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This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …
Persistent link: https://www.econbiz.de/10014398639
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and...
Persistent link: https://www.econbiz.de/10014395952
We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of...
Persistent link: https://www.econbiz.de/10012300643
The evidence on the inflation impact of aging is mixed, and there is no evidence regarding the volatility of inflation … higher inflation volatility. Our paper is also the first, using this framework, to discuss how aging affects the transmission …
Persistent link: https://www.econbiz.de/10012103744
high frequency. The model yields predictions on biweekly patterns of the federal funds rate’s volatility and on its …. Theoretical results are consistent with empirical patterns of interest rate volatility in the U.S. market for federal funds …
Persistent link: https://www.econbiz.de/10014399599
: its volatility and Dutch disease. We present evidence that aid volatility augments trade balance volatility and that …
Persistent link: https://www.econbiz.de/10014401877
The link between monetary policy and asset price movements has been of perennial interest to policymakers. In this paper, we consider the potential case for preemptive monetary restrictions when asset price reversals can have serious effects on real output. First, we present some stylized facts...
Persistent link: https://www.econbiz.de/10014401453
We explore the stability properties of interest rate rules granting an explicit response to stock prices in a New-Keynesian DSGE model populated by Blanchard-Yaari non-Ricardian households. The constant turnover between long-time stock holders and asset-poor newcomers generates a financial...
Persistent link: https://www.econbiz.de/10014411926
Persistent link: https://www.econbiz.de/10009425646
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...
Persistent link: https://www.econbiz.de/10011852573