Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices The Case Of France

Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices The Case Of France Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices The Case Of France book. This book definitely worth reading, it is an incredibly well-written.

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France

Ms.Piyabha Kongsamut,Mr.Christian Mumssen,Anne-Charlotte Paret,Mr.Thierry Tressel
Incorporating Macro Financial Linkages into Forecasts Using Financial Conditions Indices The Case of France Book PDF

Author : Ms.Piyabha Kongsamut,Mr.Christian Mumssen,Anne-Charlotte Paret,Mr.Thierry Tressel
Publisher : International Monetary Fund
Page : 36 pages
File Size : 48,9 Mb
Release : 2017-12-01
Category : Business & Economics
ISBN : 9781484330968

Get Book

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France by Ms.Piyabha Kongsamut,Mr.Christian Mumssen,Anne-Charlotte Paret,Mr.Thierry Tressel Pdf

How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific financial conditions indices (FCIs) that are tailored to movements in GDP, investment, private consumption and exports respectively. We rely on a VAR approach to estimate the weights of the financial components of each FCI, including equity market returns (which turn out having a relatively strong weight across all FCIs), private sector risk premiums, long-term interest rates, and banks’ credit standards. We find that the tailored FCIs are useful as leading indicators of GDP, investment, and exports, and as a contemporaneous indicator of private consumption. Credit volumes turn out to be lagging indicators of growth. The indices inform us on macro-financial linkages in France and are used to improve the accuracy of quarterly forecasting models and high-frequency “nowcast” models. We show that FCI-augmented models could have significantly improved forecasts during and after the global financial crisis.

Incorporating Macro-financial Linkages Into Forecasts Using Financial Conditions Indices

Piyabha Kongsamut
Incorporating Macro financial Linkages Into Forecasts Using Financial Conditions Indices Book PDF

Author : Piyabha Kongsamut
Publisher : Unknown
Page : 36 pages
File Size : 43,6 Mb
Release : 2017
Category : Electronic
ISBN : OCLC:1293335733

Get Book

Incorporating Macro-financial Linkages Into Forecasts Using Financial Conditions Indices by Piyabha Kongsamut Pdf

How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific financial conditions indices (FCIs) that are tailored to movements in GDP, investment, private consumption and exports respectively. We rely on a VAR approach to estimate the weights of the financial components of each FCI, including equity market returns (which turn out having a relatively strong weight across all FCIs), private sector risk premiums, long-term interest rates, and banks’ credit standards. We find that the tailored FCIs are useful as leading indicators of GDP, investment, and exports, and as a contemporaneous indicator of private consumption. Credit volumes turn out to be lagging indicators of growth. The indices inform us on macro-financial linkages in France and are used to improve the accuracy of quarterly forecasting models and high-frequency “nowcast” models. We show that FCI-augmented models ould have significantly improved forecasts during and after the global financial crisis.

France

International Monetary Fund. European Dept.
France Book PDF

Author : International Monetary Fund. European Dept.
Publisher : International Monetary Fund
Page : 64 pages
File Size : 55,6 Mb
Release : 2017-09-21
Category : Business & Economics
ISBN : 9781484320310

Get Book

France by International Monetary Fund. European Dept. Pdf

This 2017 Article IV Consultation highlights that the economic recovery is picking up in France, with real GDP growth projected to reach 1.6 percent in 2017 and 1.8 percent in 2018. Growth is primarily driven by buoyant corporate investment, a rebound in residential construction, and solid consumer demand. Net exports, by contrast, have been a drag on growth, and France’s external position is assessed to be weaker than implied by economic fundamentals. Private sector job creation has begun to accelerate moderately and the unemployment rate has begun to recede moderately from its 10 percent post-crisis mark. Medium-term prospects will critically depend on the implementation of the reform agenda.

Seychelles

International Monetary Fund. African Dept.
Seychelles Book PDF

Author : International Monetary Fund. African Dept.
Publisher : International Monetary Fund
Page : 34 pages
File Size : 48,9 Mb
Release : 2019-07-02
Category : Business & Economics
ISBN : 9781498323499

Get Book

Seychelles by International Monetary Fund. African Dept. Pdf

Selected Issues

Mauritius

International Monetary Fund. African Dept.
Mauritius Book PDF

Author : International Monetary Fund. African Dept.
Publisher : International Monetary Fund
Page : 41 pages
File Size : 51,6 Mb
Release : 2019-04-29
Category : Business & Economics
ISBN : 9781498312004

Get Book

Mauritius by International Monetary Fund. African Dept. Pdf

Selected Issue

Mauritius

International Monetary Fund. African Dept.
Mauritius Book PDF

Author : International Monetary Fund. African Dept.
Publisher : International Monetary Fund
Page : 41 pages
File Size : 51,6 Mb
Release : 2019-04-29
Category : Business & Economics
ISBN : 9781498311991

Get Book

Mauritius by International Monetary Fund. African Dept. Pdf

This Selected Issues paper develops a Financial Conditions Index (FCI) for Mauritius—an instrument to gauge the operational state of the financial sector and predict real economy activity. The evolution of Mauritius’ financial services sector has been supported by a vibrant offshore corporate sector. Given the strong macro-financial linkages, it is imperative to closely monitor domestic financial developments. Financial developments are broader than monetary developments depicting money supply and interest rates. The FCI is a robust predictor of real GDP growth in Mauritius. The FCI can also help inform macroprudential policy decisions. Decisions on setting the countercyclical capital buffer of Basel III could be informed by analyzing developments in the FCI. As historically Mauritius has not experienced drastic swings in financial credit, testing the constructed FCIs for predicting boom-bust episodes is difficult. Nevertheless, the FCI signaled lax financial conditions in 2009 and again in 2012 that likely contributed to accelerated credit growth in 2012–2013 and a subsequent acceleration in nonperforming loans during 2014–2016.

