Info
Cointegrated TFP Processes and International Business Cycles / / Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal
| Cointegrated TFP Processes and International Business Cycles / / Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal |
| Autore | Tuesta Vicente |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 53 p. : ill |
| Altri autori (Persone) |
Rubio-RamirezJuan
RabanalPau |
| Collana | IMF Working Papers |
| Soggetto topico |
Business cycles - Econometric models
Foreign exchange rates - Econometric models Econometrics Foreign Exchange Macroeconomics Production and Operations Management Production Cost Capital and Total Factor Productivity Capacity Multiple or Simultaneous Equation Models Multiple Variables: General Macroeconomics: Consumption Saving Wealth Environment and Growth Currency Foreign exchange Econometrics & economic statistics Economic growth Real exchange rates Total factor productivity Vector error correction models Consumption Sustainable growth Industrial productivity Econometric models Economics Economic development |
| ISBN |
1-4623-7796-3
1-4518-7359-X 1-4527-5510-8 1-282-84418-0 9786612844188 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788226303321 |
Tuesta Vicente
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Cointegrated TFP Processes and International Business Cycles / / Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal
| Cointegrated TFP Processes and International Business Cycles / / Vicente Tuesta, Juan Rubio-Ramirez, Pau Rabanal |
| Autore | Tuesta Vicente |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2009 |
| Descrizione fisica | 53 p. : ill |
| Disciplina | 332.1;332.15 |
| Altri autori (Persone) |
RabanalPau
Rubio-RamirezJuan |
| Collana | IMF Working Papers |
| Soggetto topico |
Business cycles - Econometric models
Foreign exchange rates - Econometric models Capacity Capital and Total Factor Productivity Consumption Cost Currency Econometric models Econometrics & economic statistics Econometrics Economic development Economic growth Economics Environment and Growth Foreign Exchange Foreign exchange Industrial productivity Macroeconomics Macroeconomics: Consumption Multiple or Simultaneous Equation Models Multiple Variables: General Production and Operations Management Production Real exchange rates Saving Sustainable growth Total factor productivity Vector error correction models Wealth |
| ISBN |
9786612844188
9781462377961 1462377963 9781451873597 145187359X 9781452755106 1452755108 9781282844186 1282844180 |
| 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 Great Moderation and Real Exchange Rate Volatility -- 1. Standard Deviation of HP-Filtered Data. USA and UK -- 2. Standard Deviation of HP-Filtered Data. Canada and Australia -- III. The Model -- A. Households -- B. Firms -- B.1 Final goods producers -- B.2 Intermediate goods producers -- B.3 The processes for TFP -- C. Market Clearing -- D. Equilibrium -- D.1 Equilibrium definition -- D.2 Equilibrium conditions -- E. Balanced Growth and the Restriction on the Cointegrating Vector -- IV. Estimation of the VECM -- A. Data -- 3. TFP Processes for the US and the "Rest of the World" -- B. Integration and Cointegration Properties -- 1. Unit Root tests for TFP -- 2. Cointegration Statistics I -- 3. Cointegration Statistics II: Johansen's test -- C. The VECM Model -- 4. Likelihood ratio tests -- 5. VECM model -- V. Results -- A. Parameterization -- B. Matching Real Exchange Rate Volatility -- 6a. Results -- 6b. Results -- 6c. Results -- C. Intuition -- 4. Impulse Response to a Home Country TFP shock. Model with Stationary TFP Shocks -- 5. Impulse Response to a Home-Country TFP shock. Model with Stationary TFP Shocks -- 7. Changing ρa and к -- 6. Impulse Response to a Home-Country TFP shock. Model with Cointegrated TFP Shocks -- 7. Impulse Response to a Home-Country TFP shock. Model with Cointegrated TFP Shocks -- D. Matching the Increase in Real Exchange Rate Volatility -- E. The "Backus-Smith Puzzle" -- 8. Investment-Specific Technology shocks -- VI. Concluding Remarks -- A. Normalize Equilibrium Conditions -- References -- Footnotes. |
| Record Nr. | UNINA-9910971218303321 |
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Tuesta Vicente
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| Washington, D.C. : , : International Monetary Fund, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Inflation in Tajikistan : : Forecasting Analysis and Monetary Policy Challenges / / Svetlana Vtyurina, Fahad Alturki
