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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 |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (39 p.) |
| Disciplina | 332.10684 |
| 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-9910810408603321 |
López-Espinosa Germán
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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A U.S. Financial Conditions Index : : Putting Credit Where Credit is Due / / Andrew Swiston
| A U.S. Financial Conditions Index : : Putting Credit Where Credit is Due / / Andrew Swiston |
| Autore | Swiston Andrew |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (37 p.) |
| Disciplina | 354.2799273 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Loans - United States - Econometric models
Credit - United States - Econometric models Banks and Banking Econometrics Investments: Stocks Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary economics Econometrics & economic statistics Finance Investment & securities Credit Vector autoregression Bank credit Short term interest rates Stocks Interest rates |
| ISBN |
1-4623-4369-4
1-4527-2284-6 1-4518-7019-1 9786612841125 1-282-84112-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction and Literature Review; II. Building a Better Financial Conditions Index; A. Why VAR and IRF?; B. Whose Lending? Which Standards?; Figures; 1. Lending Standards and GDP Growth; Tables; 1. Lending Standards and Real Activity: Correlations; 2. Lending Standards and Financial Variables: Correlations; 2. Response of GDP to Lending Standards; C. Which Other Variables Enter the Mix?; 3. Response of GDP to Risk-Free Interest Rates; 4. Response of GDP to Default Risk and Volatility; 5. Response of GDP to Asset Prices; 6. Lending Standards and the High Yield Spread
III. Financial Conditions and GrowthA. What are the Guts of the FCI?; B. Which Financial Conditions Matter?; 7. Response of GDP to Financial Shocks; 8. Response of Financial Conditions to Lending Standards; C. What Role for Credit Aggregates?; 9. Credit Availability and the Impact of Monetary Policy on Growth; 10. Response of GDP to Credit Aggregates; D. What is the FCI's Contribution to Growth?; 3. Financial Conditions and Real Activity: Correlations and Variance Decompositions; 11. Financial Conditions Index; 12. Financial Shocks and Contributions to the FCI E. Where Do Financial Conditions Hit Hardest?13. Individual Contributions to the FCI; 14. Response of Components of Demand to Financial Shocks; F. Can the FCI See Into the Future?; 15. Leading Financial Conditions Index; IV. Conclusions; References |
| Record Nr. | UNINA-9910788234803321 |
|
Swiston Andrew
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||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A U.S. Financial Conditions Index : : Putting Credit Where Credit is Due / / Andrew Swiston
| A U.S. Financial Conditions Index : : Putting Credit Where Credit is Due / / Andrew Swiston |
| Autore | Swiston Andrew |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (37 p.) |
| Disciplina | 354.2799273 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Loans - United States - Econometric models
Credit - United States - Econometric models Banks and Banking Econometrics Investments: Stocks Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Monetary economics Econometrics & economic statistics Finance Investment & securities Credit Vector autoregression Bank credit Short term interest rates Stocks Interest rates |
| ISBN |
1-4623-4369-4
1-4527-2284-6 1-4518-7019-1 9786612841125 1-282-84112-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction and Literature Review; II. Building a Better Financial Conditions Index; A. Why VAR and IRF?; B. Whose Lending? Which Standards?; Figures; 1. Lending Standards and GDP Growth; Tables; 1. Lending Standards and Real Activity: Correlations; 2. Lending Standards and Financial Variables: Correlations; 2. Response of GDP to Lending Standards; C. Which Other Variables Enter the Mix?; 3. Response of GDP to Risk-Free Interest Rates; 4. Response of GDP to Default Risk and Volatility; 5. Response of GDP to Asset Prices; 6. Lending Standards and the High Yield Spread
