Narrow Your Choices

Refine By Topic

Refine By Series

Refine By Language

Refine By Date

—

Refine By IMF Taxonomy

Refine By JEL Taxonomy

Refine by LOC Taxonomy

Refine By THEMA Taxonomy

  • Print
  • Save

Middle East and Central Asia > Saudi Arabia

You are looking at 1 - 8 of 8 items for :

  • Type: Journal Issue x
  • Econometric analysis x
Clear All Modify Search
Cover IMF Working Papers
Measuring Concentration Risk - A Partial Portfolio Approach
Pierpaolo Grippa
and
Lucyna Gornicka
Concentration risk is an important feature of many banking sectors, especially in emerging and small economies. Under the Basel Framework, Pillar 1 capital requirements for credit risk do not cover concentration risk, and those calculated under the Internal Ratings Based (IRB) approach explicitly exclude it. Banks are expected to compensate for this by autonomously estimating and setting aside appropriate capital buffers, which supervisors are required to assess and possibly challenge within the Pillar 2 process. Inadequate reflection of this risk can lead to insufficient capital levels even when the capital ratios seem high. We propose a flexible technique, based on a combination of “full” credit portfolio modeling and asymptotic results, to calculate capital requirements for name and sector concentration risk in banks’ portfolios. The proposed approach lends itself to be used in bilateral surveillance, as a potential area for technical assistance on banking supervision, and as a policy tool to gauge the degree of concentration risk in different banking systems.
Keywords:
WP; risk factor; concentration risk; Basel capital requirements; Pillar 2; Credit VaR; capital charge; bank portfolio; asset correlation; Basel capital framework; requirement formula; Credit risk; Credit; Asset valuation; Basel II; Vector autoregression; Global
Cover IMF Working Papers
China's Slowdown and Global Financial Market Volatility: Is World Growth Losing Out?
Mr. Paul Cashin
,
Mr. Kamiar Mohaddes
, and
Mr. Mehdi Raissi
China's GDP growth slowdown and a surge in global financial market volatility could both adversely affect an already weak global economic recovery. To quantify the global macroeconomic consequences of these shocks, we employ a GVAR model estimated for 26 countries/regions over the period 1981Q1 to 2013Q1. Our results indicate that (i) a one percent permanent negative GDP shock in China (equivalent to a one-off one percent growth shock) could have significant global macroeconomic repercussions, with world growth reducing by 0.23 percentage points in the short-run; and (ii) a surge in global financial market volatility could translate into a fall in world economic growth of around 0.29 percentage points, but it could also have negative short-run impacts on global equity markets, oil prices and long-term interest rates.
Keywords:
WP; China’s slowdown; global financial market volatility; international business cycle; Global VAR; financial market volatility; world commodity market; GVAR model; slowdown pose; volatility shock; trade weight; growth spillover; commodity price linkage; China slowdown; Vector autoregression; Oil prices; Financial soundness indicators; Long term interest rates; Plurilateral trade; Global
Cover IMF Working Papers
The U.S. Oil Supply Revolution and the Global Economy
Mr. Kamiar Mohaddes
and
Mr. Mehdi Raissi
This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through imposing dynamic sign restrictions on the impulse responses of the model. The results show that there are considerable heterogeneities in the responses of different countries to a U.S. supply-driven oil price shock, with real GDP increasing in both advanced and emerging market oil-importing economies, output declining in commodity exporters, inflation falling in most countries, and equity prices rising worldwide. Overall, our results suggest that following the U.S. oil revolution, with oil prices falling by 51 percent in the first year, global growth increases by 0.16 to 0.37 percentage points. This is mainly due to an increase in spending by oil importing countries, which exceeds the decline in expenditure by oil exporters.
Keywords:
WP; Tight oil; shale oil; fracking revolution; oil price decline; oil supply; global macroeconometric modeling; international business cycle; oil exporter; oil-price shock; equity price; oil importer; error correction term; oil price data; oil-price environment; standard deviation; MENA oil importer; commodity exporter; price of oil; oil price environment; Oil prices; Oil; gas and mining taxes; Oil production; Vector autoregression; Global; Middle East; North Africa
Cover IMF Working Papers
Policy and Spillover Analysis in the World Economy: A Panel Dynamic Stochastic General Equilibrium Approach
Mr. Francis Vitek
This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary and fiscal transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.
Keywords:
WP; Monetary policy analysis; Fiscal policy analysis; Spillover analysis; Forecasting; World economy; Panel dynamic stochastic general equilibrium model; Bayesian econometrics; price inflation; shadow price; recipient economy; constant returns to scale; marginal revenue; stochastic process; utility function; Phillips curve; financial asset; risk premium shock; markup shock; production function; Consumption; Terms of trade; Return on investment; Dynamic stochastic general equilibrium models; Inflation; Global; Africa
