Commodity Prices and Exchange Rate Volatility : : Lessons from South Africa’s Capital Account Liberalization / / Elena Dumitrescu, Rabah Arezki, Andreas Freytag, Marc Quintyn |
Autore | Dumitrescu Elena |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (20 p.) |
Altri autori (Persone) |
ArezkiRabah
FreytagAndreas QuintynMarc |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Prices
Foreign exchange rates - South Africa Exports and Imports Foreign Exchange Macroeconomics International Investment Long-term Capital Movements Current Account Adjustment Short-term Capital Movements Metals and Metal Products Cement Glass Ceramics Commodity Markets Currency Foreign exchange International economics Gold prices Real exchange rates Real effective exchange rates Capital account liberalization Commodity price fluctuations Balance of payments Gold |
ISBN |
1-4755-5956-9
1-4755-6350-7 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; II. The Literature; III. Empirical Strategy; A. Data; B. Time Series Properties and Econometric Techniques; IV. Main Results; V. Robustness; VI. Conclusion; References; Figures; Figure 1. Evolution of Gold Prices and South Africa Rand Real Exchange Rate; Figure 2. Volatility of Gold Prices and South Africa Rand Real Exchange Rate; Tables; Table 1 Johansen Cointegration Test Results on Pre-Capital Account Liberalization; Table 2 Johansen Cointegration Test Results on Post-Capital Account Liberalization
Table 3 Lagrange Multiplier Test for Residual AutocorelationTable 4 VECM Results for Pre-Capital Account Liberalization Sample; Table 5 Post-Capital Account Liberalization VECM Results; Table 6 Testing Weak Exogeneity |
Record Nr. | UNINA-9910786484703321 |
Dumitrescu Elena
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Commodity Prices and Exchange Rate Volatility : : Lessons from South Africa’s Capital Account Liberalization / / Elena Dumitrescu, Rabah Arezki, Andreas Freytag, Marc Quintyn |
Autore | Dumitrescu Elena |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (20 p.) |
Disciplina | 332.152 |
Altri autori (Persone) |
ArezkiRabah
FreytagAndreas QuintynMarc |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Prices
Foreign exchange rates - South Africa Exports and Imports Foreign Exchange Macroeconomics International Investment Long-term Capital Movements Current Account Adjustment Short-term Capital Movements Metals and Metal Products Cement Glass Ceramics Commodity Markets Currency Foreign exchange International economics Gold prices Real exchange rates Real effective exchange rates Capital account liberalization Commodity price fluctuations Balance of payments Gold |
ISBN |
1-4755-5956-9
1-4755-6350-7 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; II. The Literature; III. Empirical Strategy; A. Data; B. Time Series Properties and Econometric Techniques; IV. Main Results; V. Robustness; VI. Conclusion; References; Figures; Figure 1. Evolution of Gold Prices and South Africa Rand Real Exchange Rate; Figure 2. Volatility of Gold Prices and South Africa Rand Real Exchange Rate; Tables; Table 1 Johansen Cointegration Test Results on Pre-Capital Account Liberalization; Table 2 Johansen Cointegration Test Results on Post-Capital Account Liberalization
Table 3 Lagrange Multiplier Test for Residual AutocorelationTable 4 VECM Results for Pre-Capital Account Liberalization Sample; Table 5 Post-Capital Account Liberalization VECM Results; Table 6 Testing Weak Exogeneity |
Record Nr. | UNINA-9910810767103321 |
Dumitrescu Elena
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Commodity Terms of Trade : : The History of Booms and Busts |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 34 p. : ill |
Collana | IMF Working Papers |
Soggetto topico |
Prices
Terms of trade - Econometric models Business cycles - Econometric models Investments: Commodities Investments: Energy Macroeconomics Commodity Markets Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Investment & securities Economic growth Commodity prices Business cycles Commodities Commodity booms Commodity price fluctuations Commercial products |
