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The Impact of Macroeconomic Announcementson Emerging Market Bonds

Andritzky, Jochen R.; Bannister, Geoffrey J.; Tamirisa, … - International Monetary Fund (IMF) - 2005

affect market volatility. Data and policy announcements reduce uncertainty and stabilize the trading environment, while …

Persistent link: https://www.econbiz.de/10005768842

Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR; Evidence from Stock Markets

Zhang, Xiaojing; Sun, Tao - International Monetary Fund (IMF) - 2009

This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland … the United States. In addition, HK's equity returns have exhibited more significant price and volatility spillovers from … the United States than China's returns, and past volatility shocks in the United States have a more persistent effect on …

Persistent link: https://www.econbiz.de/10008528625

Regional Financial Integration in the Caribbean; Evidence From Financial and Macroeconomic Data

Kwon, Goohoon; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2009

This paper assesses the extent of regional financial integration in the Caribbean Community (CARICOM) by analyzing equity prices in the region and rigidity of external financing constraints. The results are presented in a cross-regional perspective. The Caribbean stock markets are not as well...

Persistent link: https://www.econbiz.de/10008528700

Wealth Effects in Europe; A Tale of Two Countries (Italy and the United Kingdom)

Muñoz, Sònia - International Monetary Fund (IMF) - 2006

This paper investigates the increasing exposure of European households to risky financial assets and the consequent impact on the economy. I analyze household data for Italy and the United Kingdom, countries that differ dramatically in their financial structure and capital markets. I estimate an...

Persistent link: https://www.econbiz.de/10005599313

Price of Risk; Recent Evidence From Large Financials

Singh, Manmohan; Youssef, Karim - International Monetary Fund (IMF) - 2010

Probability of default (PD) measures have been widely used in estimating potential losses of, and contagion among, large financial institutions. In a period of financial stress however, the existing methods to compute PDs and generate loss estimates that may vary significantly. This paper...

Persistent link: https://www.econbiz.de/10008646426

Financial Frictions, Investment, and Institutions

Yafeh, Yishay; Ueda, Kenichi; Claessens, Stijn - International Monetary Fund (IMF) - 2010

Financial frictions have been identified as key factors affecting economic fluctuations and growth. But, can institutional reforms reduce financial frictions? Based on a canonical investment model, we consider two potential channels: (i) financial transaction costs at the firm level; and (ii)...

Persistent link: https://www.econbiz.de/10008680276

Can Miracles Lead to Crises? the Role of Optimism in Emerging Markets Crises

Boz, Emine - International Monetary Fund (IMF) - 2007

Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset-pricing model with informational frictions in which vulnerability and the crisis itself...

Persistent link: https://www.econbiz.de/10005826240

Early Warning Systems; A Survey and a Regime-Switching Approach

Abiad, Abdul - International Monetary Fund (IMF) - 2003

Previous early-warning systems (EWSs) for currency crises have relied on models that require a priori dating of crises. This paper proposes an alternative EWS, based on a Markov-switching model, which identifies and characterizes crisis periods endogenously; this also allows the model to utilize...

Persistent link: https://www.econbiz.de/10005769232

Competition and Firm Productivity; Evidence From Firm-Level Data

Schiffbauer, Marc; Ospina, Sandra - International Monetary Fund (IMF) - 2010

This paper presents empirical evidence on the impact of competition on firm productivity. Using firm-level observations …

Persistent link: https://www.econbiz.de/10008470387

Does Spousal Labor Smooth Fluctuations in Husbands' Earnings? the Role of Liquidity Constraints

Garcia-Escribano, Mercedes - International Monetary Fund (IMF) - 2004

This paper theoretically and empirically investigates the role of spousal labor in buffering transitory shocks to husbands' earnings. To measure the amount of the shock that spousal labor absorbs, an instrumented cross-sectional variance decomposition is developed. Using data from the Panel...

Persistent link: https://www.econbiz.de/10005605133

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