and applies it to previously published EWS estimates. We find that (1) the uncorrected probit estimates substantially underestimate the true standard errors, by up to a factor of four; (2) a heteroskedasicity- and autocorrelation-corrected (HAC) procedure produces accurate estimates; and (3) most variables from the original models remain significant, though substantially less so than had been previously thought.
Keywords:
WP; Currency crisis; early-warning systems; serial correlation; panel probit; standard error estimate; coefficient estimate; bootstrap estimate; bootstrap estimator; HAC estimate; covariance estimator; Currency crises; Early warning systems; Export performance; Real exchange rates; Estimation techniques
Cover IMF Working Papers
An Empirical Reassessment of the Relationship Between Finance and Growth
Mr. Giovanni Favara
This paper reexamines the empirical relationship between financial development and economic growth. It presents evidence based on cross-section and panel data using an updated dataset, a variety of econometric methods, and two standard measures of financial development: the level of liquid liabilities of the banking system and the amount of credit issued to the private sector by banks and other financial institutions. The paper identifies two sets of findings. First, in contrast with the recent evidence of Levine, Loayza, and Beck (2001), cross-section and panel-data-instrumental-variables regressions reveal that the relationship between financial development and economic growth is, at best, weak. Second, there is evidence of nonlinearities in the data, suggesting that finance matters for growth only at intermediate levels of financial development. Moreover, using a procedure appropriately designed to estimate long-run relationships in a panel with heterogeneous slope coefficients, there is no clear indication that finance spurs economic growth. Instead, for some specifications, the relationship is, puzzlingly, negative.
Keywords:
WP; economic growth; dependent variable; time series; Financial development; panel methods; GMM estimator; PMG estimator; panel estimator; slope coefficient; growth rate; two-step GMM estimator; two-step estimator; system GMM estimator; Financial sector development; Estimation techniques; Financial sector; Financial statistics; Threshold analysis; Africa
Cover IMF Working Papers
Firm-Level Evidenceon International Stock Market Comovement
Mr. Robin Brooks
and
Mr. Marco Del Negro
We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific shocks. We find a large and highly significant link: on average, a firm raising its international sales by 10 percent raises the exposure of its stock return to global shocks by 2 percent and reduces its exposure to country-specific shocks by 1.5 percent. This link has grown stronger since the mid-1980s.
Keywords:
WP; sales beta; balance sheet; Diversification; risk; international financial markets; industrial structure; firm level; sales firm; sales variable; cross-sectional regression; goods firm; Stock markets; Stocks; Capital account; Personal income; Factor models; Global