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Asset Market Participation, Monetary Policy Rules, and the Great Inflation / / Florin Bilbiie, Roland Straub
| Asset Market Participation, Monetary Policy Rules, and the Great Inflation / / Florin Bilbiie, Roland Straub |
| Autore | Bilbiie Florin |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (34 p.) |
| Altri autori (Persone) | StraubRoland |
| Collana | IMF Working Papers |
| Soggetto topico |
Inflation (Finance)
Monetary policy Banks and Banking Finance: General Inflation Macroeconomics Price Level Deflation Business Fluctuations Cycles Financial Markets and the Macroeconomy Monetary Policy Central Banks and Their Policies Studies of Particular Policy Episodes Economic History: Macroeconomics Growth and Fluctuations: U.S Canada: 1913- Economic History: Financial Markets and Institutions: U.S General Financial Markets: General (includes Measurement and Data) Macroeconomics: Consumption Saving Wealth Interest Rates: Determination, Term Structure, and Effects Finance Securities markets Consumption Hyperinflation Real interest rates Financial markets Prices National accounts Financial services Capital market Economics Interest rates |
| ISBN |
1-4623-6796-8
1-4527-8747-6 1-282-58659-9 9786613822536 1-4519-9219-X |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. Introduction""; ""II. Limited Asset Market Participation and Monetary Policy: Some Theory""; ""III. Empirical Evidence""; ""IV. Change in Structure of Economy or in Distribution of Shocks?""; ""V. Conclusions""; ""General Model"" |
| Record Nr. | UNINA-9910788519203321 |
Bilbiie Florin
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Asset Market Participation, Monetary Policy Rules, and the Great Inflation / / Florin Bilbiie, Roland Straub
| Asset Market Participation, Monetary Policy Rules, and the Great Inflation / / Florin Bilbiie, Roland Straub |
| Autore | Bilbiie Florin |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (34 p.) |
| Altri autori (Persone) | StraubRoland |
| Collana | IMF Working Papers |
| Soggetto topico |
Inflation (Finance)
Monetary policy Banks and Banking Business Fluctuations Canada: 1913- Capital market Central Banks and Their Policies Consumption Cycles Deflation Economic History: Financial Markets and Institutions: U.S Economic History: Macroeconomics Economics Finance Finance: General Financial Markets and the Macroeconomy Financial markets Financial services General Financial Markets: General (includes Measurement and Data) Growth and Fluctuations: U.S Hyperinflation Inflation Interest rates Interest Rates: Determination, Term Structure, and Effects Macroeconomics Macroeconomics: Consumption Monetary Policy National accounts Price Level Prices Real interest rates Saving Securities markets Studies of Particular Policy Episodes Wealth |
| ISBN |
1-4623-6796-8
1-4527-8747-6 1-282-58659-9 9786613822536 1-4519-9219-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. Introduction""; ""II. Limited Asset Market Participation and Monetary Policy: Some Theory""; ""III. Empirical Evidence""; ""IV. Change in Structure of Economy or in Distribution of Shocks?""; ""V. Conclusions""; ""General Model"" |
| Record Nr. | UNINA-9910809280903321 |
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Bilbiie Florin
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond Markets As Conduits for Capital Flows : : How Does Asia Compare? / / Pipat Luengnaruemitchai, Barry Eichengreen
| Bond Markets As Conduits for Capital Flows : : How Does Asia Compare? / / Pipat Luengnaruemitchai, Barry Eichengreen |
| Autore | Luengnaruemitchai Pipat |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (44 p.) |
| Altri autori (Persone) | EichengreenBarry |
| Collana | IMF Working Papers |
| Soggetto topico |
Investments, Foreign - Asia - Mathematical models
Capital movements - Asia Banks and Banking Finance: General Investments: General Investments: Bonds Industries: Financial Services General Financial Markets: General (includes Measurement and Data) Banks Depository Institutions Micro Finance Institutions Mortgages Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Investment & securities Finance Banking Bonds Securities markets Securities Mutual funds Capital market Banks and banking Financial instruments |
| ISBN |
1-4623-9116-8
1-4527-4509-9 1-283-51795-7 1-4519-0951-9 9786613830401 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. REVIEW OF PREVIOUS STUDIES""; ""III. DATA AND SPECIFICATION""; ""IV. BASIC RESULTS""; ""V. SENSITIVITY CHECKS""; ""VI. CONNECTIONS WITH OTHER ASPECTS OF FINANCIAL DEVELOPMENT""; ""VII. THE COMPOSITION OF THE INVESTOR BASE""; ""VIII. CONCLUSIONS AND POLICY IMPLICATIONS""; ""References"" |
