Author: Lahcen Bounader
Publisher: International Monetary Fund
ISBN:
Category :
Languages : en
Pages : 53
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Book Description
We develop a model with diagnostic expectations (DE) and a financial accelerator (FA) that generates mutually reinforcing shock amplification, especially in the case of demand shocks. However, supply shocks can be dampened via a debt deflation channel, which is strengthened amid DE. Importantly, the model results in a worsening of the inflation-output volatility trade-off confronting policymakers. In contrast to most of the literature—which argues against targeting the level of asset prices—our financial accelerator model with DE suggests that targeting house price growth may result in welfare gains.
Author: Shafik Hebous
Publisher: International Monetary Fund
ISBN: 1513578146
Category : Business & Economics
Languages : en
Pages : 33
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Book Description
We study the effects of federal purchases on firms’ investment using a novel panel dataset that combines federal procurement contracts in the United States with key financial firm-level information. We find that 1 dollar of federal spending increases firms’ capital investment by 7 to 11 cents. The average effect masks heterogeneity: Effects are stronger for firms that face financing constraints and they are close to 0 for unconstrained firms. In line with the financial accelerator model, our findings indicate that the effect of government purchases works through easing firms’ access to external borrowing. Furthermore, industry-level analysis suggests that that the increase in investment at the firm level translates into an industry-wide effect without crowding-out capital investment of other firms in the same industry.
Author: Mr.Stijn Claessens
Publisher: International Monetary Fund
ISBN: 1475561008
Category : Business & Economics
Languages : en
Pages : 66
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Book Description
This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlight the importance of sharp fluctuations in asset and credit markets, the paper briefly reviews theoretical and empirical studies on developments in these markets around financial crises. Second, what are the major types of financial crises? The paper focuses on the main theoretical and empirical explanations of four types of financial crises—currency crises, sudden stops, debt crises, and banking crises—and presents a survey of the literature that attempts to identify these episodes. Third, what are the real and financial sector implications of crises? The paper briefly reviews the short- and medium-run implications of crises for the real economy and financial sector. It concludes with a summary of the main lessons from the literature and future research directions.
Author: Graham Elliott
Publisher: Elsevier
ISBN: 0444627405
Category : Business & Economics
Languages : en
Pages : 667
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Book Description
The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. - Focuses on innovation in economic forecasting via industry applications - Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications - Makes details about economic forecasting accessible to scholars in fields outside economics
Author: Mr.Luis Brandao-Marques
Publisher: International Monetary Fund
ISBN: 151351377X
Category : Business & Economics
Languages : en
Pages : 39
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Book Description
We explore empirically how the time-varying allocation of credit across firms with heterogeneous credit quality matters for financial stability outcomes. Using firm-level data for 55 countries over 1991-2016, we show that the riskiness of credit allocation, captured by Greenwood and Hanson (2013)’s ISS indicator, helps predict downside risks to GDP growth and systemic banking crises, two to three years ahead. Our analysis indicates that the riskiness of credit allocation is both a measure of corporate vulnerability and of investor sentiment. Economic forecasters wrongly predict a positive association between the riskiness of credit allocation and future growth, suggesting a flawed expectations process.
Author:
Publisher:
ISBN:
Category : United States
Languages : en
Pages : 160
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Book Description
Author: International Monetary Fund. Monetary and Capital Markets Department
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 35
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Book Description
This technical assistance project on macroprudential policy and modeling, which took place in August 2012, provided advice to the Costa Rican authorities on improving the institutional arrangements for conducting macroprudential policy, while also assessing the preconditions for dynamic loan-loss provisioning and improving the central bank’s macroeconomic projection model. Based on its analyses, the mission team specifically recommended establishing a financial stability unit in the central bank to strengthen systemic risk analysis, strengthening the coordination between supervisory agencies, enhancing the central bank’s quarterly macroeconomic projection model by integrating financial sector frictions and other elements, taking specific measures to enhance financial sector regulation, adopting a dynamic loan-loss provisioning to offset rising provisioning cost during economic downturns, and implementing specific macroprudential tools and policies to address financial system risks.
