An Extended Quarterly Projection Model Credit Cycle Macrofinancial Linkages And Macroprudential Measures The Case Of The Philippines

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An Extended Quarterly Projection Model: Credit Cycle, Macrofinancial Linkages and Macroprudential Measures: The Case of the Philippines

Mr. Philippe D Karam,Mikhail Pranovich,Mr. Jan Vlcek
An Extended Quarterly Projection Model Credit Cycle Macrofinancial Linkages and Macroprudential Measures The Case of the Philippines Book PDF

Author : Mr. Philippe D Karam,Mikhail Pranovich,Mr. Jan Vlcek
Publisher : International Monetary Fund
Page : 45 pages
File Size : 41,6 Mb
Release : 2021-10-22
Category : Business & Economics
ISBN : 9781589068711

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An Extended Quarterly Projection Model: Credit Cycle, Macrofinancial Linkages and Macroprudential Measures: The Case of the Philippines by Mr. Philippe D Karam,Mikhail Pranovich,Mr. Jan Vlcek Pdf

We extend a modern practical Quarterly Projection Model to study credit cycle dynamics and risks, focusing on macrofinancial linkages and the role of macroprudential policy in achieving economic and financial stability. We tailor the model to the Philippines and evaluate the model’s properties along several dimensions. The model produces plausible dynamics and sensible forecasts. This along with its simplicity makes it useful for policy analysis. In particular, it should help policymakers understand the quantitative implications of responding to changes in domestic financial conditions, along with other shocks, through the joint use of macroprudential and monetary policies.

An Extended Quarterly Projection Model for the Central Bank of Jordan

Adel Al-Sharkas,Nedal Al-Azzam,Sarah AlTalafha,Rasha Abu Shawish,Ahmad Shalein,Auday Rawwaqah,Amany Al-Rawashdeh,Daniel Baksa,Mr. Philippe D Karam,Mr. Jan Vlcek
An Extended Quarterly Projection Model for the Central Bank of Jordan Book PDF

Author : Adel Al-Sharkas,Nedal Al-Azzam,Sarah AlTalafha,Rasha Abu Shawish,Ahmad Shalein,Auday Rawwaqah,Amany Al-Rawashdeh,Daniel Baksa,Mr. Philippe D Karam,Mr. Jan Vlcek
Publisher : International Monetary Fund
Page : 84 pages
File Size : 41,8 Mb
Release : 2023-08-25
Category : Business & Economics
ISBN : 9798400252716

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An Extended Quarterly Projection Model for the Central Bank of Jordan by Adel Al-Sharkas,Nedal Al-Azzam,Sarah AlTalafha,Rasha Abu Shawish,Ahmad Shalein,Auday Rawwaqah,Amany Al-Rawashdeh,Daniel Baksa,Mr. Philippe D Karam,Mr. Jan Vlcek Pdf

The Central Bank of Jordan (CBJ) has developed a Forecasting and Policy Analysis System (FPAS) to serve as a reliable analytical framework for macroeconomic analysis, forecasting and decision-making under a pegged exchange rate regime. At the heart of the FPAS is the CBJ’s extended Jordan Analysis Model (JAM2.0). The model captures the monetary transmission mechanism and provides a consistent monetary policy framework that uses the exchange rate as an effective nominal anchor. This paper outlines the structure and properties of JAM2.0 and emphasizes the enhanced interplay and tradeoffs among monetary, fiscal, and foreign exchange management policies. Simulation and forecasting exercises demonstrate JAM2.0’s ability to match key stylized facts of the Jordanian economy, produce accurate forecasts of important macroeconomic variables, and explain the critical relationships among policies.

Quarterly Projection Model for the Bank of Ghana

Philip Abradu-Otoo,Ivy Acquaye,Abubakar Addy,Nana Kwame Akosah,James Attuquaye,Simon Harvey,Shalva Mkhatrishvili,Zakari Mumuni,Valeriu Nalban
Quarterly Projection Model for the Bank of Ghana Book PDF

Author : Philip Abradu-Otoo,Ivy Acquaye,Abubakar Addy,Nana Kwame Akosah,James Attuquaye,Simon Harvey,Shalva Mkhatrishvili,Zakari Mumuni,Valeriu Nalban
Publisher : International Monetary Fund
Page : 39 pages
File Size : 54,5 Mb
Release : 2022-09-02
Category : Business & Economics
ISBN : 9798400218187

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Quarterly Projection Model for the Bank of Ghana by Philip Abradu-Otoo,Ivy Acquaye,Abubakar Addy,Nana Kwame Akosah,James Attuquaye,Simon Harvey,Shalva Mkhatrishvili,Zakari Mumuni,Valeriu Nalban Pdf

