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The Role of Financial Variables in Predicting Economic Activity in the Euro Area / / Marco Lombardi, Raphael Espinoza, Fabio Fornari
| The Role of Financial Variables in Predicting Economic Activity in the Euro Area / / Marco Lombardi, Raphael Espinoza, Fabio Fornari |
| Autore | Lombardi Marco |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (56 p.) |
| Altri autori (Persone) |
EspinozaRaphael
FornariFabio |
| Collana | IMF Working Papers |
| Soggetto topico |
Business cycles - Europe
Business cycles - United States Economic indicators - Europe Economic indicators - United States Banks and Banking Econometrics Finance: General Statistics Industries: Financial Services Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes General Financial Markets: General (includes Measurement and Data) Interest Rates: Determination, Term Structure, and Effects Data Collection and Data Estimation Methodology Computer Programs: Other Banks Depository Institutions Micro Finance Institutions Mortgages Finance Econometrics & economic statistics Vector autoregression Stock markets Yield curve Financial statistics Loans Stock exchanges Interest rates |
| ISBN |
1-4623-2750-8
1-282-84441-5 9786612844416 1-4518-7388-3 1-4527-8840-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The VAR models; A. Data; 1. Rates of Growth of Real GDP in the Three Economic Areas (quarter-on-quarter); B. Specifications; III. Characterizing the Models; A. IRFs and Pre-1985 and Post-1985 Evidence; 2. Impulse Response Functions from a Trivariate VAR; 3. Impulse Response Function from a 9-Variable VAR; 4. Impulse Response Function to GDP Shocks Across Sub-Samples; 5. Impulse Response Functions Across Sub-Samples; B. Linkages and the Role of Financial Shocks; 6. Forecast Error Variance Decomposition for the Euro Area GDP
1. Variance Decomposition of the GDP in the Three Areas2. R2 of a Regression of Δlog GDP on its Counterfactual; 7. Historical Decomposition; IV. Out-of-Sample Evidence; A. 'Unconditional' Forecast Evaluation; 3. Unconditional Out-of-Sample RMSE; B. Conditional Forecast Evaluation; 4. Out-of-Sample RMSE; 5. Out-of-Sample RMSE; C. Additional Explanatory Factors; 6. Conditional Choice Between Models at Selected Horizons; V. Conditional Evaluation; A. Rolling RMSEs; 8. RMSE from Competing Classes of Models; 9. RMSE from Competing Classes of Models (ctd.); B. Conditional Predictive Ability Test 10. GW Test for Conditional Predictive - Random Walk Model11. GW Test for Conditional Predictive Ability - 2 GDP VAR; 12. GW Test for Conditional Predictive Ability - 3 GDP VAR; VI. Conclusions; References; Footnotes |
| Record Nr. | UNINA-9910788224903321 |
Lombardi Marco
|
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Role of Financial Variables in Predicting Economic Activity in the Euro Area / / Marco Lombardi, Raphael Espinoza, Fabio Fornari
| The Role of Financial Variables in Predicting Economic Activity in the Euro Area / / Marco Lombardi, Raphael Espinoza, Fabio Fornari |
| Autore | Lombardi Marco |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 1 online resource (56 p.) |
| Disciplina | 338.5443094 |
| Altri autori (Persone) |
EspinozaRaphael
FornariFabio |
| Collana | IMF Working Papers |
| Soggetto topico |
Business cycles - Europe
Business cycles - United States Economic indicators - Europe Economic indicators - United States Banks and Banking Econometrics Finance: General Statistics Industries: Financial Services Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes General Financial Markets: General (includes Measurement and Data) Interest Rates: Determination, Term Structure, and Effects Data Collection and Data Estimation Methodology Computer Programs: Other Banks Depository Institutions Micro Finance Institutions Mortgages Finance Econometrics & economic statistics Vector autoregression Stock markets Yield curve Financial statistics Loans Stock exchanges Interest rates |
| ISBN |
1-4623-2750-8
1-282-84441-5 9786612844416 1-4518-7388-3 1-4527-8840-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The VAR models; A. Data; 1. Rates of Growth of Real GDP in the Three Economic Areas (quarter-on-quarter); B. Specifications; III. Characterizing the Models; A. IRFs and Pre-1985 and Post-1985 Evidence; 2. Impulse Response Functions from a Trivariate VAR; 3. Impulse Response Function from a 9-Variable VAR; 4. Impulse Response Function to GDP Shocks Across Sub-Samples; 5. Impulse Response Functions Across Sub-Samples; B. Linkages and the Role of Financial Shocks; 6. Forecast Error Variance Decomposition for the Euro Area GDP