| Record Nr. | UNINA-9910788693403321 |
|
Luengnaruemitchai Pipat
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond Markets As Conduits for Capital Flows : : How Does Asia Compare? / / Pipat Luengnaruemitchai, Barry Eichengreen
| Bond Markets As Conduits for Capital Flows : : How Does Asia Compare? / / Pipat Luengnaruemitchai, Barry Eichengreen |
| Autore | Luengnaruemitchai Pipat |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (44 p.) |
| Altri autori (Persone) | EichengreenBarry |
| Collana | IMF Working Papers |
| Soggetto topico |
Investments, Foreign - Asia - Mathematical models
Capital movements - Asia Banking Banks and Banking Banks and banking Banks Bonds Capital market Depository Institutions Finance Finance: General Financial Instruments Financial instruments General Financial Markets: General (includes Measurement and Data) Industries: Financial Services Institutional Investors Investment & securities Investments: Bonds Investments: General Micro Finance Institutions Mortgages Mutual funds Non-bank Financial Institutions Pension Funds Securities markets Securities |
| ISBN |
1-4623-9116-8
1-4527-4509-9 1-283-51795-7 1-4519-0951-9 9786613830401 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. REVIEW OF PREVIOUS STUDIES""; ""III. DATA AND SPECIFICATION""; ""IV. BASIC RESULTS""; ""V. SENSITIVITY CHECKS""; ""VI. CONNECTIONS WITH OTHER ASPECTS OF FINANCIAL DEVELOPMENT""; ""VII. THE COMPOSITION OF THE INVESTOR BASE""; ""VIII. CONCLUSIONS AND POLICY IMPLICATIONS""; ""References"" |
| Record Nr. | UNINA-9910815304003321 |
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Luengnaruemitchai Pipat
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||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber
| Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber |
| Autore | Jaramillo Laura |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (26 p.) |
| Altri autori (Persone) | WeberAnke |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Bonds
Investments - Developing countries Finance: General Investments: Bonds Public Finance Financial Markets and the Macroeconomy Fiscal Policy International Financial Markets Debt Debt Management Sovereign Debt General Financial Markets: General (includes Measurement and Data) Investment & securities Public finance & taxation Finance Bond yields Government debt management Emerging and frontier financial markets Public debt Securities markets Financial institutions Public financial management (PFM) Financial markets Debts, Public Financial services industry Capital market |
| ISBN |
1-4755-1103-5
1-4755-3136-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; II. Background and Literature Review; III. Stylized Facts; Figures; 1. Emerging Economies: Government Debt; 2. Emerging Economies: Domestic Government Debt Securities; 3. Emerging Market Fund Assets; 4. Sovereign Domestic Bond Yields; 5. Sovereign Domestic Bond Yields and Global Factors; 6. Domestic Bond Yields and Fiscal Fundamentals, 2007-2011; IV. Empirical Model Specification; V. Data and Estimation Results; A. Data Sources; B. Estimation Results; Tables; 1. Descriptive Statistics
2. Determinants of 10-year Domestic Bond Yields in Emerging Economies3. Threshold Model: Determinants of 10-year Domestic Bond Yields in Emerging Economies; VI. Summary and Conclusions; 7. Actual Change in Bond Yields Compared to Out-of-Sample Prediction; Appendix; References |
| Record Nr. | UNINA-9910786484803321 |
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Jaramillo Laura
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber
| Bond Yields in Emerging Economies : : It Matters What State You Are In / / Laura Jaramillo, Anke Weber |
| Autore | Jaramillo Laura |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (26 p.) |
| Disciplina | 332.1/52 |
| Altri autori (Persone) | WeberAnke |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Bonds
Investments - Developing countries Bond yields Capital market Debt Management Debt Debts, Public Emerging and frontier financial markets Finance Finance: General Financial institutions Financial Markets and the Macroeconomy Financial markets Financial services industry Fiscal Policy General Financial Markets: General (includes Measurement and Data) Government debt management International Financial Markets Investment & securities Investments: Bonds Public debt Public finance & taxation Public Finance Public financial management (PFM) Securities markets Sovereign Debt |
| ISBN |