Cover IMF Working Papers
The Differential Effects of Oil Demand and Supply Shocks on the Global Economy
Mr. Paul Cashin
,
Mr. Kamiar Mohaddes
,
Mr. Mehdi Raissi
, and
Maziar Raissi
We employ a set of sign restrictions on the generalized impulse responses of a Global VAR model, estimated for 38 countries/regions over the period 1979Q2–2011Q2, to discriminate between supply-driven and demand-driven oil-price shocks and to study the time profile of their macroeconomic effects for different countries. The results indicate that the economic consequences of a supply-driven oil-price shock are very different from those of an oil-demand shock driven by global economic activity, and vary for oil-importing countries compared to energy exporters. While oil importers typically face a long-lived fall in economic activity in response to a supply-driven surge in oil prices, the impact is positive for energy-exporting countries that possess large proven oil/gas reserves. However, in response to an oil-demand disturbance, almost all countries in our sample experience long-run inflationary pressures and a short-run increase in real output.
Keywords:
WP; Global VAR (GVAR); interconnectedness; global macroeconomic modeling; impulse responses; international business cycle; oil-demand and oil-supply shocks; oil exporter; oil-price shock; oil price; shock result; error correction term; Oil; Oil prices; Vector autoregression; Oil production; Real effective exchange rates; Global; Middle East; Africa; North Africa
Cover IMF Working Papers
Lost in Transmission? The Effectiveness of Monetary Policy Transmission Channels in the GCC Countries
Mr. Serhan Cevik
and
Ms. Katerina Teksoz
This paper empirically investigates the effectiveness of monetary policy transmission in the Gulf Cooperation Council (GCC) countries using a structural vector autoregressive model. The results indicate that the interest rate and bank lending channels are relatively effective in influencing non-hydrocarbon output and consumer prices, while the exchange rate channel does not appear to play an important role as a monetary transmission mechanism because of the pegged exchange rate regimes. The empirical analysis suggests that policy measures and structural reforms - strengthening financial intermediation and facilitating the development of liquid domestic capital markets - would advance the effectiveness of monetary transmission mechanisms in the GCC countries.
Keywords:
WP; GCC country; interest rate; contractionary monetary policy; Monetary policy transmission; inflation; credit channel; structural VAR; monetary policy shock; exchange rate regime; GCC aggregate; GCC economy; Exchange rates; Exchange rate arrangements; Bank credit; Structural vector autoregression; Monetary transmission mechanism; Global
Cover IMF Working Papers
The Long-Run Effects of Tradeon Income and Income Growth
Mr. Allan D. Brunner
This paper examines the dynamic relationship between trade and income. While most economists agree that increased trade leads to an increase in average income, economic theory is ambiguous about the possible effects on the long-run growth rate of the economy. Using a dynamic panel data model, the hypotheses of no long-run effects of trade on income and on income growth are tested explicitly. The possibility of endogeneity is addressed by constructing an instrument for trade by extending Frankel and Romer's (1999) cross-sectional approach to the case of a panel data model. The empirical results indicate that trade has a large and significant effect on the level of income, but the effect on income growth is small and non-robust to model specification.
Keywords:
WP; panel data model; trade liberalization; economic growth; economic development; trade share; income growth; trade openness; trade-output relationship; constructed trade instrument; instrument specification; effects of trade; Personal income; Plurilateral trade; Agroindustries; Estimation techniques; North America; Africa; Global
Cover IMF Working Papers
Intra-Arab Trade: Is it too Little?
Tarik Yousef
and
Mr. Hassan Al-Atrash
This paper estimates a gravity model to address the issue of whether intra-Arab trade is too little. Although gravity models have been extensively used to measure bilateral trade among countries, they have—to the best of our knowledge—never been used to measure intra-Arab trade. Our results suggest that intra-Arab trade and Arab trade with the rest of the world are lower than what would be predicted by the gravity equation, suggesting considerable scope for regional—as well as multilateral—integration. The results also suggest that intra-GCC and intra-Maghreb trade are relatively low while the Mashreq countries exhibit a higher level of intragroup trade.
Keywords:
WP; trade creation; Arab country; Arab countries; gravity model; trade; Mashreq country; trade diversion effect; reporting country; Andean Pact country; GCC country; oil-producing country; trade restrictiveness index; Exports; Imports; Gravity models; Trade barriers; Trade balance; Maghreb