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Garcia Pascual, Antonio

Overview
Works: 20 works in 90 publications in 2 languages and 427 library holdings
Roles: Author
Classifications: HB1, 330.072
Publication Timeline
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Publications about Antonio Garcia Pascual
Publications by Antonio Garcia Pascual
Most widely held works by Antonio Garcia Pascual
Empirical exchange rate models of the nineties : are any fit to survive? by Yin-Wong Cheung( Book )
20 editions published between 2002 and 2004 in English and held by 66 libraries worldwide
Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970's vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by Mark (1995) and Chinn and Meese (1995) focused on similar models. In this paper we re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and behavioral equilibrium exchange rate' models. The performance of these models is compared against a benchmark model the Dornbusch-Frankel sticky price monetary model. The models are estimated in error correction and first-difference specifications. Rather than estimating the cointegrating vector over the entire sample and treating it as part of the ex ante information set as is commonly done in the literature, we recursively update the cointegrating vector, thereby generating true ex ante forecasts. We examine model performance at various forecast horizons (1 quarter, 4 quarters, 20 quarters) using differing metrics (mean squared error, direction of change), as well as the consistency' test of Cheung and Chinn (1998). No model consistently outperforms a random walk, by a mean squared error measure; however, along a direction-of-change dimension, certain structural models do outperform a random walk with statistical significance. Moreover, one finds that these forecasts are cointegrated with the actual values of exchange rates, although in a large number of cases, the elasticity of the forecasts with respect to the actual values is different from unity. Overall, model/specification/currency combinations that work well in one period will not necessarily work well in another period
Testing for output convergence : a re-examination by Yin-Wong Cheung( Book )
8 editions published in 2000 in English and held by 21 libraries worldwide
Productivity differences in OECD countries by Antonio Garcia Pascual( Book )
7 editions published in 2000 in English and held by 21 libraries worldwide
Market structure, technology spillovers, and persistence in productivity differentials by Yin-Wong Cheung( Book )
5 editions published in 2001 in English and held by 21 libraries worldwide
What do we know about recent exchange rate models? : in-sample fit and out-of-sample performance evaluated by Yin-Wong Cheung( Book )
6 editions published between 2002 and 2003 in English and held by 19 libraries worldwide
Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970's vintage, including monetary and portfolio balance models. In this paper we re-assess the in-sample fit and out-of-sample prediction of a wider set of models that have been proposed in the last decade, namely interest rate parity, productivitybased models, and "behavioral equilibrium exchange rate" models. These models are compared against a benchmark model, the Dornbusch-Frankel sticky price monetary model. First, the parameter estimates of the models are compared against the theoretically predicted values. Second, we conduct an extensive out-of-sample forecasting exercise, using the last eight years of data to determine whether our in-sample conclusions hold up. We examine model performance at various forecast horizons (1 quarter, 4 quarters, 20 quarters) using differing metrics (mean squared error, direction of change), as well as the "consistency" test of Cheung and Chinn (1998). We find that no model fits the data particularly well, nor does any model consistently out-predict a random walk, even at long horizons. There is little correspondence between how well a model conforms to theoretical priors and how well the model performs in a prediction context. However, we do confirm previous findings that out-performance of a random walk is more likely at long horizons
Financial sector projections and stress testing in financial programming : a new framework by Ritu Basu( Book )
8 editions published between 2006 and 2010 in English and held by 17 libraries worldwide
This paper proposes a framework to check for consistency between the IMF's standard country surveillance tool, namely medium-term projections of the macroeconomic framework (including the real, fiscal, external, and monetary sectors), and the financial sector. Consistency here entails that the financial sector remain solvent in the medium term under the assumptions of the macroeconomic framework and that the macroeconomic framework is fine-tuned should threats to financial sector solvency arise as a result of assumptions underlying the medium-term macroeconomic framework projections. The proposed framework can also be used to conduct sensitivity analysis of the aggregated financial sector to various types of risks, including foreign exchange, interest rate, and credit risk. For surveillance purposes, this framework can easily be integrated into one of the standard sectoral files so that any update to the macroeconomic framework automatically feeds into the financial sector medium-term projections. We anticipate the proposed framework to be of interest to IMF economists as well as outside analysts
The use of mortgage covered bonds by Renzo G Avesani( Book )
9 editions published between 2007 and 2010 in English and held by 16 libraries worldwide
The rapid mortgage credit growth experienced in recent years in mature and emerging countries has raised some stability concerns. Many European credit institutions in mature markets have reacted by increasing securitization, particularly via mortgage covered bonds. From the issuer's perspective, these instruments have become an attractive funding source and a tool for assetliability management; from the investor's perspective, covered bonds enjoy a favorable risk-return profile and a very liquid market. In this paper, we examine the two largest "jumbo" covered bond markets, Germany and Spain. We show how movements in covered bond prices can be used to analyze the credit developments of the underlying issuer and the quality of its mortgage portfolio. Our analysis also suggests that mortgage covered bonds could be of interest to other mature and emerging markets facing similar risks related to mortgage credit
