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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns1

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns1 »

Source: A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

Volume/Issue: 2005/52

Series: IMF Working Papers

Author(s): Marco Del Negro , and Robin Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

ISBN: 9781451860719

Keywords: Diversification, risk, stock returns, standard deviation, equation, standard deviations, correlation,

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...

Currency Crises

Currency Crises »

Source: Currency Crises : In Search of Common Elements

Volume/Issue: 2000/67

Series: IMF Working Papers

Author(s): Ranil Salgado , Jahangir Aziz , and Francesco Caramazza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

ISBN: 9781451848892

Keywords: Currency Crises, outliers, banking crises, standard deviations, standard deviation

The paper seeks to identify common characteristics among a variety of macroeconomic and financial variables for a large sample of currency crises in industrial countries and emerging market economies. It covers cri...

Philippines: Selected Issues

Philippines: Selected Issues »

Source: Philippines : Selected Issues

Volume/Issue: 2006/181

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2006

ISBN: 9781451831375

Keywords: external debt, foreign currency, standard deviation, financial institutions

This Selected Issues paper on the Philippines reviews the diminished volatility of the Republic of Philippines bonds (RoPs), even through a period of extended turbulence cannot be attributed solely to the sanguine...

Philippines: Selected Issues

Philippines: Selected Issues »

Source: Philippines : Selected Issues

Volume/Issue: 2006/181

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2006

ISBN: 9781451831375

Keywords: external debt, foreign currency, standard deviation, financial institutions

This Selected Issues paper on the Philippines reviews the diminished volatility of the Republic of Philippines bonds (RoPs), even through a period of extended turbulence cannot be attributed solely to the sanguine...

Philippines: Selected Issues

Philippines: Selected Issues »

Source: Philippines : Selected Issues

Volume/Issue: 2006/181

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2006

ISBN: 9781451831375

Keywords: external debt, foreign currency, standard deviation, financial institutions

This Selected Issues paper on the Philippines reviews the diminished volatility of the Republic of Philippines bonds (RoPs), even through a period of extended turbulence cannot be attributed solely to the sanguine...

Philippines: Selected Issues

Philippines: Selected Issues »

Source: Philippines : Selected Issues

Volume/Issue: 2006/181

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2006

ISBN: 9781451831375

Keywords: external debt, foreign currency, standard deviation, financial institutions

This Selected Issues paper on the Philippines reviews the diminished volatility of the Republic of Philippines bonds (RoPs), even through a period of extended turbulence cannot be attributed solely to the sanguine...

How Intensive Is Competition in the Emerging Markets? An Analysis of Corporate Rates of Return from Nine Emerging Markets

How Intensive Is Competition in the Emerging Markets? An Analysis of Corporate Rates of Return from Nine Emerging Markets »

Source: How Intensive Is Competition in the Emerging Markets? An Analysis of Corporate Rates of Return from Nine Emerging Markets

Volume/Issue: 1999/32

Series: IMF Working Papers

Author(s): Ajit Singh , Rudolph Matthias , and Jack Glen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1999

ISBN: 9781451845099

Keywords: Corporate Rates of Return, Intensity of Competition, Emerging Markets, standard deviation, equation, statistic

This large empirical study of corporate profitability in emerging markets during the 1980s and 1990s measures the intensity of competition. Data on corporate rates of return, profit margins, and output-capital rati...

Global Volatility and Forex Returns in East Asia1

Global Volatility and Forex Returns in East Asia1 »

Source: Global Volatility and Forex Returns in East Asia

Volume/Issue: 2008/208

Series: IMF Working Papers

Author(s): Sanjay Kalra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

ISBN: 9781451870664

Keywords: Forex returns, GARCH models, volatility, exchange rate, standard deviation, statistics, heteroscedasticity,

During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian countries, consistent with an overall "flight to safety" effect. Estimates from GARCH models sugge...

Emerging Market Spread Compression

Emerging Market Spread Compression »

Source: Emerging Market Spread Compression : Is it Real or is it Liquidity?

Volume/Issue: 2008/10

Series: IMF Working Papers

Author(s): Laura Kodres , Kristian Hartelius , and Kenichiro Kashiwase

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2008

ISBN: 9781451868722

Keywords: Sovereign Spreads, Fundamentals, bond, bond spreads, market bond, emerging market bond, standard deviation,

Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global li...

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns »

Volume/Issue: 2005/52

Series: IMF Working Papers

Author(s): Marco Del Negro , and Robin Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

DOI: http://dx.doi.org/10.5089/9781451860719.001

ISBN: 9781451860719

Keywords: Diversification, risk, stock returns, standard deviation, equation, standard deviations, correlation,

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...