Search Results

You are looking at 1 - 10 of 32 items :

  • Keyword: Cointegration x
  • Books and Analytical Papers x
Clear All Modify Search
Testing a Disequilibrium Model of Lending Rate Determination

Testing a Disequilibrium Model of Lending Rate Determination »

Source: Testing a Disequilibrium Model of Lending Rate Determination : The Case of Malaysia

Volume/Issue: 1991/84

Series: IMF Working Papers

Author(s): Barry Scholnick

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1991

ISBN: 9781451954364

Keywords: cointegration, equation, banking, probability, statistics

This study examines whether lending rates cleared the market for loans in Malaysia after interest rate liberalization. It is based on a theoretical model in which adverse selection and marginal cost pricing are bro...

The Demand for Money in Developing Countries

The Demand for Money in Developing Countries »

Source: The Demand for Money in Developing Countries : Assessing the Role of Financial innovation

Volume/Issue: 1991/45

Series: IMF Working Papers

Author(s): Jose De Gregorio , Peter Wickham , Patricio Arrau , and Carmen Reinhart

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1991

ISBN: 9781451974218

Keywords: money demand, equation, cointegration, inflation

Traditional specifications of money demand have been commonly plagued by persistent overprediction, implausible parameter estimates, and highly autocorrelated errors. This paper argues that some of those problems s...

Financial Development and Economic Growth

Financial Development and Economic Growth »

Source: Financial Development and Economic Growth : An Economic Analysis for Singapore

Volume/Issue: 1996/15

Series: IMF Working Papers

Author(s): Lamin Leigh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1996

ISBN: 9781451843217

Keywords: equation, statistics, growth model, time series, cointegration

With the emergence of the rapidly expanding literature on endogenous growth, the relationship between financial development and economic growth has received a new source of inspiration. Recent cointegration techniq...

Saving Trends in Southeast Asia

Saving Trends in Southeast Asia »

Source: Saving Trends in Southeast Asia : A Cross-Country Analysis

Volume/Issue: 1995/39

Series: IMF Working Papers

Author(s): Hamid Faruqee , and Aasim Husain

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1995

ISBN: 9781451845778

Keywords: cointegration, private saving, provident fund, statistic, equation

This paper investigates the long-run pattern of private saving in Indonesia, Malaysia, Singapore, and Thailand. These countries have not only maintained saving levels that are currently among the highest in the wor...

Demand for M2 in an Emerging-Market Economy

Demand for M2 in an Emerging-Market Economy »

Source: Demand for M2 in an Emerging-Market Economy : An Error-Correction Model for Malaysia

Volume/Issue: 1999/173

Series: IMF Working Papers

Author(s): Subramanian Sriram

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1999

ISBN: 9781451858617

Keywords: Asia, financial system, money demand, cointegration, error-correction, inflation, equation

This paper analyses demand for M2 in Malaysia from August 1973 to December 1995 under both the closed- and open-economy framework. Based on the cointegration and weak-exogeneity test results, short-run dynamic erro...

Financial Liberalization and Money Demand in Asean Countries

Financial Liberalization and Money Demand in Asean Countries »

Source: Financial Liberalization and Money Demand in Asean Countries : Implications for Monetary Policy

Volume/Issue: 1997/36

Series: IMF Working Papers

Author(s): Robert Dekle , and Mahmood Pradhan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1997

ISBN: 9781451845419

Keywords: Financial Liberalization, Money Demand, Cointegration, inflation, bond, monetary aggregates

This paper examines the impact of financial market development and liberalization on money demand behavior in Indonesia, Malaysia, Singapore, and Thailand since the early 1980s. The empirical results indicate conti...

International Integration of Equity Markets and Contagion Effects

International Integration of Equity Markets and Contagion Effects »

Source: International Integration of Equity Markets and Contagion Effects

Volume/Issue: 1995/110

Series: IMF Working Papers

Author(s): Paul Cashin , Manmohan Kumar , and C. McDermott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1995

ISBN: 9781451853285

Keywords: equity markets, cointegration, stock market, stock markets, national equity markets

This paper investigates empirically the degree of international integration of industrial and emerging country equity markets. It analyzes two issues: first, the extent to which equity prices have tended to move si...

What Happened to Asian Exports During the Crisis?

What Happened to Asian Exports During the Crisis? »

Source: What Happened to Asian Exports During the Crisis?

Volume/Issue: 2000/200

Series: IMF Working Papers

Author(s): Antonio Spilimbergo , and Rupa Duttagupta

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

ISBN: 9781451860153

Keywords: Cointegration, Competitive Depreciation, Export Demand and Supply, East Asia, export prices, equations, equation, asian exports

After the large exchange rate depreciations following the 1997 East Asian crisis, export volumes from East Asian countries responded with a notable lag. Two main explanations for this lag have been proposed: that t...

Interest Rate Arbitrage in Currency Baskets

Interest Rate Arbitrage in Currency Baskets »

Source: Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk

Volume/Issue: 1999/16

Series: IMF Working Papers

Author(s): Peter Christoffersen , and Lorenzo Giorgianni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1999

ISBN: 9781451843385

Keywords: Time-varying Parameters, Cointegration, Exchange Rates, exchange rate, equation, statistics, currency basket

When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second,...

Measuring Misalignment

Measuring Misalignment »

Source: Measuring Misalignment : Purchasing Power Parity and East Asian Currencies in the 1990s

Volume/Issue: 1999/120

Series: IMF Working Papers

Author(s): Menzie Chinn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1999

ISBN: 9781451854251

Keywords: exchange rate, purchasing power parity, overvaluation, cointegration, exchange rates, real exchange rates, real exchange rate

The concept of purchasing power parity (PPP) is used to evaluate whether eight East Asian currencies were overvalued on the eve of the 1997 crises. The Johansen and Horvath-Watson cointegration test procedures are...