ISBN |
1-4623-3659-0
9786612844119 1-282-84411-3 1-4518-7352-2 1-4527-3896-3 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Record Nr. | UNINA-9910788226203321 |
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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Commodity Terms of Trade : : The History of Booms and Busts |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 34 p. : ill |
Disciplina | 338.5;338.52 |
Collana | IMF Working Papers |
Soggetto topico |
Prices
Terms of trade - Econometric models Business cycles - Econometric models Investments: Commodities Investments: Energy Macroeconomics Commodity Markets Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) Investment & securities Economic growth Commodity prices Business cycles Commodities Commodity booms Commodity price fluctuations Commercial products |
ISBN |
1-4623-3659-0
9786612844119 1-282-84411-3 1-4518-7352-2 1-4527-3896-3 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto | Intro -- Contents -- I. Introduction -- II. The Commodity Terms of Trade -- III. Identifying Commodity Booms and Busts -- IV. The Consequences of Commodity Booms and Busts -- V. Conclusions -- VI. References -- Tables -- 1. The Distribution of Booms Across Periods and Regions: Some Summary Statistics -- 2. The Distributions of Busts Across Periods and Regions: Some Summary Statistics -- 3. Descriptive Tests of Amplitude and Duration of Booms and Busts -- 4. The Most Recent Episodes of Booms and Busts -- 5. Macroeconomic Performance During Booms and Busts -- 6. Comparative Tests of Macroeconomic Performance During Booms and Busts -- 7. Macroeconomic Performance in the Latest Boom Relative to the Past -- Figures -- 1. Commodity Price Aggregates -- 2. Commodity Terms of Trade -- 3. Commodity Terms of Trade by Region -- 4. Commodity Terms of Trade: Fuel Exporters -- 5. Commodity Terms of Trade: Non-Fuel Commodity Exporters -- 6. Commodity Terms of Trade: Other Countries -- 7. Commodity Prices and Terms of Trade: Venezuela -- 8. Commodity Prices and Terms of Trade Papua New Guinea -- 9. Commodity Prices and Terms of Trade Mauritius -- 10. The Number of Countries Experiencing Booms and Busts in the Commodity Terms of Trade. |
Record Nr. | UNINA-9910825972003321 |
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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Measures of Fiscal Risk in Hydrocarbon-Exporting Countries / / Carlos Caceres, Leandro Medina |
Autore | Caceres Carlos |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (23 p.) |
Altri autori (Persone) | MedinaLeandro |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Petroleum products - Prices
Finance, Public - Middle East Finance, Public - Africa, North Investments: Futures Macroeconomics Public Finance Forecasting and Other Model Applications Financial Forecasting and Simulation National Budget, Deficit, and Debt: General Nonrenewable Resources and Conservation: Government Policy Energy: Demand and Supply Prices Commodity Markets Public Administration Public Sector Accounting and Audits Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Public finance & taxation Finance Oil prices Commodity price fluctuations Fiscal risks Futures Commodity prices Public financial management (PFM) Financial institutions Fiscal policy Derivative securities |
ISBN |
1-4755-9846-7
1-4755-4500-2 1-283-94788-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; Figures; 1. Real Break-Even Prices in Selected Middle East and North African Countries; II. Data and Empirical Methodology; 2. Real Brent Oil Price; III. Main Results and Discussion; 3. Probability that Brent Oil Prices Fall below the Break-Even Price (measure I); 4. Probability that Brent Oil Prices Fall below the Break-Even Price (measure II); IV. Conclusion; Annex I: Summary Tables; Tables; 1. Projected Nominal Break-Even Prices in Selected MENA Oil-Exporting Countries; 2. Projected Real Break-Even Prices in Selected MENA Oil-Exporting Countries