A new risk indicator and stress testing tool : a multifactor Nth-to-default CDS basket by Renzo G Avesani( Book )
4 editions published in 2006 in English and held by 11 libraries worldwide
This paper generalizes a market-based indicator for financial sector surveillance using a multifactor latent structure in the determination of the default probabilities of an nth-todefault credit default swap (CDS) basket of large complex financial institutions (LCFIs). To estimate the multifactor latent structure, we link the market risk (the covariance of the LCFIs' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the response of the probabilities of default to changing macroeconomic conditions, we run a stress test by generating shocks to the latent multifactor structure. The results unveil a rich set of default probability dynamics and help in identifying the most relevant sources of risk. We anticipate that this approach could be of value to financial supervisors and risk managers alike
Productivity convergence in European manufacturing by Antonio Garcia Pascual( Book )
3 editions published in 2000 in English and held by 8 libraries worldwide
The Greek crisis : causes and consequences by Antonio Garcia Pascual( Computer File )
1 edition published in 2011 in English and held by 5 libraries worldwide
Greece has reached a point where, under any plausible macroeconomic scenario, public debt will continue growing faster than GDP. Fiscal consolidation alone cannot close the solvency gap. A substantial reduction in the stock of debt is needed. Even post-debt restructuring, there is no guarantee that the government will succeed in its dual goal of restoring fiscal solvency and closing the competitiveness gap. Yet we think Greece stands a better chance of accomplishing these goals from inside the EMU rather than outside it. This chapter takes stock of the factors that led to the explosion of public debt, the loss of competitiveness, and the failure of the first EU-IMF programme. We also present our views on the likely debt restructuring (and post-restructuring) scenarios
Test electrotecnia : fundamentos de circuitos by Lluís Humet Coderch( Book )
1 edition published in 1997 in Spanish and held by 5 libraries worldwide
Instalaciones eléctricas by Antoni García( Book )
2 editions published in 2005 in Spanish and held by 3 libraries worldwide
Productivity convergence in european manufacturing ( Article )
1 edition published in 2002 in English and held by 3 libraries worldwide
The Greek crisis causes and consequences by Antonio Garcia Pascual( Book )
3 editions published in 2011 in English and held by 3 libraries worldwide
Toward an effective supervision of partially dollarized banking systems by Jorge Cayazzo( Book )
1 edition published in 2006 in English and held by 2 libraries worldwide
The paper presents a supervisory framework that addresses the vulnerabilities of partially dollarized banking systems. The tendency to underprice systemic liquidity risk and currency-induced credit risk creates vulnerabilities that need supervisory responses. The framework seeks to induce agents to better internalize risks by implementing a risk based approach to supervision, following the risk management guidelines of the Basel Committee, and by establishing buffers to cover higher liquidity and solvency risks. The paper also shows that most dollarized countries have addressed their liquidity vulnerabilities, but few have addressed those arising from currency-induced credit risks
Tecnicas de accionamentos eléctricos : asignatura optativa fundamental del BODE Eléctrico Ingenieria Industrial - Pla N 1993 by Antonio Garcia Pascual( Archival Material )
1 edition published in 2001 in Spanish and held by 1 library worldwide
IMF Working Papers : Toward an Effective Supervision of Partially Dollarized Banking Systems by Antonio Garcia Pascual( Book )
1 edition published in 2006 in Undetermined and held by 1 library worldwide
The European Central Bank's QE : A new hope by Tomasz Wieladek( Book )
2 editions published in 2016 in English and held by 1 library worldwide
We examine the impact of the ECB’s QE on Euro Area real GDP and core CPI with a Bayesian VAR, estimated on monthly data from 2012M6 to 2016M4. We assess the total impact via a counter-factual exercise, country-by-country and through alternative transmission channels. QE anouncement shocks are identified with four different identification schemes as in Weale and Wieladek (2016). We find that in absence of the first round of ECB QE, real GDP and core CPI would have been 1.3% and 0.9% lower, respectively. The effect is roughly 2/3 times smaller than in the UK/US. Impulse response analysis suggests that the policy is transmitted via the portfolio rebalancing, the signalling, credit easing and exchange rate channels. Spanish real GDP benefited the most and Italian the least
The Greek crisis: Causes and consequences by Antonio Garcia Pascual( file )
1 edition published in 2011 in English and held by 0 libraries worldwide
Greece has reached a point where, under any plausible macroeconomic scenario, public debt will continue growing faster than GDP. Fiscal consolidation alone cannot close the solvency gap. A substantial reduction in the stock of debt is needed. Even post-debt restructuring, there is no guarantee that the government will succeed in its dual goal of restoring fiscal solvency and closing the competitiveness gap. Yet we think Greece stands a better chance of accomplishing these goals from inside the EMU rather than outside it. This chapter takes stock of the factors that led to the explosion of public debt, the loss of competitiveness, and the failure of the first EU-IMF programme. We also present our views on the likely debt restructuring (and post-restructuring) scenarios
Imf working papers a new risk indicator and stress testing tool by Antonio Garcia Pascual( Book )
1 edition published in 2006 in Undetermined and held by 0 libraries worldwide
 
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Alternative Names
Garcia Pascual, Antonio I.
Pascual, Antonio Garcia
Languages
English (79)
Spanish (4)
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