1. Variance Decomposition of the GDP in the Three Areas2. R2 of a Regression of Δlog GDP on its Counterfactual; 7. Historical Decomposition; IV. Out-of-Sample Evidence; A. 'Unconditional' Forecast Evaluation; 3. Unconditional Out-of-Sample RMSE; B. Conditional Forecast Evaluation; 4. Out-of-Sample RMSE; 5. Out-of-Sample RMSE; C. Additional Explanatory Factors; 6. Conditional Choice Between Models at Selected Horizons; V. Conditional Evaluation; A. Rolling RMSEs; 8. RMSE from Competing Classes of Models; 9. RMSE from Competing Classes of Models (ctd.); B. Conditional Predictive Ability Test 10. GW Test for Conditional Predictive - Random Walk Model11. GW Test for Conditional Predictive Ability - 2 GDP VAR; 12. GW Test for Conditional Predictive Ability - 3 GDP VAR; VI. Conclusions; References; Footnotes |
| Record Nr. | UNINA-9910811772703321 |
|
Lombardi Marco
|
||
| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spillovers Across NAFTA / / Tamim Bayoumi, Andrew Swiston
| Spillovers Across NAFTA / / Tamim Bayoumi, Andrew Swiston |
| Autore | Bayoumi Tamim |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (34 p.) |
| Altri autori (Persone) | SwistonAndrew |
| Collana | IMF Working Papers |
| Soggetto topico |
Econometrics
Exports and Imports Macroeconomics Externalities Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Commodity Markets Trade Policy International Trade Organizations Econometrics & economic statistics Economic growth International economics Spillovers Vector autoregression Business cycles Commodity prices North American Free Trade Agreement International finance Prices Commercial treaties |
| ISBN |
1-4623-7094-2
1-4527-1479-7 1-282-44837-4 1-4519-1318-4 9786613821560 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Identifying Spillovers in a Vector Autoregression; III. Where do Shocks to Canada and Mexico Originate?; A. The Evolution of Domestic Shocks and Correlations Over Time; B. Size of Spillovers to Canada; C. Size of Spillovers to Mexico; IV. By What Channels Are Spillovers Transmitted?; A. Measuring the Channels; B. Sources of Spillovers to Canada; C. Sources of Spillovers to Mexico; V. Conclusions; References; Tables; 1. Canada: Correlations, Variances, and Covariances of VAR Residuals; 2. Mexico: Correlations, Variances, and Covariances of VAR Residuals
3. Canada: Variance Decompositions of Real GDP4. Mexico: Variance Decompositions of Real GDP; Figures; 1. Measures of U.S. Integration with Canada and Mexico; 2. Canada: Spillovers Across Eight VARs; 3. Canada: Spillovers Across Eight VARs by Subsample; 4. Domestic Shocks and Canadian Responses by Subsample; 5. Mexico: Spillovers Across Eight VARs; 6. Mexico: Spillovers Across Eight VARs, 1996-2007; 7. Domestic Shocks and Mexican Responses by Subsample; 8. Canada: Decomposition of Spillovers; 9. Canada: Decomposition of Spillovers by Subsample; 10. Mexico: Decomposition of Spillovers |
| Record Nr. | UNINA-9910788525503321 |
|
Bayoumi Tamim
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||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spillovers Across NAFTA / / Tamim Bayoumi, Andrew Swiston
| Spillovers Across NAFTA / / Tamim Bayoumi, Andrew Swiston |
| Autore | Bayoumi Tamim |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (34 p.) |
| Disciplina | 338.9171073 |
| Altri autori (Persone) | SwistonAndrew |
| Collana | IMF Working Papers |
| Soggetto topico |
Econometrics
Exports and Imports Macroeconomics Externalities Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Commodity Markets Trade Policy International Trade Organizations Econometrics & economic statistics Economic growth International economics Spillovers Vector autoregression Business cycles Commodity prices North American Free Trade Agreement International finance Prices Commercial treaties |
| ISBN |
1-4623-7094-2
1-4527-1479-7 1-282-44837-4 1-4519-1318-4 9786613821560 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Identifying Spillovers in a Vector Autoregression; III. Where do Shocks to Canada and Mexico Originate?; A. The Evolution of Domestic Shocks and Correlations Over Time; B. Size of Spillovers to Canada; C. Size of Spillovers to Mexico; IV. By What Channels Are Spillovers Transmitted?; A. Measuring the Channels; B. Sources of Spillovers to Canada; C. Sources of Spillovers to Mexico; V. Conclusions; References; Tables; 1. Canada: Correlations, Variances, and Covariances of VAR Residuals; 2. Mexico: Correlations, Variances, and Covariances of VAR Residuals
