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Business and Economics > Information Management

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

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  • Financial Economics x
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Cover IMF Working Papers
Derivative Margin Calls: A New Driver of MMF Flows
Maddalena Ghio
,
Linda Rousova
,
Dilyara Salakhova
, and
German Villegas Bauer
During the March 2020 market turmoil, euro area money-market funds (MMFs) experienced significant outflows, reaching almost 8% of assets under management. This paper investigates whether the volatility in MMF flows was driven by investors’ liquidity needs related to derivative margin payments. We combine three highly granular unique data sources (EMIR data for derivatives, SHSS data for investor holdings of MMFs and Refinitiv Lipper data for daily MMF flows) to construct a daily fund-level panel dataset spanning from February to April 2020. We estimate the effects of variation margin paid and received by the largest holders of EURdenominated MMFs on flows of these MMFs. The main findings suggest that variation margin payments faced by some investors holding MMFs were an important driver of the flows of EUR-denominated MMFs domiciled in euro area.
Keywords:
liquidity risk; money market funds; big data; interconnectedness; non-bank financial intermediaries.; EUR-denominated MMFs; derivative margin calls; MMF flow; variation margin payment; VM flow; Stocks; Liquidity; Mutual funds; Nonbank financial institutions; Pension spending; Global; IMF working paper research Department; derivatives reform; margin payment; Derivative markets
Cover IMF Staff Country Reports
Republic of Latvia: Selected Issues
International Monetary Fund. African Dept.
Selected Issues
Keywords:
term premium; premium in the Baltic; staff team of the International Monetary Fund; nominal NPLS; Latvia's lending rate; Loans; Credit; Big data; Nonperforming loans; Bank credit; Baltics
Cover IMF Working Papers
Using the Google Places API and Google Trends Data to Develop High Frequency Indicators of Economic Activity
Mr. Paul A Austin
,
Mr. Marco Marini
,
Alberto Sanchez
,
Chima Simpson-Bell
, and
James Tebrake
As the pandemic heigthened policymakers’ demand for more frequent and timely indicators to assess economic activities, traditional data collection and compilation methods to produce official indicators are falling short—triggering stronger interest in real time data to provide early signals of turning points in economic activity. In this paper, we examine how data extracted from the Google Places API and Google Trends can be used to develop high frequency indicators aligned to the statistical concepts, classifications, and definitions used in producing official measures. The approach is illustrated by use of Google data-derived indicators that predict well the GDP trajectories of selected countries during the early stage of COVID-19. To this end, we developed a methodological toolkit for national compilers interested in using Google data to enhance the timeliness and frequency of economic indicators.
Keywords:
Reopening; COVID-19; High-Frequency Data; Business Register.; Google Trends data; Google data; high-frequency data; high frequency indicator; reopening Indicator; APIs; Big data; Manufacturing; Africa; Global
Cover IMF Research Bulletin
IMF Research Perspectives: Spring/Summer 2018
IMF Research Perspective (formerly published as IMF Research Bulletin) is a new, redesigned online newsletter covering updates on IMF research. In the inaugural issue of the newsletter, Hites Ahir interviews Valeria Cerra; and they discuss the economic environment 10 years after the global financial crisis. Research Summaries cover the rise of populism; economic reform; labor and technology; big data; and the relationship between happiness and productivity. Sweta C. Saxena was the guest editor for this inaugural issue.
Keywords:
IRB; big data wave; populism; product market reform; reform agenda; rise of populism; big data innovation; Big data; Global financial crisis of 2008-2009; Personal income; Output gap; Global; Europe
Cover Policy Papers
Overarching Strategy on Data and Statistics at the Fund in the Digital Age
International Monetary Fund. Strategy, Policy, &amp
and
Review Department
The first data and statistics strategy for the Fund comes at a critical time. A fast-changing data landscape, new data needs for evolving surveillance priorities, and persisting data weaknesses across the membership pose challenges and opportunities for the Fund and its members. The challenges emerging from the digital revolution include an unprecedented amount of new data and measurement questions on growth, productivity, inflation, and welfare. Newly available granular and high-frequency (big) data offer the potential for more timely detection of vulnerabilities. In the wake of the crisis, Fund surveillance requires greater cross-country data comparability; staff and authorities face the complexity of integrating new data sources and closing data gaps, while working to address the weaknesses noted by the IEO Report (Behind the Scenes with Data at the IMF) in 2016. The overarching strategy is to move toward an ecosystem of data and statistics that enables the Fund and its members to better meet the evolving data needs in a digital world. It integrates Fund-wide work streams on data provision to the Fund for surveillance purposes, international statistical standards, capacity development, and data management under a common institutional objective. It seeks seamless access and sharing of data within the Fund, enabling cloud-based data dissemination to support data provision by member countries (e.g., the “global data commons”), closing data gaps with new sources including Big Data, and improving assessments of data adequacy for surveillance to help better prioritize capacity development. The Fund also will work with policymakers to understand the implications of the digital economy and digital data for the macroeconomic statistics, including new measures of welfare beyond GDP.
