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Can Global Liquidity Forecast Asset Prices?1

Can Global Liquidity Forecast Asset Prices?1 »

Source: Can Global Liquidity Forecast Asset Prices?

Volume/Issue: 2010/196

Series: IMF Working Papers

Author(s): Reginald Darius

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455205264

Keywords: Asset Price, Spillover Analysis, central bank, global financial crisis, private credit, Financial Markets and the Macroeconomy,

During the period leading up to the global financial crisis many asset classes registered rapid price increases. This coincided with a significant rise in global liquidity. This paper attempts to determine the exte...

Chapter III. Globalization and External Imbalances

Chapter III. Globalization and External Imbalances »

Source: World Economic Outlook, April 2005 : Globalization and External Balances

Series: World Economic Outlook

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 September 2004

ISBN: 9781589064294

Keywords: remittances, debt, foreign assets, interest, oil prices

External current account deficits or surpluses in some major economic areas—notably the United States and Asia—have reached record-high levels, and expectations are that they will stay large or increase for...

Country Transparency and the Global Transmission of Financial Shocks

Country Transparency and the Global Transmission of Financial Shocks »

Source: Country Transparency and the Global Transmission of Financial Shocks

Volume/Issue: 2013/156

Series: IMF Working Papers

Author(s): Luis Brandao Marques , R. Gelos , and Natalia Melgar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 July 2013

ISBN: 9781484397237

Keywords: transmission of global financial shocks, bond, stock returns, equity markets, bond spreads, bond returns, Asset Pricing,

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...

Currency Risk Premia in Global Stock Markets

Currency Risk Premia in Global Stock Markets »

Source: Currency Risk Premia in Global Stock Markets

Volume/Issue: 2006/194

Series: IMF Working Papers

Author(s): Matthew Merritt , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

ISBN: 9781451864540

Keywords: Arbitrage pricing theory, risk prices, asset pricing, exchange rate, currency risk, exchange risk, foreign exchange risk, International Finance Forecasting and Simulation,

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedgi...

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Source: Global Factors in the Term Structure of Interest Rates

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...

Global Imbalances

Global Imbalances »

Source: Global Imbalances : In Midstream?

Volume/Issue: 2009/29

Series: IMF Staff Position Notes

Author(s): Gian Milesi-Ferretti , and Olivier Blanchard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 December 2009

ISBN: 9781462333387

Keywords: Financial crisis, Capital flows, Asset prices, Current account deficits, Cross country analysis, Capital markets, Private savings, Private investment, Investment, International financial system

...

Global Imbalances
			: In Midstream?

Global Imbalances : In Midstream? »

Volume/Issue: 2009/29

Series: IMF Staff Position Notes

Author(s): Gian Milesi-Ferretti , and Olivier Blanchard

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 December 2009

DOI: http://dx.doi.org/10.5089/9781462333387.004

ISBN: 9781462333387

Keywords: Financial crisis, Capital flows, Asset prices, Current account deficits, Cross country analysis, Capital markets, Private savings, Private investment, Investment, International financial system

...

Country Transparency and the Global Transmission of Financial Shocks

Country Transparency and the Global Transmission of Financial Shocks »

Volume/Issue: 2013/156

Series: IMF Working Papers

Author(s): Luis Brandao Marques , R. Gelos , and Natalia Melgar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 July 2013

DOI: http://dx.doi.org/10.5089/9781484397237.001

ISBN: 9781484397237

Keywords: transmission of global financial shocks, bond, stock returns, equity markets, bond spreads, bond returns, Asset Pricing,

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...

Currency Risk Premia in Global Stock Markets

Currency Risk Premia in Global Stock Markets »

Volume/Issue: 2006/194

Series: IMF Working Papers

Author(s): Matthew Merritt , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

DOI: http://dx.doi.org/10.5089/9781451864540.001

ISBN: 9781451864540

Keywords: Arbitrage pricing theory, risk prices, asset pricing, exchange rate, currency risk, exchange risk, foreign exchange risk, International Finance Forecasting and Simulation,

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedgi...

Determinants of Sovereign Bond Spreads in Emerging Markets
			: Local Fundamentals and Global Factors vs. Ever-Changing Misalignments

Determinants of Sovereign Bond Spreads in Emerging Markets : Local Fundamentals and Global Factors vs. Ever-Changing Misalignments »

Volume/Issue: 2013/164

Series: IMF Working Papers

Author(s): Balazs Csonto , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 July 2013

DOI: http://dx.doi.org/10.5089/9781475573206.001

ISBN: 9781475573206

Keywords: Emerging market debt, spreads, misalignment, bond, bond spreads, emerging market bond, market bond, Asset Pricing,

We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developme...