Journal of the Royal Statistical Society. Series A (Statistics in Society), Vol. 182, No. 3 (2019), pp. 831-861 (31 pages) The paper develops a global vector auto-regressive model with time varying ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper presents a novel approach to detail the propagation of shocks to public debt. The modeling technique involves a ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...

The Basel Accords allow banks to estimate credit risk. Accordingly, more attention has been dedicated recently to the analysis of loss given default (LGD) and the development of an LGD estimation ...

This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...