3. Probability that Brent Oil Prices Fall below the Break-Even Price (measure I)4. Probability that Brent Oil Prices Fall below the Break-Even Price (measure II); Annex II: Modeling Oil Prices Using Geometric Brownian Motion; Annex III: Stochastic Simulations; 5. Historic and Simulated Real Price of Brent Oil (in logarithm); References |
Record Nr. | UNINA-9910779594203321 |
Caceres Carlos
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Measures of Fiscal Risk in Hydrocarbon-Exporting Countries / / Carlos Caceres, Leandro Medina |
Autore | Caceres Carlos |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (23 p.) |
Disciplina | 332.1;332.1/52 |
Altri autori (Persone) | MedinaLeandro |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Petroleum products - Prices
Finance, Public - Middle East Finance, Public - Africa, North Investments: Futures Macroeconomics Public Finance Forecasting and Other Model Applications Financial Forecasting and Simulation National Budget, Deficit, and Debt: General Nonrenewable Resources and Conservation: Government Policy Energy: Demand and Supply Prices Commodity Markets Public Administration Public Sector Accounting and Audits Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Public finance & taxation Finance Oil prices Commodity price fluctuations Fiscal risks Futures Commodity prices Public financial management (PFM) Financial institutions Fiscal policy Derivative securities |
ISBN |
1-4755-9846-7
1-4755-4500-2 1-283-94788-9 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; Figures; 1. Real Break-Even Prices in Selected Middle East and North African Countries; II. Data and Empirical Methodology; 2. Real Brent Oil Price; III. Main Results and Discussion; 3. Probability that Brent Oil Prices Fall below the Break-Even Price (measure I); 4. Probability that Brent Oil Prices Fall below the Break-Even Price (measure II); IV. Conclusion; Annex I: Summary Tables; Tables; 1. Projected Nominal Break-Even Prices in Selected MENA Oil-Exporting Countries; 2. Projected Real Break-Even Prices in Selected MENA Oil-Exporting Countries
3. Probability that Brent Oil Prices Fall below the Break-Even Price (measure I)4. Probability that Brent Oil Prices Fall below the Break-Even Price (measure II); Annex II: Modeling Oil Prices Using Geometric Brownian Motion; Annex III: Stochastic Simulations; 5. Historic and Simulated Real Price of Brent Oil (in logarithm); References |
Record Nr. | UNINA-9910826707203321 |
Caceres Carlos
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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On the Sources and Consequences of Oil Price Shocks : : The Role of Storage / / Deren Unalmis, Ibrahim Unalmis, Filiz Unsal |
Autore | Unalmis Deren |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (42 p.) |
Altri autori (Persone) |
UnalmisIbrahim
UnsalFiliz |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Petroleum products - Prices - Econometric models
Petroleum products - Storage Investments: Energy Inflation Macroeconomics Economic Theory General Aggregative Models: Keynes Keynesian Post-Keynesian Energy and the Macroeconomy Energy: Demand and Supply Prices Energy: General Commodity Markets Price Level Deflation Agriculture: Aggregate Supply and Demand Analysis Investment & securities Economic theory & philosophy Oil prices Oil Commodity price fluctuations Supply shocks Commodities Economic theory Petroleum industry and trade Supply and demand |
ISBN |
1-61635-702-9
1-4755-9843-2 1-283-94779-X |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Contents; 1. Introduction; 2. The Model; 2.1 Households; 2.2 Firms and Production; 2.3 Monetary and Fiscal Policy; 2.4 Goods Market Equilibrium; 2.5 Storage and Oil Market Equilibrium; 3. Estimation; 3.1 Data; 3.2 Calibrated Parameters; 3.3 Prior Distributions and Estimation Results; 4. Conclusion; References; Appendix; Tables; 1. Calibrated parameters; 2. Prior distributions and posterior estimates (sample period: 1982Q1-2007Q4); 3. Variance decomposition (sample period: 1982Q1-2007Q4); 4. Variance decomposition (sample period: 2000Q1-2007Q4); Figures