The paper describes the Quarterly Projection Model (QPM) that underlies the Bank of Ghana Forecasting and Policy Analysis System (FPAS). The New Keynesian semi-structural model incorporates the main features of the Ghanaian economy, transmission channels and policy framework, including an inflation targeting central bank and aggregate demand effects of fiscal policy. The shock propagation mechanisms embedded in the calibrated QPM demonstrate its theoretical consistency, while out-of-sample forecasting accuracy validates its empirical robustness. Another important part of the QPM is endogenous policy credibility, which may aggravate policy trade-offs in the model and make it more realistic for developing economies. Historical track record of real time policy analysis and medium-term forecasting conducted with the QPM – as a component of the broader FPAS analytical organization – establishes its critical role in supporting the Bank’s forward-looking monetary policy framework.

Evaluating the Net Benefits of Macroprudential Policy

Mr.Nicolas Arregui,Mr.Jaromir Benes,Mr.Ivo Krznar,Ms.Srobona Mitra,Mr.Andre Santos
Evaluating the Net Benefits of Macroprudential Policy Book PDF

Author : Mr.Nicolas Arregui,Mr.Jaromir Benes,Mr.Ivo Krznar,Ms.Srobona Mitra,Mr.Andre Santos
Publisher : International Monetary Fund
Page : 73 pages
File Size : 44,9 Mb
Release : 2013-07-17
Category : Business & Economics
ISBN : 9781484335727

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Evaluating the Net Benefits of Macroprudential Policy by Mr.Nicolas Arregui,Mr.Jaromir Benes,Mr.Ivo Krznar,Ms.Srobona Mitra,Mr.Andre Santos Pdf

The paper proposes a simple, new, analytical framework for assessing the cost and benefits of macroprudential policies. It proposes a measure of net benefits in terms of parameters that can be estimated: the probability of crisis, the loss in output given crisis, policy effectiveness in bringing down both the probability and damage during crisis, and the output-cost of a policy decision. It discusses three types of policy leakages and identifies instruments that could best minimize the leakages. Some rules of thumb for policymakers are provided.

Monetary and Macroprudential Policy with Endogenous Risk

Tobias Adrian,Fernando Duarte (Financial economist),Jean Nellie Liang,Pawel Zabczyk
Monetary and Macroprudential Policy with Endogenous Risk Book PDF

Author : Tobias Adrian,Fernando Duarte (Financial economist),Jean Nellie Liang,Pawel Zabczyk
Publisher : Unknown
Page : 33 pages
File Size : 53,6 Mb
Release : 2020
Category : Financial risk management
ISBN : OCLC:1141780623

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Monetary and Macroprudential Policy with Endogenous Risk by Tobias Adrian,Fernando Duarte (Financial economist),Jean Nellie Liang,Pawel Zabczyk Pdf

We extend the New Keynesian (NK) model to include endogenous risk. Lower interest rates not only shift consumption intertemporally but also conditional output risk via the impact on risk-taking, giving rise to a vulnerability channel of monetary policy. The model fits the conditional output gap distribution and can account for medium-term increases in downside risks when financial conditions are loose. The policy prescriptions are very different from those in the standard NK model: monetary policy that focuses purely on inflation and output-gap stabilization can lead to instability. Macroprudential measures can mitigate the intertemporal risk-return tradeoff created by the vulnerability channel.

Global Financial Stability Report, April 2012

International Monetary Fund. Monetary and Capital Markets Department
Global Financial Stability Report April 2012 Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 94 pages
File Size : 41,8 Mb
Release : 2012-04-18
Category : Business & Economics
ISBN : 9781616352479

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Global Financial Stability Report, April 2012 by International Monetary Fund. Monetary and Capital Markets Department Pdf

The April 2012 Global Financial Stability Report assesses changes in risks to financial stability over the past six months, focusing on sovereign vulnerabilities, risks stemming from private sector deleveraging, and assessing the continued resilience of emerging markets. The report probes the implications of recent reforms in the financial system for market perception of safe assets, and investigates the growing public and private costs of increased longevity risk from aging populations.

International Macroeconomics in the Wake of the Global Financial Crisis

Laurent Ferrara,Ignacio Hernando,Daniela Marconi
International Macroeconomics in the Wake of the Global Financial Crisis Book PDF

Author : Laurent Ferrara,Ignacio Hernando,Daniela Marconi
Publisher : Springer
Page : 298 pages
File Size : 42,5 Mb
Release : 2018-06-13
Category : Business & Economics
ISBN : 9783319790756

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International Macroeconomics in the Wake of the Global Financial Crisis by Laurent Ferrara,Ignacio Hernando,Daniela Marconi Pdf

This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.

