European pension systems: a simulation analysis

Pension systems in different countries vary widely in such aspects as the dependence of benefits on earlier labour income, the minimum permitted retirement age and limits on labour supply after retirement. This paper uses a simulation model of a rational, utility-maximising household facing the detailed pension provisions of eight European countries to study microeconomic distortions induced by the different rules and regulations. We examine in particular the impact on savings, labour supply, retirement age decisions and welfare.

Dynamic general equilibrium tax modelling : a study of the UK in the 1980's.

SIGLEAvailable from British Library Document Supply Centre- DSC:DX175694 / BLDSC - British Library Document Supply CentreGBUnited Kingdo

Inflation and Sovereign Default

Recent research has highlighted the role that the government budget constraint plays in determining the consumer price level. According to the fiscal approach to price determination, prices adjust so that the discounted value of future real government primary surpluses equals the current real value of public debt. An important implication is that the probability of a crisis involving default on public debt may directly affect consumer prices. This paper examines the interaction of prices and sovereign insolvency crises using simple, continuous-time models of the government budget constraint. Copyright 2001, International Monetary Fund

An Empirical Examination of Term Structure Models with Regime Shifts

We examine several continuous-time term structure models in which the short rate is subject both to continuous changes and to discrete shifts. Several regime-switching term structure models are developed, with regime-dependence in various combinations of their drift and diffusion parameters. We examine their predictive power. Our empirical analysis suggests that it is important to attempt to specify the switching model correctly: badly parameterized switching models may not be an improvement (in terms of pricing) over models which do not allow for regime switching, even when there are clear breaks in the data.term structure of interest rates, bond yields, stochastic discount factor/pricing kernel, regime switching

The experience with macro-prudential policies of the central bank of the republic of Turkey in response to the global financial crisis

This brief country case study on Turkey aims to summarize the fundamental developments in the banking sector, which represents almost 90 percent of the financial sector in the country. The brief has two parts. The first covers the 2001 financial crisis and the developments until end of 2007, the year before the global financial crisis of 2008 started. The second part focuses on the macro-prudential policies applied by the Central Bank of the Republic of Turkey in response to the global financial crisis in three phases: (i) full liquidity support after Lehman Brothers'collapse (September 2008), (ii) the exit strategy (April 2010), and (iii) the new policy mix (final quarter of 2010).Debt Markets,Banks&Banking Reform,Currencies and Exchange Rates,Emerging Markets,Bankruptcy and Resolution of Financial Distress