1-4755-1103-5
1-4755-3136-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Abstract; Contents; I. Introduction; II. Background and Literature Review; III. Stylized Facts; Figures; 1. Emerging Economies: Government Debt; 2. Emerging Economies: Domestic Government Debt Securities; 3. Emerging Market Fund Assets; 4. Sovereign Domestic Bond Yields; 5. Sovereign Domestic Bond Yields and Global Factors; 6. Domestic Bond Yields and Fiscal Fundamentals, 2007-2011; IV. Empirical Model Specification; V. Data and Estimation Results; A. Data Sources; B. Estimation Results; Tables; 1. Descriptive Statistics
2. Determinants of 10-year Domestic Bond Yields in Emerging Economies3. Threshold Model: Determinants of 10-year Domestic Bond Yields in Emerging Economies; VI. Summary and Conclusions; 7. Actual Change in Bond Yields Compared to Out-of-Sample Prediction; Appendix; References |
| Record Nr. | UNINA-9910811406703321 |
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Jaramillo Laura
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
China and India Learning from Each Other : : Reforms and Policies for Sustained Growth / / Eswar Prasad, Steven Dunaway, Jahangir Aziz
| China and India Learning from Each Other : : Reforms and Policies for Sustained Growth / / Eswar Prasad, Steven Dunaway, Jahangir Aziz |
| Autore | Prasad Eswar |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (299 p.) |
| Disciplina | 330.951 |
| Altri autori (Persone) |
DunawaySteven
AzizJahangir |
| Collana | Books |
| Soggetto topico |
Banks and banking - China
Banks and banking - India Securities industry - China Securities industry - India Banks and Banking Exports and Imports Finance: General Investments: General Macroeconomics Foreign Exchange Banks Depository Institutions Micro Finance Institutions Mortgages General Financial Markets: General (includes Measurement and Data) Current Account Adjustment Short-term Capital Movements Labor Economics: General Price Level Inflation Deflation Banking Finance International economics Investment & securities Currency Foreign exchange Commercial banks Securities markets Securities Exchange rate flexibility Financial institutions Financial markets Government securities Banks and banking Capital market Prices Financial instruments Balance of payments |
| ISBN |
1-4552-5799-0
1-4519-9664-0 1-283-53497-5 9786613847423 1-4519-6303-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Banking sector reform in India / Nachiket Mor, R. Chandrasekar, and Diviya Wahi -- Reforming China's banking system: how much can foreign strategic investment help? / Nicholas Hope and Fred Hu -- Banking system structure in China and India / Luo Ping -- Development of the securities market in India / G.N. Bajpai -- Development of securities markets: the Indian experience / Narendra Jadhav -- Accelerating the external and internal opening up of China's securities industry / Xinghai Fang, Ti Liu, and Donghui Shi -- Domestic financial liberalization and international financial integration: an Indian perspective / Suman Bery and Kanhaiya Singh -- Putting the cart before the horse? Capital account liberalization and exchange rate flexibility in China / Eswar Prasad, Thomas Rumbaugh, and Qing Wang -- Some apparent puzzles for contemporary monetary policy / Rakesh Mohan -- Fiscal policy in China / Steven Dunaway and Annalisa Fedelino -- Labor mobility in China and India: the role of hukou, caste, and community / Arvinder Singh -- Indian economic development and India-China cooperation / Nalin Surie -- India-China economic cooperation / Arvind Virmani. |
| Record Nr. | UNINA-9910780746003321 |
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Prasad Eswar
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| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
China and India Learning from Each Other : : Reforms and Policies for Sustained Growth / / Eswar Prasad, Steven Dunaway, Jahangir Aziz
| China and India Learning from Each Other : : Reforms and Policies for Sustained Growth / / Eswar Prasad, Steven Dunaway, Jahangir Aziz |
| Autore | Prasad Eswar |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (299 p.) |
| Disciplina | 330.951 |
| Altri autori (Persone) |
AzizJahangir
DunawaySteven |
| Collana | Books |
| Soggetto topico |
Banks and banking - China
