125 records from EconBiz based on author Name

1. Financial and Business Cycles: Shall We Dance? : An Application to Kazakhstan

abstract

This paper examines the role of financial cycle proxies in refining available estimates of the business cycle in Kazakhstan. It contributes to the existing literature by introducing a formal test for the stability of the mean of exogenous variables in the estimation set up, and by developing a self-contained statistical package to streamline the whole estimation process. The empirical strategy is designed to be parsimonious, aiming to avoid the pitfalls associated with overly complex models while achieving comparable results. Results have implications for the extent with which the authorities should manage the business and financial cycles, with which policies, for macroprudential policy calibration, and for the usefulness for policymaking of endsample estimates of the cycle

Impavido, Gregorio;
2024
Availability: Link Link

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2. Barbados' 2018-19 sovereign debt restructuring : a sea change?

abstract

This paper examines the causes, processes, and outcomes of Barbados' 2018-19 sovereign debt restructuring-its first ever. The restructuring was comprehensive, featuring several rarely used approaches, including the restructuring of treasury bills, and the use of a retrofitted collective action mechanism. The debt restructuring has helped to set Barbados' public debt on a clear downward trajectory. A sustained reform effort, maintaining high primary surpluses and ambitious structural reforms, will be needed to gradually reduce public debt from about 160 percent of GDP before the restructuring to the country's 60 percent debt-to-GDP target

Anthony, Myrvin L.; Impavido, Gregorio; Selm, Bert van;
2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link Link
Citations: 2 (based on OpenCitations) Cited By

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3. Short term inflation determinants in Barbados

abstract

Inflation in Barbados is mainly imported. But how are external shocks transmitted to the domestic economy? Shouldn't there be also a domestic component, albeit very small, given the presence of capital controls? We focus on short term dynamics and contribute to the existing literature in three ways: (i) we identify the process with which inflation expectations are likely to be formed in Barbados; (ii) we add forward looking inflation expectations as one of the main channels through which external monetary shocks are transmitted to the economy; and (iii) we measure the importance of domestic shocks. We find that due to the peg, forward-looking inflation expectations in the reserve currency country are an important component of the inflation expectation process in Barbados and that they are a key channel in the international monetary transmission mechanism. Domestic factors, mainly monetary shocks, also matter given the limited degree of monetary autonomy provided by capital controls

Impavido, Gregorio;
2018
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability: Link Link
Citations: 1 (based on OpenCitations) Cited By

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4. Barbados' 2018-19 Sovereign Debt Restructuring-A Sea Change?

abstract

This paper examines the causes, processes, and outcomes of Barbados' 2018-19 sovereign debt restructuring-its first ever. The restructuring was comprehensive, featuring several rarely used approaches, including the restructuring of treasury bills, and the use of a retrofitted collective action mechanism. The debt restructuring has helped to set Barbados' public debt on a clear downward trajectory. A sustained reform effort, maintaining high primary surpluses and ambitious structural reforms, will be needed to gradually reduce public debt from about 160 percent of GDP before the restructuring to the country's 60 percent debt-to-GDP target

Anthony, Myrvin; Impavido, Gregorio; van Selm, Bert;
2020
Availability: Link Link

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5. Short Term Inflation Determinants in Barbados

abstract

Inflation in Barbados is mainly imported. But how are external shocks transmitted to the domestic economy? Shouldn't there be also a domestic component, albeit very small, given the presence of capital controls? We focus on short term dynamics and contribute to the existing literature in three ways: (i) we identify the process with which inflation expectations are likely to be formed in Barbados; (ii) we add forward looking inflation expectations as one of the main channels through which external monetary shocks are transmitted to the economy; and (iii) we measure the importance of domestic shocks. We find that due to the peg, forward-looking inflation expectations in the reserve currency country are an important component of the inflation expectation process in Barbados and that they are a key channel in the international monetary transmission mechanism. Domestic factors, mainly monetary shocks, also matter given the limited degree of monetary autonomy provided by capital controls

Impavido, Gregorio;
2018
Availability: Link Link

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6. Bank Funding in Central, Eastern and South Eastern Europe Post Lehman : A 'New Normal'?

abstract

CESEE banks are reducing foreign funding sources in response to reduced external imbalances, reduced ability to tap international savings, banking group own strategies, initiatives by some regulators, and consistently with uncertainties surrounding the future of the banking union project. In the medium term, the global regulatory agenda and the high foreign presence and stock of FX loans exert opposite forces on rebalancing trends. In the long-term, any funding 'new normal' will be determined by the future design of the EU financial architecture. In the meantime, limiting leverage, the use of FX loans and promoting aggregate saving through macro policies and capital market reforms will increase resilience against shocks going forward

Impavido, Gregorio; Rudolph, Heinz; Ruggerone, Luigi;
2013
Availability: Link Link Link
Citations: 6 (based on OpenCitations) Cited By

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7. Stress tests for defined benefit pension plans : a primer

Impavido, Gregorio;
2011
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:

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8. Possible unintended consequences of Basel III and Solvency II

Al-Darwish, Ahmed; Hafeman, Michael; Impavido, Gregorio; Kemp, Malcolm; O’Malley, Padraic;
2011
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability:

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9. Stress Tests for Defined Benefit Pension Plans : A Primer

abstract

Stress testing is a useful and increasingly popular, yet sometimes misunderstood, method of analyzing the resilience of financial systems to adverse events. This paper aims to help demystify stress tests and illustrate their strengths and weaknesses. Using an Excel-based template with institution-specific data, readers are walked through the basics of liability valuation and stress testing of assets and liabilities of a typical defined benefit plan

Impavido, Gregorio; Impavido, Gregorio;
2011
Type: Arbeitspapier; Working Paper;
Availability: Link Link Link
Citations: 4 (based on OpenCitations) Cited By

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10. The Insurance Sector - Trends and Systemic Risk Implications

abstract

This chapter describes major insurance sector developments over the past decade and assesses changes in the systemic importance of insurers. Insurance firms play an important role as providers of protection against financial and economic risks and as financial intermediaries.The chapter shows that across advanced economies the contribution of life insurers to systemic risk has increased in recent years, although it clearly remains below that of banks. This increase is largely due to growing common exposures to aggregate risk, caused partly by a rise in insurers' interest rate sensitivity. Thus, in the event of an adverse shock, insurers are unlikely to fulfill their role as financial intermediaries precisely when other parts of the financial system are failing to do so as well. The higher common exposures do not seem to be driven by marked changes in insurers' investment portfolios, although smaller and weaker insurers in some countries have taken on more risk.The findings suggest that supervisors and regulators should take a more macroprudential approach to the sector. Doing so is necessary if supervision is to go beyond guarding against the solvency and contagion risks of individual firms and take on the systemic risk arising from common exposures. Steps that would complement a push for stronger macroprudential policies include the international adoption of capital and transparency standards for the sector. In addition, the different behavior of smaller and weaker insurers warrants attention by supervisors

Valckx, Nico; Chan-Lau, Jorge A.; Feng, Alan; Huston, Benjamin; Impavido, Gregorio; Jobst, Andreas (Andy); Kiff, John; Lambert, Frederic J.; Sugimoto, Nobu; Yan, Kai;
2016
Availability: Link Link
Citations: 1 (based on OpenCitations) Cited By

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