Keywords:
PP; director; data landscape; consumer sentiment; Fund staff estimate; data commons; data weakness; big data experiment; Big data; Data dissemination; Special Data Dissemination Standard (SDDS); Global
Cover Policy Papers
Progress Report on the Activities of the Independent Evaluation Office
International Monetary Fund
This report summarizes the activities of the Independent Evaluation Office (IEO) since the 2011 Annual Meetings. In this period, the IEO has advanced work on three ongoing evaluations: International Reserves: IMF Advice and Country Perspectives, The Role of the IMF as Trusted Advisor, and Learning from Experience at the IMF: An IEO Assessment of Self-Evaluation Systems. The IEO expects to submit these evaluations to the Executive Board over the course of the year. The IEO has begun consultations on topics for future evaluations and will present a tentative work program to the Executive Board for review in due course.
Keywords:
PP; evaluation; IEO evaluation; IMF governance; stakeholder
Cover IMF Working Papers
The End of An Era? the Medium- and Long-Term Effects of the Global Crisison Growth in Low-Income Countries
Mr. Chris Papageorgiou
,
Mr. Andrew Berg
,
Ms. Catherine A Pattillo
, and
Mr. Nikola Spatafora
This paper investigates the medium- and long-term growth effects of the global financial crises on Low-Income Countries (LICs). Using several methodological approaches, including impulse response function analysis, growth spells techniques and panel regressions, we show that external demand (ED) shocks are not historically associated with sharp declines in output growth. Given existing evidence that LICs were primarily impacted by such a shock in the global financial crisis, our analysis provides some optimism on the chances that LICs will avoid a protracted period of slow growth. However, we also show that there seem to be persistent output losses associated with ED shocks in the medium-run. In terms of policy implications, our analysis provides evidence that countries with lower deficits, lower debt, more flexible exchange rate regimes, and a higher stock of international reserves are more likely to dampen the effects of an ED shock on growth.
Keywords:
WP; crisis; TOT shock; Low-income country; TOT growth
Cover IMF Staff Country Reports
Pakistan: Report on the Observance of Standards and Codes—Data Module, Reassessment of Monetary Statistics; Response by the Authorities; and Detailed Assessment Using Quality Assessment Framework (DQAF)
International Monetary Fund
This paper discusses key findings of the Report on the Observance of Standards and Codes on Data Module for Pakistan. Based on the review of Pakistan’s statistical practices, recommendations are made that are aimed at strengthening Pakistan’s adherence to the internationally accepted practices, as well as at enhancing the usefulness of its monetary statistics. For the central bank’s survey, it is recommended to revalue the State Bank of Pakistan’s Fund positions and gold assets on a monthly basis at end-month market exchange rates and market gold prices.
Keywords:
ISCR; CR; fund position; data; data revision policy; SBP staff; market gold price; ROSC data Module; SBP's website; finance department of SBP; Monetary statistics; Big data; Commercial banks; Financial statements; Data collection
Cover IMF Staff Country Reports
Seychelles: Statistical Annex
International Monetary Fund
In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.
Keywords:
ISCR; CR; net; Seychelles rupee; central bank of Seychelles; net error; demand deposit; factor income; net petroleum earnings; net surplus; net factor income; net credit; Imports; Agroindustries; Transportation; Information and data management; Exports; Africa; Middle East; Western Hemisphere; Europe
Cover IMF Working Papers
Improving the Management of a Central Bank: A Case Study
Mr. John Mendzela
This paper examines how major efficiency gains and improved effectiveness were simultaneously achieved at the Reserve Bank of New Zealand over a five-year period. It identifies the business management concepts that were used to transform the organization, outlines how they were applied, and evaluates the benefits obtained. The paper concludes that substantial real efficiency gains were achieved, while effectiveness was maintained or enhanced. Looking more widely, the business management concepts used to achieve these benefits could be applied to other central banks.
Keywords:
WP; efficiency gain; RBNZ staff; senior management; The RBNZ culture; property manager; resource base; RBNZ culture; RBNZ organization chart; RBNZ goal; internal audit group; RBNZ change; price stability objective; staff number; career staff; Budget planning and preparation; Information and data management; Performance audit; Employment