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Speculative Attacks in the Asian Crisis

Speculative Attacks in the Asian Crisis »

Source: Speculative Attacks in the Asian Crisis

Volume/Issue: 2001/189

Series: IMF Working Papers

Author(s): Zhiwei Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2001

ISBN: 9781451859614

Keywords: ACH, currency crisis, duration analysis, contagion, speculative attacks, asian crisis, currency crises, equation, Econometric Modeling,

This paper takes the Asian crisis as an example to show that the Autoregressive Conditional Hazard (ACH) model is a powerful tool for studying the time series features of speculative attacks. The ACH model proposes...

The Hedonic Country Product Dummy Method and Quality Adjustments for Purchasing Power Parity Calculations

The Hedonic Country Product Dummy Method and Quality Adjustments for Purchasing Power Parity Calculations »

Source: The Hedonic Country Product Dummy Method and Quality Adjustments for Purchasing Power Parity Calculations

Volume/Issue: 2009/271

Series: IMF Working Papers

Author(s): Mick Silver

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874167

Keywords: Country-Product-Dummy Method, International Comparisons Program, CPD, silver, equation, statistics, econometrics, logarithms

The 2005 International Comparison Program's (ICP) estimates of economy-wide purchasing power parity (PPP) are based on parity estimates for 155 basic expenditure headings, mainly estimated using country product dum...

Moral Hazard and International Crisis Lending: A Test

Moral Hazard and International Crisis Lending: A Test »

Source: Moral Hazard and International Crisis Lending : A Test

Volume/Issue: 2002/181

Series: IMF Working Papers

Author(s): Giovanni Dell'Ariccia , Jeronimo Zettelmeyer , and Isabel Schnabel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2002

ISBN: 9781451859201

Keywords: international lending, bond, crisis lending, bond spreads, bonds, International Lending and Debt Problems, Econometric Methods: - Single Equation Models,

We test for the existence of a moral hazard effect attributable to official crisis lending by analyzing the evolution of sovereign bond spreads in emerging markets before and after the Russian crisis. The nonbailou...

What Sustains Fiscal Consolidations in Emerging Market Countries?

What Sustains Fiscal Consolidations in Emerging Market Countries? »

Source: What Sustains Fiscal Consolidations in Emerging Market Countries?

Volume/Issue: 2003/224

Series: IMF Working Papers

Author(s): Benedict Clements , Sanjeev Gupta , Erwin Tiongson , and Emanuele Baldacci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2003

ISBN: 9781451875348

Keywords: survival analysis, probability, fiscal adjustments, fiscal deficit, Econometric and Statistical Methods: - Special Topics, Macroeconomic - Aspects of Public Finance, Macroeconomic Policy, and General Outlook,

This paper examines the factors affecting the persistence of fiscal consolidation in 25 emerging market countries during 1980-2001. It proposes a new approach for defining spells of fiscal consolidation. The result...

Long-Run Exchange Rate Dynamics

Long-Run Exchange Rate Dynamics »

Source: Long-Run Exchange Rate Dynamics : A Panel Data Study

Volume/Issue: 1999/50

Series: IMF Working Papers

Author(s): Karl Habermeier , and Mario Mesquita

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1999

ISBN: 9781451846959

Keywords: Exchange Rates, Panel Data Econometrics, Purchasing Power Parity (PPP), Balassa-Samuelson Effect, Terms of Trade, exchange rate, real exchange rates, real exchange rate, inflation

Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Source: Default, Credit Growth, and Asset Prices

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

ISBN: 9781451864830

Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...

The Relationship Between Macroeconomic Statistics Guidelines and Accounting Standards

The Relationship Between Macroeconomic Statistics Guidelines and Accounting Standards »

Source: The Relationship Between Macroeconomic Statistics Guidelines and Accounting Standards

Volume/Issue: 2004/233

Series: IMF Working Papers

Author(s): Lucie Laliberté

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2004

ISBN: 9781451875621

Keywords: Macroeconomics, accounting, relation of economics to other disciplines, statistics, accounting standards, equation, national accounting, Economic Methodology: General, Econometric and Statistical Methods: General, Macroeconomics and Monetary Economics: General,

This paper aims to promote harmonization between macroeconomic statistics guidelines and accounting standards. It first highlights recent development that act as drivers to the harmonization of the two systems. It...

An Investigation of Output Variance Before and During Inflation Targeting

An Investigation of Output Variance Before and During Inflation Targeting »

Source: An Investigation of Output Variance Before and During Inflation Targeting

Volume/Issue: 2001/215

Series: IMF Working Papers

Author(s): Francisco Nadal De Simone

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

ISBN: 9781451875041

Keywords: output variance, Markov-switching, inflation, reduction in inflation, inflation-targeting, Econometric Methods: - Multiple/simultaneous Equation Models, Central Banking, And The Supply Of Money And Credit, macroeconomic Aspects Of International Trade And Finance,

Since Taylor estimated a trade-off between inflation and output variance, it has been widely accepted that efforts to keep the inflation rate “too low and stable” will likely result in relatively larg...

What Drives Credit Growth in Emerging Asia?

What Drives Credit Growth in Emerging Asia? »

Source: What Drives Credit Growth in Emerging Asia?

Volume/Issue: 2012/43

Series: IMF Working Papers

Author(s): Fei Han , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463936440

Keywords: rapid credit growth, emerging Asia, SVAR, Bayesian estimation, sign restrictions, aggregate demand, domestic monetary policy, inflation, financial stability, What Drives Credit Growth in Emerging Asia?

This paper seeks to uncover the main drivers of credit growth in emerging Asia using a multi-country structural vector autoregressive (SVAR) model. Taking a novel approach, we developed a two-block SVAR whereby sho...

What Happened to Asian Exports During the Crisis?

What Happened to Asian Exports During the Crisis? »

Source: IMF Staff Papers, Volume 51, No. 1

Volume: 51

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 April 2004

ISBN: 9781589063228

Keywords: expenditure, bribe, government expenditure, bribes, Banks and banking, Special Drawing Rights (SDR), Capital Stock, Cointegration, Demand (economic Theory), Empirical Methods

This first issue of Volume 51 for 2004 includes a new paper by Peter B. Clark and Jacques J. Polak, along with a tribute from the Editor to Mr. Polak in honor of his 90th birthday. This issue also launches a new fe...