Banks and banking - India Securities industry - China Securities industry - India Balance of payments Banking Banks and Banking Banks and banking Banks Capital market Commercial banks Currency Current Account Adjustment Deflation Depository Institutions Exchange rate flexibility Exports and Imports Finance Finance: General Financial institutions Financial instruments Financial markets Foreign Exchange Foreign exchange General Financial Markets: General (includes Measurement and Data) Government securities Inflation International economics Investment & securities Investments: General Labor Economics: General Macroeconomics Micro Finance Institutions Mortgages Price Level Prices Securities markets Securities Short-term Capital Movements |
| ISBN |
1-4552-5799-0
1-4519-9664-0 1-283-53497-5 9786613847423 1-4519-6303-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Banking sector reform in India / Nachiket Mor, R. Chandrasekar, and Diviya Wahi -- Reforming China's banking system: how much can foreign strategic investment help? / Nicholas Hope and Fred Hu -- Banking system structure in China and India / Luo Ping -- Development of the securities market in India / G.N. Bajpai -- Development of securities markets: the Indian experience / Narendra Jadhav -- Accelerating the external and internal opening up of China's securities industry / Xinghai Fang, Ti Liu, and Donghui Shi -- Domestic financial liberalization and international financial integration: an Indian perspective / Suman Bery and Kanhaiya Singh -- Putting the cart before the horse? Capital account liberalization and exchange rate flexibility in China / Eswar Prasad, Thomas Rumbaugh, and Qing Wang -- Some apparent puzzles for contemporary monetary policy / Rakesh Mohan -- Fiscal policy in China / Steven Dunaway and Annalisa Fedelino -- Labor mobility in China and India: the role of hukou, caste, and community / Arvinder Singh -- Indian economic development and India-China cooperation / Nalin Surie -- India-China economic cooperation / Arvind Virmani. |
| Record Nr. | UNINA-9910810288803321 |
|
Prasad Eswar
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||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Emerging Market Sovereign Bond Spreads : : Estimation and Back-testing / / Fabio Comelli
| Emerging Market Sovereign Bond Spreads : : Estimation and Back-testing / / Fabio Comelli |
| Autore | Comelli Fabio |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (44 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
State bonds - Econometric models
Government securities - Econometric models Banks and Banking Finance: General Investments: Bonds International Finance Forecasting and Simulation Financial Forecasting and Simulation Interest Rates: Determination, Term Structure, and Effects General Financial Markets: General (includes Measurement and Data) Finance Investment & securities Yield curve Sovereign bonds Emerging and frontier financial markets Bond yields Securities markets Financial services Financial institutions Financial markets Interest rates Bonds Financial services industry Capital market |
| ISBN |
1-4755-1037-3
1-4755-1431-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Literature; III. The data; A. Emerging Market Sovereign Bond Spreads Data; B. Pull Factors Data; Political Risk Rating (PRR); Economic Risk Rating (ERR); Financial Risk Rating (FRR); C. Push Factors Data; IV. The Model; V. Regression Results; A. Baseline regression; B. Global Abundant Liquidity and Global Financial Crisis; Tables; Table 1. Sovereign Bond Spreads: Coefficient Estimates, All Emerging Market Economies; C. Regional Subgroups; D. How Do Fitted Bond Spreads Compare With Actual Bond Spreads?
Table 2. Sovereign Bond Spreads: Coefficient Estimates Across EM Regions.Figures; Panel 1. Actual and Fitted Sovereign Bond Spreads (basis points); Panel 2. Actual and Fitted Sovereign Bond Spreads: (basis points); E. Robustness Checks; Table 3. Sovereign Bond Spreads: Coefficient Estimates, Robustness Checks; Panel 3. Actual and Fitted Sovereign Bond Spreads (Basis points); F. Simulating an Improvement in Country-specific Variables on Bond Spreads; Table 4. Impact of one-standard deviation change on the model spread (Percent) Panel 4. Impact on the Model Spread Provoked by a One-standard Deviation ChangeVI. Back-testing the Model; A. Linear Prediction Method; B. Rolling Regression Method; Table 5. Probabilities that the linear prediction method correctly predicts (i) the; Table 6. Probabilities that the rolling regression (RR1) method correctly predicts; C. Comparing Competing Forecasts; Table 7. Measuring the accuracy of bond spread forecasts with the Diebold-Mariano; VII. Concluding Remarks; References; Appendixes; A. Tables; Appendix Tables Table A1. Probabilities that the rolling regression (RR2) method correctly predictsTable A2. Comparing rolling regression and linear prediction forecasts