III. Financial Conditions and GrowthA. What are the Guts of the FCI?; B. Which Financial Conditions Matter?; 7. Response of GDP to Financial Shocks; 8. Response of Financial Conditions to Lending Standards; C. What Role for Credit Aggregates?; 9. Credit Availability and the Impact of Monetary Policy on Growth; 10. Response of GDP to Credit Aggregates; D. What is the FCI's Contribution to Growth?; 3. Financial Conditions and Real Activity: Correlations and Variance Decompositions; 11. Financial Conditions Index; 12. Financial Shocks and Contributions to the FCI E. Where Do Financial Conditions Hit Hardest?13. Individual Contributions to the FCI; 14. Response of Components of Demand to Financial Shocks; F. Can the FCI See Into the Future?; 15. Leading Financial Conditions Index; IV. Conclusions; References |
| Record Nr. | UNINA-9910818878103321 |
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Swiston Andrew
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| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A VAR Analysis of Kenya’s Monetary Policy Transmission Mechanism : : How Does the Central Bank’s REPO Rate Affect the Economy? / / Kevin Cheng
| A VAR Analysis of Kenya’s Monetary Policy Transmission Mechanism : : How Does the Central Bank’s REPO Rate Affect the Economy? / / Kevin Cheng |
| Autore | Cheng Kevin |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (29 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Electronic books. -- local
Monetary policy -- Kenya -- Econometric models Money supply -- Kenya Banks and Banking Econometrics Foreign Exchange Money and Monetary Policy Interest Rates: Determination, Term Structure, and Effects Monetary Policy Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Monetary Policy, Central Banking, and the Supply of Money and Credit: General Finance Monetary economics Currency Foreign exchange Econometrics & economic statistics Short term interest rates Nominal effective exchange rate Monetary transmission mechanism Vector autoregression Monetary base Interest rates Monetary policy Money supply |
| ISBN |
1-4623-3566-7
1-4527-7333-5 1-283-51207-6 1-4519-1013-4 9786613824523 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. THE MODEL""; ""III. THE POLICY PROBLEM""; ""IV. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910788416003321 |
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Cheng Kevin
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A VAR Analysis of Kenya’s Monetary Policy Transmission Mechanism : : How Does the Central Bank’s REPO Rate Affect the Economy? / / Kevin Cheng
| A VAR Analysis of Kenya’s Monetary Policy Transmission Mechanism : : How Does the Central Bank’s REPO Rate Affect the Economy? / / Kevin Cheng |
| Autore | Cheng Kevin |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (29 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Electronic books. -- local
Monetary policy -- Kenya -- Econometric models Money supply -- Kenya Banks and Banking Econometrics Foreign Exchange Money and Monetary Policy Interest Rates: Determination, Term Structure, and Effects Monetary Policy Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes Monetary Policy, Central Banking, and the Supply of Money and Credit: General Finance Monetary economics Currency Foreign exchange Econometrics & economic statistics Short term interest rates Nominal effective exchange rate Monetary transmission mechanism Vector autoregression Monetary base Interest rates Monetary policy Money supply |
| ISBN |
1-4623-3566-7
1-4527-7333-5 1-283-51207-6 1-4519-1013-4 9786613824523 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. THE MODEL""; ""III. THE POLICY PROBLEM""; ""IV. CONCLUSIONS""; ""REFERENCES"" |
| Record Nr. | UNINA-9910826092203321 |
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Cheng Kevin
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||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
What (Really) Accounts for the Fall in Hours After a Technology Shock? / / Nooman Rebei
| What (Really) Accounts for the Fall in Hours After a Technology Shock? / / Nooman Rebei |
| Autore | Rebei Nooman |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (42 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Labor supply - Effect of technological innovations on - Mathematical models
Hours of labor - Effect of technological innovations on - Econometric models Econometrics Labor Macroeconomics Innovation Research and Development Technological Change Intellectual Property Rights: General Labor Economics: General Wages, Compensation, and Labor Costs: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes State Space Models Price Level Inflation Deflation Labour income economics Technology general issues Econometrics & economic statistics Real wages Structural vector autoregression Sticky prices Econometric analysis Prices Labor economics Wages |