1. Impulse responses to a one standard deviation positive TFP shock2. Impulse responses to a one standard deviation positive labor productivity shock; 3. Impulse responses to a one standard deviation negative oil supply shock; 4. Impulse responses to a one standard deviation storage demand shock; 5. Impulse responses to a one standard deviation positive TFP shock with and without storage; 6. Impulse responses to a one standard deviation positive labor productivity shock with and without storage; 7. Impulse responses to a one standard deviation negative oil supplywith and without storage |
Record Nr. | UNINA-9910779593503321 |
Unalmis Deren
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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On the Sources and Consequences of Oil Price Shocks : : The Role of Storage / / Deren Unalmis, Ibrahim Unalmis, Filiz Unsal |
Autore | Unalmis Deren |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
Descrizione fisica | 1 online resource (42 p.) |
Disciplina | 338.29346 |
Altri autori (Persone) |
UnalmisIbrahim
UnsalFiliz |
Collana |
IMF Working Papers
IMF working paper |
Soggetto topico |
Petroleum products - Prices - Econometric models
Petroleum products - Storage Investments: Energy Inflation Macroeconomics Economic Theory General Aggregative Models: Keynes Keynesian Post-Keynesian Energy and the Macroeconomy Energy: Demand and Supply Prices Energy: General Commodity Markets Price Level Deflation Agriculture: Aggregate Supply and Demand Analysis Investment & securities Economic theory & philosophy Oil prices Oil Commodity price fluctuations Supply shocks Commodities Economic theory Petroleum industry and trade Supply and demand |
ISBN |
1-61635-702-9
1-4755-9843-2 1-283-94779-X |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Cover; Contents; 1. Introduction; 2. The Model; 2.1 Households; 2.2 Firms and Production; 2.3 Monetary and Fiscal Policy; 2.4 Goods Market Equilibrium; 2.5 Storage and Oil Market Equilibrium; 3. Estimation; 3.1 Data; 3.2 Calibrated Parameters; 3.3 Prior Distributions and Estimation Results; 4. Conclusion; References; Appendix; Tables; 1. Calibrated parameters; 2. Prior distributions and posterior estimates (sample period: 1982Q1-2007Q4); 3. Variance decomposition (sample period: 1982Q1-2007Q4); 4. Variance decomposition (sample period: 2000Q1-2007Q4); Figures
1. Impulse responses to a one standard deviation positive TFP shock2. Impulse responses to a one standard deviation positive labor productivity shock; 3. Impulse responses to a one standard deviation negative oil supply shock; 4. Impulse responses to a one standard deviation storage demand shock; 5. Impulse responses to a one standard deviation positive TFP shock with and without storage; 6. Impulse responses to a one standard deviation positive labor productivity shock with and without storage; 7. Impulse responses to a one standard deviation negative oil supplywith and without storage |
Record Nr. | UNINA-9910817344703321 |
Unalmis Deren
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Washington, D.C. : , : International Monetary Fund, , 2012 | ||
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Lo trovi qui: Univ. Federico II | ||
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Spillovers From the Rest of the World Into Sub-Saharan African Countries |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 1 online resource (22 p.) |
Collana | IMF Working Papers |
Soggetto topico |
Stocks - Prices - Africa, Sub-Saharan - Econometric models
Capital stock - Africa, Sub-Saharan - Econometric models Bank loans - Africa, Sub-Saharan - Econometric models Exports and Imports Macroeconomics Multiple or Simultaneous Equation Models: Models with Panel Data International Finance Forecasting and Simulation Economic Growth of Open Economies Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation Commodity Markets Energy: Demand and Supply Prices Empirical Studies of Trade Trade: General International economics Commodity prices Oil prices Commodity price fluctuations Terms of trade Exports International trade Economic policy nternational cooperation |