with the Diebold- Mariano test; Table A3. Mean Square Error, Mean Absolute Error and Theil's U Statistics for the rolling regression (RR1) method; Table A4. Mean Square Error, Mean Absolute Error and Theil's U Statistics for the rolling regression (RR2) method; B. Charts; Panel A1. Emerging Market Sovereign Bond Spreads: Actual, Fitted and Residuals; Panel A2: Emerging Markets Sovereign Bond Spread Tracker: January 1998 - December 2001 Panel A3: Emerging Markets Sovereign Bond Spread Tracker: January 2002 - December 2005Panel A4: Emerging Markets Sovereign Bond Spread Tracker: January 2006 - December 2009; Panel A5: Emerging Markets Sovereign Bond Spread Tracker: January 2010 - December 2011 |
| Record Nr. | UNINA-9910786480703321 |
|
Comelli Fabio
|
||
| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Emerging Market Sovereign Bond Spreads : : Estimation and Back-testing / / Fabio Comelli
| Emerging Market Sovereign Bond Spreads : : Estimation and Back-testing / / Fabio Comelli |
| Autore | Comelli Fabio |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2012 |
| Descrizione fisica | 1 online resource (44 p.) |
| Disciplina | 332.1/52 |
| Collana | IMF Working Papers |
| Soggetto topico |
State bonds - Econometric models
Government securities - Econometric models Banks and Banking Bond yields Bonds Capital market Emerging and frontier financial markets Finance Finance: General Financial Forecasting and Simulation Financial institutions Financial markets Financial services industry Financial services General Financial Markets: General (includes Measurement and Data) Interest rates Interest Rates: Determination, Term Structure, and Effects International Finance Forecasting and Simulation Investment & securities Investments: Bonds Securities markets Sovereign bonds Yield curve |
| ISBN |
1-4755-1037-3
1-4755-1431-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Contents; I. Introduction; II. Literature; III. The data; A. Emerging Market Sovereign Bond Spreads Data; B. Pull Factors Data; Political Risk Rating (PRR); Economic Risk Rating (ERR); Financial Risk Rating (FRR); C. Push Factors Data; IV. The Model; V. Regression Results; A. Baseline regression; B. Global Abundant Liquidity and Global Financial Crisis; Tables; Table 1. Sovereign Bond Spreads: Coefficient Estimates, All Emerging Market Economies; C. Regional Subgroups; D. How Do Fitted Bond Spreads Compare With Actual Bond Spreads?
Table 2. Sovereign Bond Spreads: Coefficient Estimates Across EM Regions.Figures; Panel 1. Actual and Fitted Sovereign Bond Spreads (basis points); Panel 2. Actual and Fitted Sovereign Bond Spreads: (basis points); E. Robustness Checks; Table 3. Sovereign Bond Spreads: Coefficient Estimates, Robustness Checks; Panel 3. Actual and Fitted Sovereign Bond Spreads (Basis points); F. Simulating an Improvement in Country-specific Variables on Bond Spreads; Table 4. Impact of one-standard deviation change on the model spread (Percent) Panel 4. Impact on the Model Spread Provoked by a One-standard Deviation ChangeVI. Back-testing the Model; A. Linear Prediction Method; B. Rolling Regression Method; Table 5. Probabilities that the linear prediction method correctly predicts (i) the; Table 6. Probabilities that the rolling regression (RR1) method correctly predicts; C. Comparing Competing Forecasts; Table 7. Measuring the accuracy of bond spread forecasts with the Diebold-Mariano; VII. Concluding Remarks; References; Appendixes; A. Tables; Appendix Tables Table A1. Probabilities that the rolling regression (RR2) method correctly predictsTable A2. Comparing rolling regression and linear prediction forecasts with the Diebold- Mariano test; Table A3. Mean Square Error, Mean Absolute Error and Theil's U Statistics for the rolling regression (RR1) method; Table A4. Mean Square Error, Mean Absolute Error and Theil's U Statistics for the rolling regression (RR2) method; B. Charts; Panel A1. Emerging Market Sovereign Bond Spreads: Actual, Fitted and Residuals; Panel A2: Emerging Markets Sovereign Bond Spread Tracker: January 1998 - December 2001 Panel A3: Emerging Markets Sovereign Bond Spread Tracker: January 2002 - December 2005Panel A4: Emerging Markets Sovereign Bond Spread Tracker: January 2006 - December 2009; Panel A5: Emerging Markets Sovereign Bond Spread Tracker: January 2010 - December 2011 |
| Record Nr. | UNINA-9910820534503321 |
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Comelli Fabio
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| Washington, D.C. : , : International Monetary Fund, , 2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