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 : 44,9 Mb
Release : 2018-06-13
Category : Business & Economics
ISBN : 9783319790756

Get Book

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.

Stress Testing at the IMF

Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Stress Testing at the IMF Book PDF

Author : Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher
Publisher : International Monetary Fund
Page : 73 pages
File Size : 53,9 Mb
Release : 2020-02-05
Category : Business & Economics
ISBN : 9781513520742

Get Book

Stress Testing at the IMF by Mr.Tobias Adrian,Mr.James Morsink,MissLiliana B Schumacher Pdf

This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.

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 : 41,9 Mb
Release : 2019-02-21
Category : Business & Economics
ISBN : 9781484397015

Get Book

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.

A Small Quarterly Multi-country Projection Model with Financial-real Linkages and Oil Prices

Anonim
A Small Quarterly Multi country Projection Model with Financial real Linkages and Oil Prices Book PDF

Author : Anonim
Publisher : Unknown
Page : 76 pages
File Size : 49,5 Mb
Release : 2008
Category : Economic forecasting
ISBN : IND:30000087928127

Get Book

A Small Quarterly Multi-country Projection Model with Financial-real Linkages and Oil Prices by Anonim Pdf

This is the third of a series of papers that are being written as part of a larger project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit for studying both own-country and cross-country linkages. In this paper, we estimate a small quarterly projection model of the US, Euro Area, and Japanese economies that incorporates oil prices and allows us to trace out the effects of shocks to oil prices. The model is estimated with Bayesian techniques. We show how the model can be used to construct efficient baseline forecasts that incorporate judgment imposed on the near-term outlook.

Macroprudential Solvency Stress Testing of the Insurance Sector

Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Macroprudential Solvency Stress Testing of the Insurance Sector Book PDF

Author : Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit
Publisher : International Monetary Fund
Page : 84 pages
File Size : 40,6 Mb
Release : 2014-07-22
Category : Business & Economics
ISBN : 9781498324557

Get Book

Macroprudential Solvency Stress Testing of the Insurance Sector by Mr.Andreas A. Jobst,Nobuyasu Sugimoto,Timo Broszeit Pdf

Over the last decade, stress testing has become a central aspect of the Fund’s bilateral and multilateral surveillance work. Recently, more emphasis has also been placed on the role of insurance for financial stability analysis. This paper reviews the current state of system-wide solvency stress tests for insurance based on a comparative review of national practices and the experiences from Fund’s FSAP program with the aim of providing practical guidelines for the coherent and consistent implementation of such exercises. The paper also offers recommendations on improving the current insurance stress testing approaches and presentation of results.

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 : 44,7 Mb
Release : 2012-04-18
Category : Business & Economics
ISBN : 9781616352479

Get Book

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.

Use of Macro Accounts in Policy Analysis

United Nations. Statistical Division
Use of Macro Accounts in Policy Analysis Book PDF

Author : United Nations. Statistical Division
Publisher : United Nations Publications
Page : 350 pages
File Size : 52,6 Mb
Release : 2002
Category : Business & Economics
ISBN : UOM:39015051813221

Get Book

Use of Macro Accounts in Policy Analysis by United Nations. Statistical Division Pdf

This publication is based on the 1993 Standard National Accounts (SNA) system and provides guidance on the role of macro accounting as an instrument of policy analysis rather than a data set. It considers the interaction of three themes: the scope of macro accounting, the compilation of macro accounts, and scope of analysis, both in terms of indicator and modelling analysis.

Macroprudential Policy - An Organizing Framework - Background Paper

International Monetary Fund. Monetary and Capital Markets Department
Macroprudential Policy An Organizing Framework Background Paper Book PDF

Author : International Monetary Fund. Monetary and Capital Markets Department
Publisher : International Monetary Fund
Page : 33 pages
File Size : 40,5 Mb
Release : 2011-03-14
Category : Business & Economics
ISBN : 9781498339179

Get Book

Macroprudential Policy - An Organizing Framework - Background Paper by International Monetary Fund. Monetary and Capital Markets Department Pdf

MCM conducted a survey in December 2010 to take stock of international experiences with financial stability and the evolving macroprudential policy framework. The survey was designed to seek information in three broad areas: the institutional setup for macroprudential policy, the analytical approach to systemic risk monitoring, and the macroprudential policy toolkit. The survey was sent to 63 countries and the European Central Bank (ECB), including all countries in the G-20 and those subject to mandatory Financial Sector Assessment Programs (FSAPs). The target list is designed to cover a broad range of jurisdictions in all regions, but more weight is given to economies that are systemically important (see Annex for details). The response rate is 80 percent. This note provides a summary of the survey’s main findings.

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto
Macroprudential Stress Tests and Policies Searching for Robust and Implementable Frameworks Book PDF

Author : Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto
Publisher : International Monetary Fund
Page : 79 pages
File Size : 45,7 Mb
Release : 2018-09-11
Category : Business & Economics
ISBN : 9781484376386

Get Book

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks by Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto Pdf

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.