Structural Quarterly Projection Model for Belarus

Karel Musil,Mikhail Pranovich,Mr.Jan Vlcek
Structural Quarterly Projection Model for Belarus Book PDF

Author : Karel Musil,Mikhail Pranovich,Mr.Jan Vlcek
Publisher : International Monetary Fund
Page : 41 pages
File Size : 41,7 Mb
Release : 2018-12-07
Category : Business & Economics
ISBN : 9781484389270

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Structural Quarterly Projection Model for Belarus by Karel Musil,Mikhail Pranovich,Mr.Jan Vlcek Pdf

Belarusian authorities contemplate transiting to inflation targeting. The paper suggests a small structural model at the core of the forecasting and policy analysis system. A well-researched canonical structure of Berg, A., Karam, P. and D. Laxton (2006) is extended to capture specifics of Belarusian economy and macroeconomic policy. The modified model’s policy block reflects a monetary targeting regime and allows for transition from it to an interest-rate-based framework. Adding wages, directed lending and dollarization allow for studying implications of activist wage policy, state program lending, and dollarization for macroeconomic stability and the strength of the policy transmission mechanism.

The ASEAN Way

Ms.Ana Corbacho,Mr.Shanaka J Peiris
The ASEAN Way Book PDF

Author : Ms.Ana Corbacho,Mr.Shanaka J Peiris
Publisher : International Monetary Fund
Page : 311 pages
File Size : 40,9 Mb
Release : 2018-10-02
Category : Business & Economics
ISBN : 9781513558905

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The ASEAN Way by Ms.Ana Corbacho,Mr.Shanaka J Peiris Pdf

The first part of the book examines the evolution of monetary policy and prudential frameworks of the ASEAN5, with particular focus on changes since the Asian financial crisis and the more recent period of unconventional monetary policy in advanced economies. The second part of the book looks at policy responses to global financial spillovers. The third and last part of the book elaborates on the challenges ahead for monetary policy, financial stability frameworks, and the deepening of financial markets.

From Banking to Sovereign Stress - Implications For Public Debt

International Monetary Fund
From Banking to Sovereign Stress Implications For Public Debt Book PDF

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 88 pages
File Size : 40,8 Mb
Release : 2014-12-22
Category : Business & Economics
ISBN : 9781498342438

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From Banking to Sovereign Stress - Implications For Public Debt by International Monetary Fund Pdf

This paper explores how banking sector developments and characteristics influence the propagation of risks from the banking sector to sovereign debt, including how they affect the extent of fiscal costs of banking crises when those occur. It then proposes practices and policies for the fiscal authorities to help manage the risks and enhance crisis preparedness.

Growth at Risk: Concept and Application in IMF Country Surveillance

Mr.Ananthakrishnan Prasad,Selim Elekdag,Mr.Phakawa Jeasakul,Romain Lafarguette,Mr.Adrian Alter,Alan Xiaochen Feng,Changchun Wang
Growth at Risk Concept and Application in IMF Country Surveillance Book PDF

Author : Mr.Ananthakrishnan Prasad,Selim Elekdag,Mr.Phakawa Jeasakul,Romain Lafarguette,Mr.Adrian Alter,Alan Xiaochen Feng,Changchun Wang
Publisher : International Monetary Fund
Page : 39 pages
File Size : 43,7 Mb
Release : 2019-02-21
Category : Business & Economics
ISBN : 9781484397015

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Growth at Risk: Concept and Application in IMF Country Surveillance by Mr.Ananthakrishnan Prasad,Selim Elekdag,Mr.Phakawa Jeasakul,Romain Lafarguette,Mr.Adrian Alter,Alan Xiaochen Feng,Changchun Wang Pdf

The growth-at-risk (GaR) framework links current macrofinancial conditions to the distribution of future growth. Its main strength is its ability to assess the entire distribution of future GDP growth (in contrast to point forecasts), quantify macrofinancial risks in terms of growth, and monitor the evolution of risks to economic activity over time. By using GaR analysis, policymakers can quantify the likelihood of risk scenarios, which would serve as a basis for preemptive action. This paper offers practical guidance on how to conduct GaR analysis and draws lessons from country case studies. It also discusses an Excel-based GaR tool developed to support the IMF’s bilateral surveillance efforts.

