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Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate »

Source: Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Volume/Issue: 2007/290

Series: IMF Working Papers

Author(s): Marcos Souto , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868531

Keywords: stochastic volatility, fat-tail distributions, Monte Carlo estimation, covariances, time series, probability, probabilities, multivariate stochastic volatility,

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is pos...

Global Bonding

Global Bonding »

Source: Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?

Volume/Issue: 2012/298

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Trung Bui

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 December 2012

ISBN: 9781475586633

Keywords: Identification, international financial linkages, bond, equity markets, bond yields, financial markets, Estimation, Time-Series Models, General,

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results su...

Did Botswana Escape from the Resource Curse?

Did Botswana Escape from the Resource Curse? »

Source: Did Botswana Escape from the Resource Curse?

Volume/Issue: 2006/138

Series: IMF Working Papers

Author(s): Atsushi Iimi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

ISBN: 9781451863987

Keywords: natural resource, natural resource abundance, natural resource management, middle-income countries, Estimation, Exhaustible Resources and Economic Development,

Botswana is typical of the countries that are endowed with abundant natural resources. Although it is commonly accepted that resource-rich economies tend to fail in accelerating growth, Botswana has experienced the...

Energy Subsidies and Public Social Spending

Energy Subsidies and Public Social Spending »

Source: Energy Subsidies and Public Social Spending : Theory and Evidence

Volume/Issue: 2015/101

Series: IMF Working Papers

Author(s): Christian Ebeke , and Constant Lonkeng Ngouana

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 May 2015

ISBN: 9781475580747

Keywords: Energy subsidies, Public social spending, Causality, subsidy, tax, energy subsidy, Cross-Sectional Models, Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation, Causality.,

This paper shows that high energy subsidies and low public social spending can emerge as an equilibrium outcome of a political game between the elite and the middle-class when the provision of public goods is subje...

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate »

Volume/Issue: 2007/290

Series: IMF Working Papers

Author(s): Marcos Souto , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

DOI: http://dx.doi.org/10.5089/9781451868531.001

ISBN: 9781451868531

Keywords: stochastic volatility, fat-tail distributions, Monte Carlo estimation, covariances, time series, probability, probabilities, multivariate stochastic volatility,

Using monthly data for a set of variables, we examine the out-of-sample performance of various variance/covariance models and find that no model has consistently outperformed the others. We also show that it is pos...

Global Bonding
			: Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets?

Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets? »

Volume/Issue: 2012/298

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Trung Bui

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 December 2012

DOI: http://dx.doi.org/10.5089/9781475586633.001

ISBN: 9781475586633

Keywords: Identification, international financial linkages, bond, equity markets, bond yields, financial markets, Estimation, Time-Series Models, General,

This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results su...

Did Botswana Escape from the Resource Curse?

Did Botswana Escape from the Resource Curse? »

Volume/Issue: 2006/138

Series: IMF Working Papers

Author(s): Atsushi Iimi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2006

DOI: http://dx.doi.org/10.5089/9781451863987.001

ISBN: 9781451863987

Keywords: natural resource, natural resource abundance, natural resource management, middle-income countries, Estimation, Exhaustible Resources and Economic Development,

Botswana is typical of the countries that are endowed with abundant natural resources. Although it is commonly accepted that resource-rich economies tend to fail in accelerating growth, Botswana has experienced the...

Energy Subsidies and Public Social Spending
			: Theory and Evidence

Energy Subsidies and Public Social Spending : Theory and Evidence »

Volume/Issue: 2015/101

Series: IMF Working Papers

Author(s): Christian Ebeke , and Constant Lonkeng Ngouana

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 06 May 2015

DOI: http://dx.doi.org/10.5089/9781475580747.001

ISBN: 9781475580747

Keywords: Energy subsidies, Public social spending, Causality, subsidy, tax, energy subsidy, Cross-Sectional Models, Single Equation Models: Single Variables: Instrumental Variables (IV) Estimation, Causality.,

This paper shows that high energy subsidies and low public social spending can emerge as an equilibrium outcome of a political game between the elite and the middle-class when the provision of public goods is subje...

Portfolio Credit Risk and Macroeconomic Shocks
			: Applications to Stress Testing Under Data-Restricted Environments

Portfolio Credit Risk and Macroeconomic Shocks : Applications to Stress Testing Under Data-Restricted Environments »

Volume/Issue: 2006/283

Series: IMF Working Papers

Author(s): Miguel Segoviano Basurto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

DOI: http://dx.doi.org/10.5089/9781451865431.001

ISBN: 9781451865431

Keywords: Portfolio credit risk measurement, macroeconomic shock measurement, multivariate density estimation, entropy distribution, credit risk, probability, equation, probabilities, Econometric and Statistical Methods: Other, Model Evaluation and Selection

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified...