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Measuring External Risks for Peru: Insights from a Macroeconomic Model for a Small Open and Partially Dollarized Economy

Han, Fei - International Monetary Fund (IMF) - 2014

This paper quantifies the effects of external risks for Peru, with particular attention to two major external risks, Chinaâ€™s investment slowdown and the U.S. monetary policy tightening. In particular, a macroeconomic model for a small open and partially dollarized economy is developed and...

Persistent link: https://www.econbiz.de/10011142105

Factor Endowment, Structural Coherence, and Economic Growth

Che, Natasha Xingyuan - International Monetary Fund (IMF) - 2012

This paper studies the linkage between structural coherence and economic growth. Structural coherence is defined as the degree that a country's industrial structure optimally reflects its factor endowment fundamentals. The paper found that at least for the overall capital, the shares of capital...

Persistent link: https://www.econbiz.de/10010878416

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

Negro, Marco Del; Brooks, Robin - International Monetary Fund (IMF) - 2005

We estimate a latent factor model that decomposes international stock returns into global, country-, and industry-specific shocks and allows for stock-specific exposures to these shocks. We find that across stocks there is substantial dispersion in these exposures, which is partly explained by...

Persistent link: https://www.econbiz.de/10005263928

International Stock Returns and Market Integration; A Regional Perspective

Negro, Marco Del; Brooks, Robin - International Monetary Fund (IMF) - 2002

We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide the global stock market into the Americas, Asia, and Europe and find that most of...

Persistent link: https://www.econbiz.de/10005825921

Firm-Level Evidenceon International Stock Market Comovement

Brooks, Robin; Negro, Marco Del - International Monetary Fund (IMF) - 2003

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model that decomposes stock returns into global, country-specific and industry-specific...

Persistent link: https://www.econbiz.de/10005826072

Bank Ownership, Market Structure and Risk

Nicoló, Gianni De; Loukoianova, Elena - International Monetary Fund (IMF) - 2007

This paper presents a model of a banking industry with heterogeneous banks that delivers predictions on the relationship between banks' risk of failure, market structure, bank ownership, and banks' screening and bankruptcy costs. These predictions are explored empirically using a panel of...

Persistent link: https://www.econbiz.de/10005826093

The Rise in Comovement Across National Stock Markets; Market Integration or Global Bubble?

Brooks, Robin; Negro, Marco Del - International Monetary Fund (IMF) - 2002

The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across...

Persistent link: https://www.econbiz.de/10005768890

Credit Booms and Lending Standards; Evidence From the Subprime Mortgage Market

Dell'Ariccia, Giovanni; Laeven, Luc; Igan, Deniz - International Monetary Fund (IMF) - 2008

This paper links the current sub-prime mortgage crisis to a decline in lending standards associated with the rapid expansion of this market. We show that lending standards declined more in areas that experienced larger credit booms and house price increases. We also find that the underlying...

Persistent link: https://www.econbiz.de/10005769083

The Shifting Structure of China's Trade and Production

Cui, Li; Syed, Murtaza H. - International Monetary Fund (IMF) - 2007

This paper uses disaggregated trade data to assess how the expansion of China's production capacity and its changing … production structure may be affecting its trade linkages with other countries. It finds that China is moving away from … components. In turn, China's imports and exports have begun to delink, with increased domestic sourcing contributing to the …

Persistent link: https://www.econbiz.de/10005599657

Banking Competition and Capital Ratios

Cihák, Martin; Schaeck, Klaus - International Monetary Fund (IMF) - 2007

We use data for more than 2,600 European banks to test whether increased competition causes banks to hold higher capital ratios. Employing panel data techniques, and distinguishing between the competitive conduct of small and large banks, we show that banks tend to hold higher capital ratios...

Persistent link: https://www.econbiz.de/10005605326

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