Dynamic models and their applications in emerging markets:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Basingstoke [u.a.]
Palgrave Macmillan
2005
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Centre for the Study of Emerging Markets series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references |
| Beschreibung: | XI, 139 S. |
| ISBN: | 1403991529 9781403991522 |
Internformat
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| 245 | 1 | 0 | |a Dynamic models and their applications in emerging markets |c edited by Sima Montamen-Samadian |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2005 | |
| 300 | |a XI, 139 S. | ||
| 336 | |b txt |2 rdacontent | ||
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| 490 | 0 | |a Centre for the Study of Emerging Markets series | |
| 500 | |a Includes bibliographical references | ||
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| 650 | 4 | |a Finance |z Developing countries |x Econometric models | |
| 650 | 4 | |a Credit |z Developing countries |x Econometric models | |
| 650 | 4 | |a Investments |z Developing countries |x Econometric models | |
| 650 | 4 | |a Risk management |z Developing countries | |
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Datensatz im Suchindex
| _version_ | 1804133620554661888 |
|---|---|
| adam_text | Contents
List of Figures vi
List of Tables vii
Preface ix
Acknowledgements x
Notes on the Contributors xi
1 Introduction 1
Sima Motamen Samadian
2 Continuous Time Dynamic Modelling of
Interest Rates in Emerging Markets 5
Khalid B. Nowman and Kadom J. A. Shubber
3 Excess Credit Risk and Banks Default Risk:
An Application of Default Prediction
Models to Banks in Emerging Market Economies 13
Christophe J. Godlewski
4 Modelling Long Memory and Risk Premia in
Latin American Sovereign Bond Markets 41
Alfonso Mendoza V.
5 Econometric Modelling of the Euro Using Two Factor
Continuous Time Dynamic Interest Rate Models 69
Khalid B. Nowman and Harry Thapar
6 Inflation Targeting in Emerging Economies:
A Comparative Sacrifice Ratio Analysis 77
Rebeca I. Munoz Torres
7 External Debt Dynamics and Growth:
A Neo Keynesian Perspective 109
Edgardo fovero
Index 133
v
List of Figures
4.1 EMBI spreads, 31 December 1990 30 June 2002 43
4.2 EMBI spread changes to 10 July 2002 44
4.3 Autocorrelation of st and s, from high to low: EMBI
daily log difference, 31 December 1990 10 July 2002 45
4.4 Cross correlogram EMBI Mexico versus
Brazil for lstl and s, 46
5.1 Euro 1 month interbank rate 73
5.2 Euro 12 month interbank rate 73
6.1 Inflation rate and industrial production in
IT emerging countries 86
6.2 Inflation rate and industrial production
in non IT emerging countries 87
6.3 Initial inflation versus sacrifice ratio 90
6.4 Inflation forecasts in IT countries 96
7.1a The state space boundaries of the dynamical model 123
7.1b Region of the state space where Det = TM 123
7.1c The bifurcation boundary of the state space 123
7.2a Estimation 23 Nov. 2003, for A = 1 and Q = 0.1 125
7.2b Estimation 23 Nov. 2003, for A = 1 and Q = 0.5 125
7.2c Estimation 23 Nov. 2003, for A = 1 and Q = 1 125
7.2d Estimation 23 Nov. 2003, for A = 1 and Q = 5 125
7.2e Estimation 23 Nov. 2003, for A = 1 and Q = 10 125
7.3a s d plot for Q= 0.1 126
7.3b s d plot for Q = 0.5 126
7.3c s d plot for Q = 1 126
7.3d s d plot for Q = 5 126
7.3e s d plot for Q = 10 126
7.4 s d plot for different values of Q = 0.1, 0.5, 1, 5 and 10 127
vi
List of Tables
2.1 Continuous time interest rate models 7
2.2 Summary data statistics, April 1992 April 2004 9
2.3 Gaussian estimates of continuous time models of the
short term interest rate: one month interbank rate 10
3.1 Explanatory regulatory and institutional variables
used in Equation 3.1 22
3.2 CAMEL type explanatory risk factors used in
Equation 3.2 23
3.3 Default frequency by country 25
3.4 Descriptive statistics of the main balance sheet
variables and ratios 26
3.5 Estimation results of the excess credit risk
Equation 3.1 27
3.6 Estimation results of the default risk Equation 3.2 28
3.7 Estimation results of a binary logit default model
(CAMEL type risk factors only) 29
3A.I CAMEL an exposition of risk factors 32
3A.2 Bank default frequency by country 33
3A.3 Estimation results of alternative binary logit
default models 34
4.1 EMBI, descriptive statistics, daily spread
changes (s() in logs 45
4.2 EMBI, cross correlations at different lag values 47
4.3 EMBI, CCC FIGARCH(l,d,l) QMLE estimations 54
