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The Efficiency of the Japanese Equity Market
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....
Persistent link: https://www.econbiz.de/10005825859
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Market-Based Estimation of Default Probabilities and its Application to Financial Market Surveillance
Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006
This paper reviews a number of different techniques for estimating default probabilities from the prices of publicly traded securities. These techniques are useful for assessing credit exposure, systemic risk, and stress testing financial systems. The choice of techniques was guided by their...
Persistent link: https://www.econbiz.de/10005826641
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Estimating a Structural Model of Herd Behavior in Financial Markets
Guarino, Antonio; Cipriani, Marco - International Monetary Fund (IMF) - 2010
We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate...
Persistent link: https://www.econbiz.de/10008777025
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Firm Productivity, innovation and Financial Development
Verdier, Geneviève; Kersting, Erasmus; Dabla-Norris, Era - International Monetary Fund (IMF) - 2010
How do firm-specific actions-in particular, innovation-affect firm productivity? And what is the role of the financial sector in facilitating higher productivity? Using a rich firm-level dataset, we find that innovation is crucial for firm performance as it directly and measurably increases...
Persistent link: https://www.econbiz.de/10008519511
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Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets
Chan-Lau, Jorge A.; Kim, Yoon Sook - International Monetary Fund (IMF) - 2004
This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries,...
Persistent link: https://www.econbiz.de/10005605007
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Financial Development and Economic Growth; An Overview
Khan, Mohsin S.; Semlali, A. Senhadji - International Monetary Fund (IMF) - 2000
with different indicators of financial development, estimation method, data frequency, and the functional form of the …
Persistent link: https://www.econbiz.de/10005263653
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Singapore: Detailed Assessment of Observance-Assessment of Observance of the CPSS-IOSCO Principles for Financial Market Infrastructures
International Monetary Fund (IMF); International … - 2013
Singapore. Singapore has a well-developed payment, clearing, and settlement infrastructure, which includes two central … securities and derivatives clearing and settlement systems operated by the Singapore Exchange Limited. The FMIs in Singapore are … subject to effective regulation, supervision, and oversight of the Monetary Authority Singapore (MAS). The legal framework …
Persistent link: https://www.econbiz.de/10011242648
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Singapore: Staff Report for the 2013 Article IV Consultation
International Monetary Fund (IMF); International … - 2013
This 2013 Article IV Consultation highlights that since the robust recovery from the global financial crisis, Singapore’s growth momentum has eased and become more erratic. Growth decelerated to 1¼ percent in 2012 before picking up sharply in the first half of 2013. This reflects...
Persistent link: https://www.econbiz.de/10011243385
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Singapore: Detailed Assessment of Observance-Insurance Core Principles
International Monetary Fund (IMF); International … - 2013
This paper discusses findings of the Detailed Assessment of Observance on Insurance Core Principles on Singapore. The … insurance industry in Singapore is growing, in particular the offshore nonlife sector. Gross premium of the sector has grown … significantly by more than 80 percent in the last five years. The Monetary Authority of Singapore has made significant progress in …
Persistent link: https://www.econbiz.de/10011243739
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Singapore: Selected Issues
International Monetary Fund (IMF); International … - 2013
This Selected Issues Paper discusses some observations on Singapore’s monetary policy framework. Singapore’s monetary policy uses the nominal effective exchange rate (NEER) as the instrument in a basket-band-crawl framework. The paper finds that under some conditions an exchange...
Persistent link: https://www.econbiz.de/10011244386