| ISBN |
1-4755-2415-3
1-4755-5236-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Stylized facts and the RBC model; A. Stylized facts; Figures; 1. SVAR IRFs following a technology shock; B. The benchmark RBC model; 1. Representative household's and firm's problems; 2. Impulse-response functions; III. Alternative models; A. The sticky price (SP) model; 2. Impulse-response functions: SVAR versus the standard RBC model; B. The entry-exit (EE) model; 3. Impulse-response functions: SVAR versus the SP model; C. The habit in consumption (HC) model; 4. Impulse-response functions: SVAR versus the EE model
5. Impulse-response functions: SVAR versus the HC modelD. The persistent technology shock (PT) model; E. The labor friction (LF) model; 6. Impulse-response functions: SVAR versus the PT model; F. The Leontief production (LP) model; 7. Impulse-response functions: SVAR versus the LF model; IV. Full information estimation and model comparison; 8. Impulse-response functions: SVAR versus the LP model; A. Priors and data; Tables; 1. Prior distributions of parameters; B. Estimation results and model comparison; 2. Parameter Estimation Results; C. Impulse-response functions 9. IRFs of the Alternative Estimated ModelsD. Autocorrelation functions; 10. Autocorrelations of the Alternative Models; 3. Autocorrelation statistics; V. Robustness; 4. Estimation results with sticky wages; 11. Autocorrelations: SP versus HC model; VI. Conclusion; References |
| Record Nr. | UNINA-9910786482103321 |
|
Rebei Nooman
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||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
What (Really) Accounts for the Fall in Hours After a Technology Shock? / / Nooman Rebei
| What (Really) Accounts for the Fall in Hours After a Technology Shock? / / Nooman Rebei |
| Autore | Rebei Nooman |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (42 p.) |
| Disciplina | 332.152 |
| Collana | IMF Working Papers |
| Soggetto topico |
Labor supply - Effect of technological innovations on - Mathematical models
Hours of labor - Effect of technological innovations on - Econometric models Econometrics Labor Macroeconomics Innovation Research and Development Technological Change Intellectual Property Rights: General Labor Economics: General Wages, Compensation, and Labor Costs: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes State Space Models Price Level Inflation Deflation Labour income economics Technology general issues Econometrics & economic statistics Real wages Structural vector autoregression Sticky prices Econometric analysis Prices Labor economics Wages |
| ISBN |
1-4755-2415-3
1-4755-5236-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Stylized facts and the RBC model; A. Stylized facts; Figures; 1. SVAR IRFs following a technology shock; B. The benchmark RBC model; 1. Representative household's and firm's problems; 2. Impulse-response functions; III. Alternative models; A. The sticky price (SP) model; 2. Impulse-response functions: SVAR versus the standard RBC model; B. The entry-exit (EE) model; 3. Impulse-response functions: SVAR versus the SP model; C. The habit in consumption (HC) model; 4. Impulse-response functions: SVAR versus the EE model
5. Impulse-response functions: SVAR versus the HC modelD. The persistent technology shock (PT) model; E. The labor friction (LF) model; 6. Impulse-response functions: SVAR versus the PT model; F. The Leontief production (LP) model; 7. Impulse-response functions: SVAR versus the LF model; IV. Full information estimation and model comparison; 8. Impulse-response functions: SVAR versus the LP model; A. Priors and data; Tables; 1. Prior distributions of parameters; B. Estimation results and model comparison; 2. Parameter Estimation Results; C. Impulse-response functions 9. IRFs of the Alternative Estimated ModelsD. Autocorrelation functions; 10. Autocorrelations of the Alternative Models; 3. Autocorrelation statistics; V. Robustness; 4. Estimation results with sticky wages; 11. Autocorrelations: SP versus HC model; VI. Conclusion; References |
| Record Nr. | UNINA-9910807342103321 |
|
Rebei Nooman
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||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