3. Canada: Variance Decompositions of Real GDP4. Mexico: Variance Decompositions of Real GDP; Figures; 1. Measures of U.S. Integration with Canada and Mexico; 2. Canada: Spillovers Across Eight VARs; 3. Canada: Spillovers Across Eight VARs by Subsample; 4. Domestic Shocks and Canadian Responses by Subsample; 5. Mexico: Spillovers Across Eight VARs; 6. Mexico: Spillovers Across Eight VARs, 1996-2007; 7. Domestic Shocks and Mexican Responses by Subsample; 8. Canada: Decomposition of Spillovers; 9. Canada: Decomposition of Spillovers by Subsample; 10. Mexico: Decomposition of Spillovers |
| Record Nr. | UNINA-9910822791503321 |
|
Bayoumi Tamim
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||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Spillovers to Ireland / / Daniel Kanda
| Spillovers to Ireland / / Daniel Kanda |
| Autore | Kanda Daniel |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (22 p.) |
| Disciplina | 382.0724 |
| Collana | IMF Working Papers |
| Soggetto topico |
Business & Economics
Economic History Econometrics Exports and Imports Foreign Exchange Trade: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes International Investment Long-term Capital Movements Currency Foreign exchange International economics Econometrics & economic statistics Real effective exchange rates Exports Vector autoregression Capital inflows Imports Capital movements |
| ISBN |
1-4623-3361-3
1-4527-4102-6 1-283-51692-6 9786613829375 1-4519-1317-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Background; II. Linkages with Partner Countries; Figures; 1; 2; 3; III. Econometric Analysis Using a VAR; 4; 5; IV. Policy Implications and Concluding Remarks; Appendix; Description of data used in the VAR; References |
| Record Nr. | UNINA-9910788700303321 |
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Kanda Daniel
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| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Spillovers to Ireland / / Daniel Kanda
| Spillovers to Ireland / / Daniel Kanda |
| Autore | Kanda Daniel |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (22 p.) |
| Disciplina | 382.0724 |
| Collana | IMF Working Papers |
| Soggetto topico |
Business & Economics
Economic History Econometrics Exports and Imports Foreign Exchange Trade: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes International Investment Long-term Capital Movements Currency Foreign exchange International economics Econometrics & economic statistics Real effective exchange rates Exports Vector autoregression Capital inflows Imports Capital movements |
| ISBN |
1-4623-3361-3
1-4527-4102-6 1-283-51692-6 9786613829375 1-4519-1317-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Background; II. Linkages with Partner Countries; Figures; 1; 2; 3; III. Econometric Analysis Using a VAR; 4; 5; IV. Policy Implications and Concluding Remarks; Appendix; Description of data used in the VAR; References |
| Record Nr. | UNINA-9910822933503321 |
|
Kanda Daniel
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Suppressed Inflation and Money Demand in Zimbabwe / / Sònia Muñoz
| Suppressed Inflation and Money Demand in Zimbabwe / / Sònia Muñoz |
| Autore | Muñoz Sònia |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (20 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Demand for money - Zimbabwe
Inflation (Finance) - Zimbabwe Foreign Exchange Inflation Money and Monetary Policy Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Price Level Deflation Demand for Money Monetary Policy, Central Banking, and the Supply of Money and Credit: General Monetary Policy Monetary economics Macroeconomics Currency Foreign exchange Demand for money Monetary base Exchange rates Monetary expansion Prices Money Monetary policy Money supply |
| ISBN |
1-4623-8715-2
1-4527-7739-X 1-283-51783-3 9786613830289 1-4519-0811-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. STYLIZED FACTS""; ""III. ESTIMATING A MONEY DEMAND EQUATION""; ""IV. INFLUENCE OF EXOGENOUS FACTORS ON VELOCITY MOVEMENTS""; ""V. CONCLUSION""; ""REFERENCES"" |
| Record Nr. | UNINA-9910788693203321 |
|
Muñoz Sònia
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||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Suppressed Inflation and Money Demand in Zimbabwe / / Sònia Muñoz
| Suppressed Inflation and Money Demand in Zimbabwe / / Sònia Muñoz |
| Autore | Muñoz Sònia |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (20 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Demand for money - Zimbabwe
