Narrow search
Showing 1 - 10 of 849
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
Systemic Risk and Asymmetric Responses in the Financial Industry
López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012
To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...
Persistent link: https://www.econbiz.de/10011142002
Cover Image
Country Transparency and the Global Transmission of Financial Shocks
Marques, Luís Brandão; Gelos, Gaston; Melgar, Natalia - International Monetary Fund (IMF) - 2013
This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers. We provide a simple model where, in the presence of ambiguity (uncertainty about the probability distribution of returns), prices in emerging...
Persistent link: https://www.econbiz.de/10011142117
Cover Image
What’s in it for Me? A Primeron Differences between Islamic and Conventional Finance in Malaysia
Krasicka, Olga; Nowak, Sylwia - International Monetary Fund (IMF) - 2012
What attracts conventional investors to Islamic financial instruments? We answer this question by comparing Malaysian Islamic and conventional security prices and their response to macrofinancial factors. Our analysis suggests that Islamic and conventional bond and equity prices are driven by...
Persistent link: https://www.econbiz.de/10011142164
Cover Image
Asset Price Bubbles; A Selective Survey
Scherbina, Anna - International Monetary Fund (IMF) - 2013
Why do asset price bubbles continue to appear in various markets? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. Unlike the standard rational models, the new literature is able to model...
Persistent link: https://www.econbiz.de/10011242201
Cover Image
Foreign Investors Under Stress; Evidence from India
Patnaik, Ila; Shah, Ajay; Singh, Nirvikar - International Monetary Fund (IMF) - 2013
Emerging market policy makers have been concerned about the financial stability implications of financial globalization. These concerns are focused on behavior under stressed conditions. Do tail events in the home country trigger off extreme responses by foreign investors – are foreign...
Persistent link: https://www.econbiz.de/10011242270
Cover Image
Risk Exposures and Financial Spillovers in Tranquil and Crisis Times; Bank-Level Evidence
Poirson, Hélène; Schmittmann, Jochen M. - International Monetary Fund (IMF) - 2013
For a sample of 83 financial institutions during 2003–2011, this paper attempts to answer three questions: first, what is the evolution of banks’ stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics...
Persistent link: https://www.econbiz.de/10011242342
Cover Image
The Evolution of Asian Financial Linkages; Key Determinants and the Role of Policy
Elekdag, Selim; Rungcharoenkitkul, Phurichai; Wu, Yiqun - International Monetary Fund (IMF) - 2012
This paper examines how Asian financial linkages with systemic economies have changed over time. After developing a factor model, it estimates Asian financial sensitivities to systemic economies, and then seeks to uncover their key determinants, which include trade and financial linkages, as...
Persistent link: https://www.econbiz.de/10011242367