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International Monetary Fund. Strategy, Policy, & Review Department
The IMF’s Vulnerability Exercise (VE) is a cross-country exercise that identifies country-specific near-term macroeconomic risks. As a key element of the Fund’s broader risk architecture, the VE is a bottom-up, multi-sectoral approach to risk assessments for all IMF member countries. The VE modeling toolkit is regularly updated in response to global economic developments and the latest modeling innovations. The new generation of VE models presented here leverages machine-learning algorithms. The models can better capture interactions between different parts of the economy and non-linear relationships that are not well measured in ”normal times.” The performance of machine-learning-based models is evaluated against more conventional models in a horse-race format. The paper also presents direct, transparent methods for communicating model results.
Yongquan Cao, Ms. Yingjie Fan, Sandile Hlatshwayo, Monica Petrescu, and Zaijin Zhan
Direct measurement of corruption is difficult due to its hidden nature, and measuring the perceptions of corruption via survey-based methods is often used as an alternative. This paper constructs a new non-survey based perceptions index for 111 countries by applying sentiment analysis to Financial Times articles over 2005–18. This sentiment-enhanced corruption perception index (SECPI) captures not only the frequncy of corruption related articles, but also the articles’ sentiment towards corruption. This index, while correlated with existing corruption perception indexes, offers some distinct advantages, including heightened sensitivity to current events (e.g., corruption investigations and elections), availability at a higher frequency, and lower costs to update. The SECPI is negatively correlated with business environment and institutional quality. Increases in the perceived incidence or scope of corruption influences economic agents’ behaviors, and thus economic dynamics. We found that when the SECPI is at least one standard deviation above the mean, the growth per capita falls by 0.65 percentage point on average, with more pronounced impacts for emerging market and low income countries.
Yongquan Cao, Ms. Yingjie Fan, Sandile Hlatshwayo, Monica Petrescu, and Zaijin Zhan

-level sentiment analysis .” In Proceedings of human language technology conference and conference on empirical methods in natural language processing , pp. 347 – 354 . 2005 . Young , Lori , and Stuart Soroka . “ Affective news: The automated coding of sentiment in political texts .” Political Communication 29 , no. 2 ( 2012 ): 205 – 231 Annex I. List of Variables for Local Projections The sources of the data are in parentheses . Real PPP GDP (IMF Vulnerability Exercise Fiscal Model Database) Real Per Capita Growth (World Economic Outlook

Mr. Romain Ranciere, Aaron Tornell, and Mr. Athanasios Vamvakidis

risk. Such data is not readily available, which might explain the lack of such de facto currency mismatch measures in the literature. III. M easuring C urrency M ismatch in E merging E urope This section constructs the new measure of currency mismatch for emerging European economies by using data from a large number of sources (see Appendix for details.) Data on foreign currency domestic and foreign asset and liabilities by sector and data on total bank assets are from Haver Analytics and from the internal and confidential IMF Vulnerability Exercise for

Mr. Romain Ranciere, Aaron Tornell, and Mr. Athanasios Vamvakidis
This paper constructs a new measure of currency mismatch in the banking sector that controls for bank lending to unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they lend to borrowers that will not be able to repay in the event of a sharp depreciation. Such systemic risk taking is not captured by indicators that are based only on banks’ balance sheet data. The new measure is constructed for 10 emerging European economies and for a broader sample that includes 19 additional emerging economies, for the period 1998 - 2008. Comparisons with previous currency mismatch measures that do not adjust for unhedged foreign currency borrowing illustrate the advantages of the new approach. In particular, the new measure flagged the indirect currency mismatch vulnerabilities that were building up in a number of emerging economies before the recent global crisis. Measuring currency mismatch more accurately can help country authorities in their efforts to address vulnerabilities at the right time, avoiding hurting growth prospects.
International Monetary Fund

Deficit, 2008 1/ 1/ Source: IMF Vulnerabilities Exercise For Emerging Economies Database, updated for South Africa. 130. Given the possibility that South Africa could be subject to financing pressures, the following sections of the paper look at past experience and policy responses to capital account pressures and current policy measures being taken by other emerging markets . B. Past Crises and Policy Reactions 131. All of the previous crises are characterized by a sudden reversal in capital flows reflecting sharp changes in investor confidence

International Monetary Fund. European Dept.

each sector based on reporting by domestic depository institutions, BIS banks and data on outstanding foreign currency debt instruments. Sources: Regional Economic Issues ( IMF April 2017 ) based on IMF Monetary and Financial Survey Database; IMF Vulnerabilities Exercise Securities Database; BIS Locational Bank Statistics; World Economic Outlook database; and IMF staff calculations. Box 1. FX Stress Test Estimates IMF external debt sustainability analysis demonstrates that under an (unlikely) assumption of 30 percent kuna depreciation in 2018, the economy