Inflation (Finance) - Zimbabwe Foreign Exchange Inflation Money and Monetary Policy Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Price Level Deflation Demand for Money Monetary Policy, Central Banking, and the Supply of Money and Credit: General Monetary Policy Monetary economics Macroeconomics Currency Foreign exchange Demand for money Monetary base Exchange rates Monetary expansion Prices Money Monetary policy Money supply |
| ISBN |
1-4623-8715-2
1-4527-7739-X 1-283-51783-3 9786613830289 1-4519-0811-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. STYLIZED FACTS""; ""III. ESTIMATING A MONEY DEMAND EQUATION""; ""IV. INFLUENCE OF EXOGENOUS FACTORS ON VELOCITY MOVEMENTS""; ""V. CONCLUSION""; ""REFERENCES"" |
| Record Nr. | UNINA-9910822938403321 |
|
Muñoz Sònia
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||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
System Priors for Econometric Time Series / / Michal Andrle, Miroslav Plašil
| System Priors for Econometric Time Series / / Michal Andrle, Miroslav Plašil |
| Autore | Andrle Michal |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2016 |
| Descrizione fisica | 1 online resource (19 pages) : illustrations |
| Altri autori (Persone) | PlašilMiroslav |
| Collana | IMF Working Papers |
| Soggetto topico |
Econometrics
Macroeconomics Bayesian Analysis: General Model Construction and Estimation Methodological Issues: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Economic growth Business cycles |
| ISBN | 1-4755-5591-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910155202503321 |
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Andrle Michal
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| Washington, D.C. : , : International Monetary Fund, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Systemic Risk and Asymmetric Responses in the Financial Industry / / Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno
| Systemic Risk and Asymmetric Responses in the Financial Industry / / Germán López-Espinosa, Antonio Rubia, Laura Valderrama, Antonio Moreno |
| Autore | López-Espinosa Germán |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (39 p.) |
| Altri autori (Persone) |
RubiaAntonio
ValderramaLaura MorenoAntonio |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk assessment
Finance Banks and Banking Econometrics Finance: General Investments: General Accounting Multiple or Simultaneous Equation Models Multiple Variables: General Financial Crises Financial Institutions and Services: General Banks Depository Institutions Micro Finance Institutions Mortgages General Financial Markets: Government Policy and Regulation General Financial Markets: General (includes Measurement and Data) Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Public Administration Public Sector Accounting and Audits Banking Investment & securities Econometrics & economic statistics Financial reporting, financial statements Systemic risk Commercial banks Treasury bills and bonds Vector autoregression Financial sector policy and analysis Financial institutions Econometric analysis Financial statements Public financial management (PFM) Banks and banking Financial risk management Government securities Finance, Public |
| ISBN |
1-4755-8120-3
1-4755-1756-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Modeling Systemic Risk: CoVaR; III. Asymmetric CoVaR; A. Estimation and Inference; IV. Data; V. Downside Comovement in the U.S. Banking Industry; A. Main Empirical Results; B. Discussion; C. Robustness Checks; Bank holding companies and commercial banks; Nonlinear models; Returns of different representative portfolios and other considerations; VI. Concluding Remarks; Figures; 1. Comparison of median estimates from the symmetric and asymmetric CoVaR models; 2. Cross-sectional median estimates of the decile-based coefficients; Tables
1. Sample descriptives for the total and the filtered samples2. Descriptive statistics for economic and financial state variables; 3. Median estimates for the symmetric and asymmetric CoVaR; 4. Estimates across size-sorted deciles for the symmetric and asymmetric CoVaR; 5. Estimates across liabilities-sorted deciles for the symmetric and asymmetric CoVaR; 6. Estimates across BHCs and CBs for the symmetric and asymmetric CoVaR; References |
| Record Nr. | UNINA-9910779500503321 |
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López-Espinosa Germán
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
