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Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets
International Monetary Fund - 2009
This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility … markets are found to a¤ect both conditional returns and volatility, with the e¤ects on volatility being more pronounced and … volatility dynamics in external emerging bond markets …
Persistent link: https://www.econbiz.de/10014404285
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund - 2010
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term …
Persistent link: https://www.econbiz.de/10014402641
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Optimal Intertemporal Taxationon Consumption and the Term Structure of Government Debt
International Monetary Fund - 1988
-smoothing theory of debt determination …
Persistent link: https://www.econbiz.de/10014396031
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Trade Costs and Real Exchange Rate Volatility : The Role of Ricardian Comparative Advantage
International Monetary Fund - 2005
This paper examines the impact of trade costs on real exchange rate volatility. We incorporate a multi … exchange rate volatility depends on relative technological differences and trade costs. These differences highlight a new … volatility. We then test the importance of this channel using a large panel of cross-country data over 1970-97, and find strong …
Persistent link: https://www.econbiz.de/10014399797
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Exchange Rate Volatility and World Trade
International Monetary Fund - 1984
In View of the continuation of substantial movements in exchange rate relationships among major currencies, the recent increase in protectionist pressures, and the disappointing performance of world trade, renewed concern has been expressed about the possible adverse effects of exchange rate...
Persistent link: https://www.econbiz.de/10014406218
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Remoteness and Real Exchange Rate Volatility
International Monetary Fund - 2005
This paper examines the impact of trade costs on real exchange rate volatility. The channel is examined by constructing … higher trade costs result in a larger nontradable sector. This, in turn, leads to higher real exchange rate volatility. We …
Persistent link: https://www.econbiz.de/10014404193
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Asset Prices and Time-Varying Risk
International Monetary Fund - 1988
Observers have often characterized asset markets as being subject to periods of tranquility and periods of turbulence. Until recently, however, researchers were unable to produce closed-form asset pricing formulas in a model environment of time-varying risk. Some work by Abel provided us with...
Persistent link: https://www.econbiz.de/10014396175
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Stock Prices, Real Exchange Rates, and Optimal Capital Accumulation
International Monetary Fund - 1988
This paper analyzes the dynamics of the real exchange rate and the price of equity for a small open economy using an optimizing model in which the process of capital accumulation entails adjustment costs. The analysis demonstrates that along an adjustment path toward long-run equilibrium,...
Persistent link: https://www.econbiz.de/10014396304
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The Dynamics of Money Demand and Prices
International Monetary Fund - 1990
The paper evaluates whether a monetary aggregate can serve as a useful predictor of inflation, using recent developments in the principle of cointegrated variables. M2 but not M1 is cointegrated with relevant price, transactions, and rate of return variables. However, deviations of M2 from its...
Persistent link: https://www.econbiz.de/10014395786
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Corruption and Military Spending
International Monetary Fund - 2000
Anecdotal evidence relates corruption with high levels of military spending. This paper tests empirically whether such a relationship exists. The empirical analysis is based on data from four different sources for up to 120 countries in the period 1985–98. The association between military...
Persistent link: https://www.econbiz.de/10014399916