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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...

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...

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...

The New Economy and Global Stock Returns

The New Economy and Global Stock Returns »

Volume/Issue: 2000/216

Series: IMF Working Papers

Author(s): Luis Catão , and Robin Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

DOI: http://dx.doi.org/10.5089/9781451875089.001

ISBN: 9781451875089

Keywords: portfolio diversification, international financial integration, new economy, stock returns, stock market, equity markets, standard deviations, standard deviation

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple...

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...

The New Economy and Global Stock Returns

The New Economy and Global Stock Returns »

Source: The New Economy and Global Stock Returns

Volume/Issue: 2000/216

Series: IMF Working Papers

Author(s): Luis Catão , and Robin Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

ISBN: 9781451875089

Keywords: portfolio diversification, international financial integration, new economy, stock returns, stock market, equity markets, standard deviations, standard deviation

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple...