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Do survey expectations of stock returns reflect risk adjustments?
Adam, Klaus; Matveev, Dmitry; Nagel, Stefan - 2019
Motivated by the observation that survey expectations of stock returns are inconsistent with rational return … literature on asset pricing are consistent with the survey evidence. We empirically test (1) the notion that survey forecasts … constitute rational but risk-neutral forecasts of future returns, and (2) the notion that survey forecasts are ambiguity averse …
Persistent link: https://www.econbiz.de/10011992454
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Pluralism and heterodoxy in economic methodology
Holcombe, Randall - In: The Review of Austrian Economics 24 (2011) 1, pp. 57-65
Persistent link: https://www.econbiz.de/10008926359
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India; Selected Issues
International Monetary Fund (IMF); International … - 2009
Despite the external origin of the financial crisis, the potential impact on India’s corporate sector could be large, as India has become increasingly integrated with the global economy in the past decade. The Selected Issues paper discusses India’s economic development and...
Persistent link: https://www.econbiz.de/10011244625
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United Kingdom; Selected Issues Paper
International Monetary Fund (IMF); International … - 2010
This paper estimates the extent of spare capacity in the U.K. economy using a range of methodologies pointing to an output gap and the behavior of inflation during large output gaps. The usefulness of fiscal rules in supporting fiscal consolidation is generally positive, and a more permanent...
Persistent link: https://www.econbiz.de/10011244859
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PPP Strikes Back; Aggregation and the Real Exchange Rate
Mumtaz, Haroon; Imbs, Jean; Ravn, Morten O.; Rey, Helene - International Monetary Fund (IMF) - 2003
We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When...
Persistent link: https://www.econbiz.de/10005248142
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Target Zones and Forward Rates in a Model with Repeated Realignments
Bodnar, Gordon M.; Bartolini, Leonardo - International Monetary Fund (IMF) - 1992
This paper studies the implications of the imperfect credibility of an exchange rate target zone on the term structure of forward premia. The relationship between spot and forward exchange rates of different maturities reflects the possibility of repeated realignments of the exchange rate band....
Persistent link: https://www.econbiz.de/10005248258
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Contagion, Monsoons, and Domestic Turmoil in Indonesia; A Case Study in the Asian Currency Crisis
Saxena, Sweta Chaman; Cerra, Valerie - International Monetary Fund (IMF) - 2000
This paper investigates whether Indonesia’s recent currency crisis was due to domestic fundamentals, common external shocks (“monsoons”), or contagion from neighboring countries. Markov-switching models attribute speculative pressure on Indonesia’s currency to domestic political and...
Persistent link: https://www.econbiz.de/10005248271
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Common and Idiosyncratic Components in Real Output; Further International Evidence
Simone, Francisco Nadal-De - International Monetary Fund (IMF) - 2002
This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, the rest of the euro area, and the United States. An index of concordance and its...
Persistent link: https://www.econbiz.de/10005263734
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Growth and Convergence in WAEMU Countries
Wane, Abdoul Aziz - International Monetary Fund (IMF) - 2004
This paper investigates convergence and dynamic effects of human and physical capital on growth, in WAEMU countries. Using recently developed models for panel data and a growth accounting model, the study finds that growth is largely explained by changes in literacy rates and factor...
Persistent link: https://www.econbiz.de/10005263809
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The Determinants of International Portfolio Holdings and Home Bias
Li, Shujing; Faruqee, Hamid; Yan, Isabel K. - International Monetary Fund (IMF) - 2004
-bias phenomenon is still found to exist. Using a relatively new IMF survey dataset of cross-border equity holdings, this paper tests …
Persistent link: https://www.econbiz.de/10005263868