4.4 EMBI, unrestricted FIGARCH(l,d,l) QMLE estimations 56
4.5 EMBI, decision criteria FIGARCH(l,d,l) estimations 58
4.6 EMBI, CCC FIGARCH(l,d,l) variance in mean 59
4.7 EMBI, unrestricted FIGARCH(l,rf,l) variance in mean 60
4.8 EMBI, unrestricted FIGARCH(l,d,l) covariance in mean 63
5.1 Summary data statistics: January 1999 June 2004 72
5.2 Gaussian estimates of two factor models 74
6.1 Sacrifice ratios during disinflation episodes for
emerging economies 89
6.2 Date of the reform period division 91
vii
viii List of Tables
6.3 Sacrifice ratios from the estimation of
Phillips curves (short run) 92
6.4 Sacrifice ratios from the estimation of
Phillips curves (long run) 93
6.5 Chow stability test 95
6.6 Forecast evaluation of inflation 97
6.7 Sacrifice ratio estimates for emerging economies 99
6.8 Sacrifice ratio estimates for emerging economies
in the post reform period 100
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| geographic_facet | Entwicklungsländer |
| id | DE-604.BV020046165 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T20:11:37Z |
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| isbn | 1403991529 9781403991522 |
| language | English |
| lccn | 2004065451 |
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| physical | XI, 139 S. |
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| series2 | Centre for the Study of Emerging Markets series |
| spelling | Dynamic models and their applications in emerging markets edited by Sima Montamen-Samadian 1. publ. Basingstoke [u.a.] Palgrave Macmillan 2005 XI, 139 S. txt rdacontent n rdamedia nc rdacarrier Centre for the Study of Emerging Markets series Includes bibliographical references Entwicklungsländer Ökonometrisches Modell Finance Developing countries Econometric models Credit Developing countries Econometric models Investments Developing countries Econometric models Risk management Developing countries Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Finanzwirtschaft (DE-588)4017214-4 gnd rswk-swf Investition (DE-588)4027556-5 gnd rswk-swf Entwicklungsländer (DE-588)4014954-7 gnd rswk-swf (DE-588)1071861417 Konferenzschrift 2004 London gnd-content Entwicklungsländer (DE-588)4014954-7 g Finanzwirtschaft (DE-588)4017214-4 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Investition (DE-588)4027556-5 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013367172&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Dynamic models and their applications in emerging markets Entwicklungsländer Ökonometrisches Modell Finance Developing countries Econometric models Credit Developing countries Econometric models Investments Developing countries Econometric models Risk management Developing countries Ökonometrisches Modell (DE-588)4043212-9 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Investition (DE-588)4027556-5 gnd |
| subject_GND | (DE-588)4043212-9 (DE-588)4017214-4 (DE-588)4027556-5 (DE-588)4014954-7 (DE-588)1071861417 |
| title | Dynamic models and their applications in emerging markets |
| title_auth | Dynamic models and their applications in emerging markets |
| title_exact_search | Dynamic models and their applications in emerging markets |
| title_full | Dynamic models and their applications in emerging markets edited by Sima Montamen-Samadian |
| title_fullStr | Dynamic models and their applications in emerging markets edited by Sima Montamen-Samadian |
| title_full_unstemmed | Dynamic models and their applications in emerging markets edited by Sima Montamen-Samadian |
| title_short | Dynamic models and their applications in emerging markets |
| title_sort | dynamic models and their applications in emerging markets |
| topic | Entwicklungsländer Ökonometrisches Modell Finance Developing countries Econometric models Credit Developing countries Econometric models Investments Developing countries Econometric models Risk management Developing countries Ökonometrisches Modell (DE-588)4043212-9 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Investition (DE-588)4027556-5 gnd |
| topic_facet | Entwicklungsländer Ökonometrisches Modell Finance Developing countries Econometric models Credit Developing countries Econometric models Investments Developing countries Econometric models Risk management Developing countries Finanzwirtschaft Investition Konferenzschrift 2004 London |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013367172&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |