IMF Publications by Subject
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Vector autoregression:
2017
Title: Variance Decomposition Networks: Potential Pitfalls and a Simple Solution
Series: Working Paper No. 2017/107
Date: May 4, 2017
Subject: Banking Commercial banks Econometric analysis Financial institutions Financial sector policy and analysis Insurance Insurance companies Systemic risk Vector autoregression
2016
Title: Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections: An Application to Ecuador
Series: Working Paper No. 2016/236
Date: December 7, 2016
Subject: Banking Credit Econometric analysis Financial crises Financial institutions Global financial crisis of 2008-2009 Money Nonperforming loans Oil prices Prices Vector autoregression
Title: Spatial Dependence and Data-Driven Networks of International Banks
Series: Working Paper No. 2016/184
Date: September 15, 2016
Subject: Banking Commercial banks Econometric analysis Financial institutions Financial markets Foreign banks International banking Spatial models Stock markets Vector autoregression
Title: Measuring Concentration Risk - A Partial Portfolio Approach
Series: Working Paper No. 2016/158
Date: August 2, 2016
Subject: Asset and liability management Asset valuation Banking Basel II Credit Credit risk Econometric analysis Financial regulation and supervision Money Vector autoregression
Title: 6½ Decades of Global Trade and Income: “New Normal” or “Back to Normal” after GTC and GFC?
Series: Working Paper No. 2016/139
Date: July 12, 2016
Subject: Econometric analysis Export performance Exports International trade National accounts Personal income Structural vector autoregression Vector autoregression
Title: Monetary and Fiscal Policies and the Dynamics of the Yield Curve in Morocco
Series: Working Paper No. 2016/103
Date: May 23, 2016
Subject: Central bank policy rate Econometric analysis Financial services Inflation Inflation targeting Monetary policy Prices Vector autoregression Yield curve
Title: VAR meets DSGE: Uncovering the Monetary Transmission Mechanism in Low-Income Countries
Series: Working Paper No. 2016/090
Date: April 11, 2016
Subject: Dynamic stochastic general equilibrium models Econometric analysis Economic theory Environment Structural vector autoregression Supply shocks Vector autoregression
Title: China's Slowdown and Global Financial Market Volatility: Is World Growth Losing Out?
Series: Working Paper No. 2016/063
Date: March 15, 2016
Subject: Econometric analysis Financial sector policy and analysis Financial services Financial soundness indicators International trade Long term interest rates Oil prices Plurilateral trade Prices Vector autoregression
2015
Title: The U.S. Oil Supply Revolution and the Global Economy
Series: Working Paper No. 2015/259
Date: December 10, 2015
Subject: Commodities Econometric analysis Oil Oil prices Oil production Oil, gas and mining taxes Prices Production Taxes Vector autoregression
Title: Forecasting the Nominal Brent Oil Price with VARs—One Model Fits All?
Series: Working Paper No. 2015/251
Date: November 25, 2015
Subject: Commodities Econometric analysis Economic forecasting Financial institutions Futures Oil Oil prices Prices Vector autoregression