Author: Tomas Cipra
Publisher: Springer Science & Business Media
ISBN: 379082593X
Category : Business & Economics
Languages : en
Pages : 413
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Book Description
Financial and insurance calculations become more and more frequent and helpful for many users not only in their profession life but sometimes even in their personal life. Therefore a survey of formulas of ?nancial and insurance mathematics that can be applied to such calculations seems to be a suitable aid. In some cases one should use instead of the term formula more suitable terms of the type method, p- cedure or algorithm since the corresponding calculations cannot be simply summed up to a single expression, and a verbal description without introducing complicated symbols is more appropriate. The survey has the following ambitions: • The formulas should be applicable in practice: it has motivated their choice for this survey ?rst and foremost. On the other hand it is obvious that by time one puts to use in practice seemingly very abstract formulas of higher mathematics, e.g. when pricing ?nancial derivatives, evaluating ?nancial risks, applying accou- ing principles based on fair values, choosing alternative risk transfers ARL in insurance, and the like. • The formulas should be error-free (though such a goal is not achievable in full) since in the ?nancial and insurance framework one publishes sometimes in a h- tic way various untried formulas and methods that may be incorrect. Of course, the formulas are introduced here without proofs because their derivation is not the task of this survey.
Author: Pierre-Richard Agenor
Publisher: MIT Press
ISBN: 0262359421
Category : Business & Economics
Languages : en
Pages : 601
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Book Description
An integrated analysis of how financial frictions can be accounted for in macroeconomic models built to study monetary policy and macroprudential regulation. Since the global financial crisis, there has been a renewed effort to emphasize financial frictions in designing closed- and open-economy macroeconomic models for monetary and macroprudential policy analysis. Drawing on the extensive literature of the past decade as well as his own contributions, in this book Pierre-Richard Age&́nor provides a unified set of theoretical and quantitative macroeconomic models with financial frictions to explore issues that have emerged in the wake of the crisis. These include the need to understand better how the financial system amplifies and propagates shocks originating elsewhere in the economy; how it can itself be a source of aggregate fluctuations; the extent to which central banks should account for financial stability considerations in the conduct of monetary policy; whether national central banks and regulators should coordinate their policies to promote macroeconomic and financial stability; and how much countercyclical macroprudential policies should be coordinated at the international level to mitigate financial spillovers across countries.
Author: Mikidadu Mohammed
Publisher: Routledge
ISBN: 1000485188
Category : Business & Economics
Languages : en
Pages : 226
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Book Description
The behaviour of commodity prices never ceases to marvel economists, financial analysts, industry experts, and policymakers. Unexpected swings in commodity prices used to occur infrequently but have now become a permanent feature of global commodity markets. This book is about modelling commodity price shocks. It is intended to provide insights into the theoretical, conceptual, and empirical modelling of the underlying causes of global commodity price shocks. Three main objectives motivated the writing of this book. First, to provide a variety of modelling frameworks for documenting the frequency and intensity of commodity price shocks. Second, to evaluate existing approaches used for forecasting large movements in future commodity prices. Third, to cover a wide range and aspects of global commodities including currencies, rare–hard–lustrous transition metals, agricultural commodities, energy, and health pandemics. Some attempts have already been made towards modelling commodity price shocks. However, most tend to narrowly focus on a subset of commodity markets, i.e., agricultural commodities market and/or the energy market. In this book, the author moves the needle forward by operationalizing different models, which allow researchers to identify the underlying causes and effects of commodity price shocks. Readers also learn about different commodity price forecasting models. The author presents the topics to readers assuming less prior or specialist knowledge. Thus, the book is accessible to industry analysts, researchers, undergraduate and graduate students in economics and financial economics, academic and professional economists, investors, and financial professionals working in different sectors of the commodity markets. Another advantage of the book’s approach is that readers are not only exposed to several innovative modelling techniques to add to their modelling toolbox but are also exposed to diverse empirical applications of the techniques presented.