| Inflation in Tajikistan : : Forecasting Analysis and Monetary Policy Challenges / / Svetlana Vtyurina, Fahad Alturki |
| Autore | Vtyurina Svetlana |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2010 |
| Descrizione fisica | 19 p. : ill |
| Altri autori (Persone) | AlturkiFahad |
| Collana | IMF Working Papers |
| Soggetto topico |
Inflation (Finance) - Tajikistan
Monetary policy - Tajikistan Econometrics Foreign Exchange Inflation Money and Monetary Policy Forecasting Price Level Deflation Monetary Policy, Central Banking, and the Supply of Money and Credit: General Forecasting and Other Model Applications Multiple or Simultaneous Equation Models Multiple Variables: General Macroeconomics Monetary economics Currency Foreign exchange Economic Forecasting Econometrics & economic statistics Monetary base Exchange rates Economic forecasting Vector error correction models Prices Money supply Econometric models |
| ISBN |
1-4623-5777-6
1-4527-2079-7 1-282-84526-8 1-4519-6217-7 9786612845260 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910788220603321 |
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Vtyurina Svetlana
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| Washington, D.C. : , : International Monetary Fund, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Inflation in Tajikistan : : Forecasting Analysis and Monetary Policy Challenges / / Svetlana Vtyurina, Fahad Alturki
| Inflation in Tajikistan : : Forecasting Analysis and Monetary Policy Challenges / / Svetlana Vtyurina, Fahad Alturki |
| Autore | Vtyurina Svetlana |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2010 |
| Descrizione fisica | 19 p. : ill |
| Disciplina | 332.1 |
| Altri autori (Persone) | AlturkiFahad |
| Collana | IMF Working Papers |
| Soggetto topico |
Inflation (Finance) - Tajikistan
Monetary policy - Tajikistan Currency Deflation Econometric models Econometrics & economic statistics Econometrics Economic Forecasting Economic forecasting Exchange rates Forecasting and Other Model Applications Forecasting Foreign Exchange Foreign exchange Inflation Macroeconomics Monetary base Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Money supply Multiple or Simultaneous Equation Models Multiple Variables: General Price Level Prices Vector error correction models |
| ISBN |
9786612845260
9781462357772 1462357776 9781452720791 1452720797 9781282845268 1282845268 9781451962178 1451962177 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Contents -- I. Introduction -- II. Monetary Policy Transmission Channels in Tajikistan -- III. Empirical Investigation -- IV. Summary and Considerations -- References -- Tables -- 1. Augmented Dickey-Fuller Unit Root Tests -- 2. Johansen Co-Integration Tests -- 3. Model Restriction and Weak Exogeneity Tests -- 4. Main Statistics of Various ARMA Models, 1999-2009 -- Exhibits and Figures -- Exhibit -- 1. Monetary Policy Transmission Mechanism in Tajikistan -- Figures -- 1. NBT Refinancing Rate and Bank Lending Rates, 2001-08 -- 2. Money Growth and Inflation, 2001-08 -- 3. Tajikistan: Overall Inflation 2001Q1-2010Q4 -- 4. Tajikistan: Overall Inflation 2001Q4-2010Q4 -- 5. Tajikistan: Overall Inflation, 1999-2009 -- 6. Tajikistan: Inflation Forecast Based on BARMA (2,2) Model, Dec. 2007-June 2009 -- 7. Tajikistan: Inflation Forecast Based on ARMA (2,2) Model, Dec. 2008-Dec. 2010. |
| Record Nr. | UNINA-9910965894803321 |
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Vtyurina Svetlana
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| Washington, D.C. : , : International Monetary Fund, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Investigating Inflation Dynamics in Sudan / / Kenji Moriyama
| Investigating Inflation Dynamics in Sudan / / Kenji Moriyama |
| Autore | Moriyama Kenji |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (23 p.) |
| Disciplina | 332.41 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Inflation (Finance) - Sudan - Econometric models
Monetary policy - Sudan - Econometric models Econometrics Foreign Exchange Inflation Money and Monetary Policy Monetary Policy, Central Banking, and the Supply of Money and Credit: General Price Level Deflation Multiple or Simultaneous Equation Models Multiple Variables: General Time-Series Models Dynamic Quantile Regressions Dynamic Treatment Effect Models Diffusion Processes State Space Models Monetary economics Macroeconomics Currency Foreign exchange Econometrics & economic statistics Monetary base Exchange rates Vector error correction models Structural vector autoregression Money supply Prices Econometric models |
