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Financial Market Risk and U.S. Money Demand

Cook, David; Choi, Woon Gyu - International Monetary Fund (IMF) - 2007

This paper examines empirically U.S. broad money demand emphasizing the role of financial market risk. We find that money demand rises with the liquidity risk of stock markets or the credit risk of corporate bond markets. After controlling for the effect of financial market risk, money demand...

Persistent link: https://www.econbiz.de/10005248246

The Ties That Bind; Measuring International Bond Spillovers Using the Inflation-Indexed Bond Yields

Swiston, Andrew; Bayoumi, Tamim - International Monetary Fund (IMF) - 2007

This paper explores international bond spillovers using daily and intra-day data on yields on inflation-indexed bonds … and associated inflation expectations for the United States, Australia, Canada, France, Sweden, Japan, and the United … Kingdom. The analysis starts in 2002, by which point U.S. inflation-indexed markets were fully mature. Real bond yields are …

Persistent link: https://www.econbiz.de/10005826197

U.S. Monetary Shocks and Global Stock Prices

Laeven, Luc; Tong, Hui - International Monetary Fund (IMF) - 2010

This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for...

Persistent link: https://www.econbiz.de/10008777010

Estimating Spillover Risk Among Large EU Banks

Ong, Li L.; Cihák, Martin - International Monetary Fund (IMF) - 2007

The paper examines the scope for cross-border spillovers among major EU banks using information contained in the stock prices and financial statements of these banks. The results suggest that spillovers within domestic banking systems generally remain more likely, but the number of significant...

Persistent link: https://www.econbiz.de/10005263655

Sovereign Insurance and Program Design; What is Optimal for the Sovereign?

Messmacher, Miguel - International Monetary Fund (IMF) - 2006

The design of the optimal sovereign insurance contract is analyzed when: the sovereign chooses the contract; effort is not contractible; shocks are of uncertain magnitude; the sovereign can save; and the sovereign can default. Under these conditions: i) an ex ante premium leads to higher coverage;...

Persistent link: https://www.econbiz.de/10005263743

Malaysian Capital Controls; Macroeconomics and Institutions

Tamirisa, Natalia T.; Johnson, Simon; Kochhar, Kalpana; … - International Monetary Fund (IMF) - 2006

We analyze the capital controls imposed in Malaysia in September 1998. In macroeconomic terms, these controls neither yielded major benefits nor were costly. At the same time, the stock market interpreted the capital controls (and associated events) as favoring firms with stronger political...

Persistent link: https://www.econbiz.de/10005263746

Financial Reforms, Financial Openness, and Corporate Borrowing; International Evidence

Detragiache, Enrica; Nicoló, Gianni De; Agca, Senay - International Monetary Fund (IMF) - 2007

We study how credit market deregulation and increased international financial openness have changed corporate borrowing. The evidence comes from a large panel of publicly traded firms in 38 countries over the period 1994-2002. Reforms are measured with a comprehensive new index that tracks six...

Persistent link: https://www.econbiz.de/10005263812

The Determinants of Stock Market Development in Emerging Economies; Is South Africa Different?

Yartey, Charles Amo - International Monetary Fund (IMF) - 2008

This paper examines the institutional and macroeconomic determinants of stock market development using a panel data of 42 emerging economies for the period 1990 to 2004. The paper finds that macroeconomic factors such as income level, gross domestic investment, banking sector development,...

Persistent link: https://www.econbiz.de/10005263854

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

Debt Crises and the Development of International Capital Markets

Sy, Amadou N. R.; Pescatori, Andrea - International Monetary Fund (IMF) - 2004

Crises on external sovereign debt are typically defined as defaults. Such a definition accurately captures debt-servicing difficulties in the 1980s, a period of numerous defaults on bank loans. However, defining defaults as debt crises is problematic for the 1990s, when sovereign bond markets...

Persistent link: https://www.econbiz.de/10005263954

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