ISBN |
1-4623-6182-X
1-4527-4300-2 1-282-84368-0 1-4518-7302-6 9786612843686 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Contents; I. World Growth Spillovers; Figures; 1. Sub-Saharan Africa and the Rest of the World: Real GDP Growth; II. Previous Studies; III. Channels of Transmission; 2. Sub-Saharan Africa: Total Merchandise Exports by Destinations, 1985 to 2008; 3. Sub-Saharan Africa: Destination of Exports; IV. Quantitative Estimates of Spillovers; 4. Capital Inflows in Sub-Saharan Africa; 5. 3-month Libor to Treasury Bill Rate Spreads and the VIX Index; Tables; 1. GMM Regression Output for SSA Real GDP Growth
6. Selection of the Optimal Size of Shock for the Absolute Value of Income Effect of Oil Price Changes 7. Percent of Non-Zeros in Variable Measuring Income Effect of Oil Price Changes Greater than 5 Percent; 8. Recursive Estimators of the GMM Model; V. Applications to Sub-Saharan African Countries; 9. Out-of-Sample Forecast: Changes in Growth as Forecasted by WEO and by the Spillover Model for 2008 to 09; 2. Sub-Saharan Africa: Out-of-Sample Real GDP Growth as Forecasted in the WEO and the GMM Model; 10. Spillovers Model and WEO Forecasts Vs. Actual 2008 Real Growth 11. Forecasting Errors in WEO and Spillover Model for 2008 VI. Conclusions; Box; References |
Record Nr. | UNINA-9910788331103321 |
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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Spillovers From the Rest of the World Into Sub-Saharan African Countries |
Edizione | [1st ed.] |
Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
Descrizione fisica | 1 online resource (22 p.) |
Disciplina | 341.27 |
Collana | IMF Working Papers |
Soggetto topico |
Stocks - Prices - Africa, Sub-Saharan - Econometric models
Capital stock - Africa, Sub-Saharan - Econometric models Bank loans - Africa, Sub-Saharan - Econometric models Exports and Imports Macroeconomics Multiple or Simultaneous Equation Models: Models with Panel Data International Finance Forecasting and Simulation Economic Growth of Open Economies Macroeconomic Aspects of International Trade and Finance: Forecasting and Simulation Commodity Markets Energy: Demand and Supply Prices Empirical Studies of Trade Trade: General International economics Commodity prices Oil prices Commodity price fluctuations Terms of trade Exports International trade Economic policy nternational cooperation |
ISBN |
1-4623-6182-X
1-4527-4300-2 1-282-84368-0 1-4518-7302-6 9786612843686 |
Formato | Materiale a stampa ![]() |
Livello bibliografico | Monografia |
Lingua di pubblicazione | eng |
Nota di contenuto |
Contents; I. World Growth Spillovers; Figures; 1. Sub-Saharan Africa and the Rest of the World: Real GDP Growth; II. Previous Studies; III. Channels of Transmission; 2. Sub-Saharan Africa: Total Merchandise Exports by Destinations, 1985 to 2008; 3. Sub-Saharan Africa: Destination of Exports; IV. Quantitative Estimates of Spillovers; 4. Capital Inflows in Sub-Saharan Africa; 5. 3-month Libor to Treasury Bill Rate Spreads and the VIX Index; Tables; 1. GMM Regression Output for SSA Real GDP Growth
6. Selection of the Optimal Size of Shock for the Absolute Value of Income Effect of Oil Price Changes 7. Percent of Non-Zeros in Variable Measuring Income Effect of Oil Price Changes Greater than 5 Percent; 8. Recursive Estimators of the GMM Model; V. Applications to Sub-Saharan African Countries; 9. Out-of-Sample Forecast: Changes in Growth as Forecasted by WEO and by the Spillover Model for 2008 to 09; 2. Sub-Saharan Africa: Out-of-Sample Real GDP Growth as Forecasted in the WEO and the GMM Model; 10. Spillovers Model and WEO Forecasts Vs. Actual 2008 Real Growth 11. Forecasting Errors in WEO and Spillover Model for 2008 VI. Conclusions; Box; References |
Record Nr. | UNINA-9910828556403321 |
Washington, D.C. : , : International Monetary Fund, , 2009 | ||
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Lo trovi qui: Univ. Federico II | ||
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