| ISBN |
1-4623-7799-8
1-4527-0872-X 9786612841408 1-4518-7047-7 1-282-84140-8 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Background; III. Model; IV. Data Issues and Results; A. Single-Equation Model; B. Structural Vector Auto Regression Model (SVAR); C. Vector Error Correction Model (VECM); V. Policy Implications and Conclusions; Appendixes; I. Data Issues; II. Structural Model Assumptions; Tables; 1. Unit Root Tests; 2. Estimated Regressions; 3. Elasticities of Inflation to Money Supply and Nominal Exchange Rate; 4. Schwartz Information Criterion (SIC) and Akaike Information Criterion (AIC); 5. Johansen Co-Integration Tests; References |
| Record Nr. | UNINA-9910788232303321 |
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Moriyama Kenji
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| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Investigating Inflation Dynamics in Sudan / / Kenji Moriyama
| Investigating Inflation Dynamics in Sudan / / Kenji Moriyama |
| Autore | Moriyama Kenji |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (23 p.) |
| Disciplina | 332.41 |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Inflation (Finance) - Sudan - Econometric models
Monetary policy - Sudan - Econometric models Currency Deflation Diffusion Processes Dynamic Quantile Regressions Dynamic Treatment Effect Models Econometric models Econometrics & economic statistics Econometrics Exchange rates Foreign Exchange Foreign exchange Inflation Macroeconomics Monetary base Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Money supply Multiple or Simultaneous Equation Models Multiple Variables: General Price Level Prices State Space Models Structural vector autoregression Time-Series Models Vector error correction models |
| ISBN |
9786612841408
9781462377992 1462377998 9781452708720 145270872X 9781451870473 1451870477 9781282841406 1282841408 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Background; III. Model; IV. Data Issues and Results; A. Single-Equation Model; B. Structural Vector Auto Regression Model (SVAR); C. Vector Error Correction Model (VECM); V. Policy Implications and Conclusions; Appendixes; I. Data Issues; II. Structural Model Assumptions; Tables; 1. Unit Root Tests; 2. Estimated Regressions; 3. Elasticities of Inflation to Money Supply and Nominal Exchange Rate; 4. Schwartz Information Criterion (SIC) and Akaike Information Criterion (AIC); 5. Johansen Co-Integration Tests; References |
| Record Nr. | UNINA-9910957405503321 |
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Moriyama Kenji
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||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| 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 |
|
López-Espinosa Germán
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| 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 |
| 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) |
MorenoAntonio
RubiaAntonio ValderramaLaura |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk assessment
Finance Accounting Banking Banks and Banking Banks and banking Banks Commercial banks Depository Institutions Diffusion Processes Dynamic Quantile Regressions Dynamic Treatment Effect Models Econometric analysis Econometrics & economic statistics Econometrics Finance, Public Finance: General Financial Crises Financial Institutions and Services: General Financial institutions Financial reporting, financial statements Financial risk management Financial sector policy and analysis Financial statements General Financial Markets: General (includes Measurement and Data) General Financial Markets: Government Policy and Regulation Government securities Investment & securities Investments: General Micro Finance Institutions Mortgages Multiple or Simultaneous Equation Models Multiple Variables: General Public Administration Public financial management (PFM) Public Sector Accounting and Audits Systemic risk Time-Series Models Treasury bills and bonds Vector autoregression |
| ISBN |
9781475581201
1475581203 9781475517569 1475517564 |
| 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-9910963611703321 |
|
López-Espinosa Germán
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