Singapore

International Monetary Fund. Monetary and Capital Markets Department
Singapore Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 65 pages
File Size : 54,9 Mb
Release : 2019-07-15
Category : Business & Economics
ISBN : 9781498325806

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Singapore by International Monetary Fund. Monetary and Capital Markets Department Pdf

This Financial System Stability Assessment paper on Singapore highlights the attractiveness of Singapore as a financial center is underpinned by strong economic fundamentals, sound economic policies, and a sophisticated financial oversight framework. The financial system is exposed to global and regional macrofinancial shocks through significant trade and financial channels but appears resilient even under adverse scenarios. However, banks’ US dollar liquidity is vulnerable to stress conditions. Fintech developments so far have focused on partnerships with existing financial institutions and do not appear to contribute significantly to systemic risk. Singapore authorities should continue to enhance its strong oversight of the financial system. Strengthening the framework for resolution and safety nets, namely by devoting more resources to the Monetary Authority of Singapore (MAS)’ Resolution Unit; and enhancing the oversight of MAS Electronic Payments System by ensuring more staffing resources are two other important areas for action.

World Economic Outlook, October 2013

International Monetary Fund. Research Dept.
World Economic Outlook October 2013 Book PDF

Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
Page : 657 pages
File Size : 41,7 Mb
Release : 2013-10-08
Category : Business & Economics
ISBN : 9781484348833

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World Economic Outlook, October 2013 by International Monetary Fund. Research Dept. Pdf

Global growth is in low gear, and the drivers of activity are changing. These dynamics raise new policy challenges. Advanced economies are growing again but must continue financial sector repair, pursue fiscal consolidation, and spur job growth. Emerging market economies face the dual challenges of slowing growth and tighter global financial conditions. This issue of the World Economic Outlook examines the potential spillovers from these transitions and the appropriate policy responses. Chapter 3 explores how output comovements are influenced by policy and financial shocks, growth surprises, and other linkages. Chapter 4 assesses why certain emerging market economies were able to avoid the classical boom-and-bust cycle in the face of volatile capital flows during the global financial crisis.

Republic of Korea

International Monetary Fund. Monetary and Capital Markets Department
Republic of Korea Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 65 pages
File Size : 51,5 Mb
Release : 2020-04-20
Category : Business & Economics
ISBN : 9781513541433

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Republic of Korea by International Monetary Fund. Monetary and Capital Markets Department Pdf

This paper presents Financial System Stability Assessment (FSSA) with the Republic of Korea. The Korean authorities have continued their efforts at upgrading the prudential, legal, and supervisory framework for the financial sector, and keeping up with international standards and practices in other G20 jurisdictions. The authorities have been strengthening the system with micro and macroprudential measures against vulnerabilities, strengthening the crisis management framework, and upgrading the prudential and legal framework. The FSSA suggests moving toward a more forward-looking monitoring and systemic risk identification mechanism. The reliability of various stress tests could be augmented with advanced methods, system-wide monitoring, and testing the overall leverage related to residential properties, households’ resilience to adverse shocks, and sovereign contingent liabilities. Stronger focus is required on systemic risks emanating from securities market activities that can amplify contagion, including sudden redemption and liquidity pressures in the funds and asset management industry.

Global Financial Stability Report, April 2015

International Monetary Fund. Monetary and Capital Markets Department
Global Financial Stability Report April 2015 Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : INTERNATIONAL MONETARY FUND
Page : 0 pages
File Size : 49,6 Mb
Release : 2015-04-15
Category : Business & Economics
ISBN : 1498372937

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Global Financial Stability Report, April 2015 by International Monetary Fund. Monetary and Capital Markets Department Pdf

The current report finds that, despite an improvement in economic prospects in some key advanced economies, new challenges to global financial stability have arisen. The global financial system is being buffeted by a series of changes, including lower oil prices and, in some cases, diverging growth patterns and monetary policies. Expectations for rising U.S. policy rates sparked a significant appreciation of the U.S. dollar, while long term bond yields in many advanced economies have decreased—and have turned negative for almost a third of euro area sovereign bonds—on disinflation concerns and the prospect of continued monetary accommodation. Emerging markets are caught in these global cross currents, with some oil exporters and other facing new stability challenges, while others have gained more policy space as a result of lower fuel prices and reduced inflationary pressures. The report also examines changes in international banking since the global financial crisis and finds that these changes are likely to promote more stable bank lending in host countries. Finally, the report finds that the asset management industry needs to strengthen its oversight framework to address financial stability risks from incentive problems between end-investors and portfolio managers and the risk of runs due to liquidity mismatches.