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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...

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information »

Source: Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Volume/Issue: 2011/263

Series: IMF Working Papers

Author(s): Liliana Schumacher , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463924614

Keywords: Solvency risk, systemic liquidity, probability, banking, banking system, bank failures, probabilities, General Financial Markets: Other,

This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed bal...

Ambiguity, Transparency, and Institutional Strength

Ambiguity, Transparency, and Institutional Strength »

Source: Ambiguity, Transparency, and Institutional Strength

Volume/Issue: 2004/115

Series: IMF Working Papers

Author(s): S. Erbas

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

ISBN: 9781451853896

Keywords: risk, Knightian uncertainty, vertical and horizontal integration, institutions, probability, probabilities, investors, investment decisions, expected value, Analysis of Collective Decision-Making: General

Institutional transparency makes future contingencies more easily predictable for investors. Greater transparency can be achieved through vertical and horizontal integration of policy rules, which may result in low...

What Determines the Implementation of IMF-Supported Programs?

What Determines the Implementation of IMF-Supported Programs? »

Source: What Determines the Implementation of IMF-Supported Programs?

Volume/Issue: 2003/8

Series: IMF Working Papers

Author(s): Alex Mourmouras , Anna Ivanova , George Anayotos , and Wolfgang Mayer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2003

ISBN: 9781451842531

Keywords: IMF-supported programs, ownership, political economy, probability, political institutions, interest groups, statistics, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

This paper assesses the implementation of IMF-supported programs using measures of program interruptions, compliance with conditionality, and the share of committed funds disbursed. The econometric model allows an...

What Causes Firms to Hide Output? the Determinants of Informality

What Causes Firms to Hide Output? the Determinants of Informality »

Source: What Causes Firms to Hide Output? the Determinants of Informality

Volume/Issue: 2005/160

Series: IMF Working Papers

Author(s): Gabriela Inchauste , Mark Gradstein , and Era Dabla-Norris

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

ISBN: 9781451861792

Keywords: determinants, institutions, survey, business environment, regulatory burden, probability, firm size, Fiscal Policies and Behavior of Economic Agents: Firm, Education: Other, institution,

In many developing countries, a significant part of economic activity takes place in the informal sector. Earlier work has examined the determinants of the size of the informal sector, focusing separately on factor...

Benchmark Priors Revisited

Benchmark Priors Revisited »

Source: Benchmark Priors Revisited : On Adaptive Shrinkage and the Supermodel Effect in Bayesian Model Averaging

Volume/Issue: 2009/202

Series: IMF Working Papers

Author(s): Martin Feldkircher , and Stefan Zeugner

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873498

Keywords: Bayesian model averaging, hyper-g prior, shrinkage factor, Zellner&;amp;#x2019;s g prior, model uncertainty, growth econometrics, noise, probabilities, statistics, bayes factor

Default prior choices fixing Zellner's g are predominant in the Bayesian Model Averaging literature, but tend to concentrate posterior mass on a tiny set of models. The paper demonstrates this supermodel effect and...

Monitoring and Commitment in Bank Lending Behavior

Monitoring and Commitment in Bank Lending Behavior »

Source: Monitoring and Commitment in Bank Lending Behavior

Volume/Issue: 2005/222

Series: IMF Working Papers

Author(s): Rodolphe Blavy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

ISBN: 9781451862416

Keywords: Bank, monitoring, commitment, asymmetry of information, probability, equation, bank lending, loan commitment, Asymmetric and Private Information, Financial Markets and the Macroeconomy,

The paper proposes a theoretical argument on the nature of bank lending, based on the idea that, through commitment and monitoring, banks overcome basic informational asymmetries with borrowers. By bringing togethe...

How Does the Global Economic Environment Influence the Demand for IMF Resources?

How Does the Global Economic Environment Influence the Demand for IMF Resources? »

Source: How Does the Global Economic Environment Influence the Demand for IMF Resources?

Volume/Issue: 2006/239

Series: IMF Working Papers

Author(s): Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2006

ISBN: 9781451864991

Keywords: prediction, IMF lending capacity, IMF income position, probability, current account, predictions, current account balance, credit tranches, Global Outlook, International Monetary Arrangements and Institutions

The main objective of this paper is to quantify the relationship between the global economic environment and the number of Stand-By Arrangements (SBAs). The results suggest that oil prices, world interest rates, an...

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...

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information

Modeling Correlated Systemic Liquidity and Solvency Risks in a Financial Environment with Incomplete Information »

Volume/Issue: 2011/263

Series: IMF Working Papers

Author(s): Liliana Schumacher , and Theodore Barnhill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

DOI: http://dx.doi.org/10.5089/9781463924614.001

ISBN: 9781463924614

Keywords: Solvency risk, systemic liquidity, probability, banking, banking system, bank failures, probabilities, General Financial Markets: Other,

This paper proposes and demonstrates a methodology for modeling correlated systemic solvency and liquidity risks for a banking system. Using a forward looking simulation of many risk factors applied to detailed bal...