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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...

Vietnam

Vietnam »

Source: Vietnam : Bayesian Estimation of Output Gap

Volume/Issue: 2010/149

Series: IMF Working Papers

Author(s): Wojciech Maliszewski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2010

ISBN: 9781455201327

Keywords: Output Gap, Unobservable Component Model, Bayesian Methods, equation, equations, real interest rate, monetary policy, Model Construction and Estimation, Viet Nam,

The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, while treating the output gap as an unobservable series to be estimated together with other para...

Institutions Rule

Institutions Rule »

Source: Institutions Rule : The Primacy of Institutions over Integration and Geography in Economic Development

Volume/Issue: 2002/189

Series: IMF Working Papers

Author(s): Arvind Subramanian , Francesco Trebbi , and Dani Rodrik

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2002

ISBN: 9781451859621

Keywords: Institutions, integration, geography, equation, statistics, dummy variable, equations, samples, Macroeconomic Analyses of Economic Development, Capitalist Systems: Political Economy

We estimate the respective contributions of institutions, geography, and trade in determining cross-country income levels using recently developed instruments for institutions and trade. Our results indicate that t...

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...

The Hedonic Country Product Dummy Method and Quality Adjustments for Purchasing Power Parity Calculations

The Hedonic Country Product Dummy Method and Quality Adjustments for Purchasing Power Parity Calculations »

Source: The Hedonic Country Product Dummy Method and Quality Adjustments for Purchasing Power Parity Calculations

Volume/Issue: 2009/271

Series: IMF Working Papers

Author(s): Mick Silver

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874167

Keywords: Country-Product-Dummy Method, International Comparisons Program, CPD, silver, equation, statistics, econometrics, logarithms

The 2005 International Comparison Program's (ICP) estimates of economy-wide purchasing power parity (PPP) are based on parity estimates for 155 basic expenditure headings, mainly estimated using country product dum...

Contagion, Monsoons, and Domestic Turmoil in Indonesia

Contagion, Monsoons, and Domestic Turmoil in Indonesia »

Source: Contagion, Monsoons, and Domestic Turmoil in Indonesia : A Case Study in the Asian Currency Crisis

Volume/Issue: 2000/60

Series: IMF Working Papers

Author(s): Sweta Saxena , and Valerie Cerra

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2000

ISBN: 9781451848045

Keywords: Currency crisis, Contagion, Markov-switching models, probability, probabilities, asian crisis, equation

This paper investigates whether Indonesia’s recent currency crisis was due to domestic fundamentals, common external shocks (“monsoons”), or contagion from neighboring countries. Markov-switchi...

Dread of Depreciation

Dread of Depreciation »

Source: Dread of Depreciation : Measuring Real Exchange Rate Interventions

Volume/Issue: 2002/63

Series: IMF Working Papers

Author(s): Jayasri Dutta

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2002

ISBN: 9781451848434

Keywords: interventions, parity conditions, exchange rates, exchange rate, real exchange rate, equation,

We specify an empirical framework to detect the effects of official intervention on real exchange rate dynamics. Using data for 27 advanced and emerging market economies, we find evidence that interventions are a n...

Saving Behavior in Low and Middle-Income Developing Countries

Saving Behavior in Low and Middle-Income Developing Countries »

Source: Saving Behavior in Low and Middle-Income Developing Countries : A Comparison

Volume/Issue: 1995/3

Series: IMF Working Papers

Author(s): Masao Ogaki , Jonathan Ostry , and Carmen Reinhart

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1995

ISBN: 9781451841848

Keywords: real interest rates, cointegration, equation, real rate of interest, real interest rate

The impact of changes in real interest rates on saving and growth is a central issue in development economics. According to one familiar view, a financial liberalization program which increases real interest rates...

Interest Rate Arbitrage in Currency Baskets

Interest Rate Arbitrage in Currency Baskets »

Source: Interest Rate Arbitrage in Currency Baskets : Forecasting Weights and Measuring Risk

Volume/Issue: 1999/16

Series: IMF Working Papers

Author(s): Peter Christoffersen , and Lorenzo Giorgianni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1999

ISBN: 9781451843385

Keywords: Time-varying Parameters, Cointegration, Exchange Rates, exchange rate, equation, statistics, currency basket

When constructing hedged interest rate arbitrage portfolios for basket currencies, two issues arise: first, how are the unknown future basket weights optimally forecasted from past exchange rate data? And, second,...

What Drives Household Borrowing and Credit Constraints? Evidence from Bosnia and Herzegovina

What Drives Household Borrowing and Credit Constraints? Evidence from Bosnia and Herzegovina »

Source: What Drives Household Borrowing and Credit Constraints? Evidence from Bosnia and Herzegovina

Volume/Issue: 2008/202

Series: IMF Working Papers

Author(s): Ke Chen Chen , and Mali Chivakul

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2008

ISBN: 9781451870602

Keywords: household debt, credit constraints, probability, credit market, credit constraint, equation, Bosnia, Herzegovina,

Although Bosnia and Herzegovina (BiH) has experienced rapid growth in credit to households in recent years, most individuals are still credit constrained. This paper analyzes the determinants of household credit de...