Browse

You are looking at 1 - 10 of 30 items :

  • IMF Working Papers x
Clear All
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...

Do Credit Shocks Matter? A Global Perspective

Do Credit Shocks Matter? A Global Perspective »

Source: Do Credit Shocks Matter? A Global Perspective

Volume/Issue: 2010/261

Series: IMF Working Papers

Author(s): Thomas Helbling , Ayhan Kose , Christopher Otrok , and Raju Huidrom

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455209613

Keywords: credit spreads, macroeconomic fluctuations, global recession, recession, recessions, global recessions, financial markets, Financial Markets and the Macroeconomy, Financial Aspects of Economic Integration, Open Economy Macroeconomics

This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of th...

Effects of Globalization on Labor's Share in National Income

Effects of Globalization on Labor's Share in National Income »

Source: Effects of Globalization on Labor's Share in National Income

Volume/Issue: 2006/294

Series: IMF Working Papers

Author(s): Anastasia Guscina

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865547

Keywords: Labor&;amp;#x2019;s share, capital&;amp;#x2019;s share, labor protection, bargaining power, compensation share, employment share, Heckscher-Ohlin theorem, employment, employment protection, labor share

The past two decades have seen a decline in labor's share of national income in several industrial countries. This paper analyzes the role of three factors in explaining movements in labor's share--factor-biased te...

Financial Globalization and Monetary Policy

Financial Globalization and Monetary Policy »

Source: Financial Globalization and Monetary Policy

Volume/Issue: 2007/279

Series: IMF Working Papers

Author(s): Michael Devereux , and Alan Sutherland

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 December 2007

ISBN: 9781451868425

Keywords: Portfolio Choice, International Risk Sharing, exchange rate, price stability, interest rate, current account,

What does financial globalization imply for the design of monetary policy? Does the case for price stability change in an environment of large cross country gross asset holdings?. This paper is concerned with the e...

Financial Globalization, Portfolio Diversification, and the Pattern of International Trade

Financial Globalization, Portfolio Diversification, and the Pattern of International Trade »

Source: Financial Globalization, Portfolio Diversification, and the Pattern of International Trade

Volume/Issue: 2003/233

Series: IMF Working Papers

Author(s): Miklós Koren

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875614

Keywords: financial globalization, trade volume, trade structure, incomplete markets, portfolio choice, financial markets, international financial, Neoclassical Models of Trade, Financial Aspects of Economic Integration,

The paper provides a general-equilibrium model where incomplete international financial markets lead to insufficient industrial specialization and low international trade. As international portfolio diversification...

Global Business Cycles

Global Business Cycles »

Source: Global Business Cycles : Convergence or Decoupling?

Volume/Issue: 2008/143

Series: IMF Working Papers

Author(s): Ayhan Kose , Eswar Prasad , and Christopher Otrok

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2008

ISBN: 9781451870015

Keywords: macroeconomic fluctuations, convergence, decoupling, business cycle, globalization period, business cycle fluctuations,

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups-industrial countries, emerging markets,...

The Global Macroeconomic Costs of Raising Bank Capital Adequacy Requirements

The Global Macroeconomic Costs of Raising Bank Capital Adequacy Requirements »

Source: The Global Macroeconomic Costs of Raising Bank Capital Adequacy Requirements

Volume/Issue: 2012/44

Series: IMF Working Papers

Author(s): Francis Vitek , and Scott Roger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2012

ISBN: 9781463936457

Keywords: Basel III, inflation, monetary fund, Financial Markets and the Macroeconomy, Open Economy Macroeconomics, Financial Institutions and Services: Government Policy and Regulation,

This paper examines the transitional macroeconomic costs of a synchronized global increase in bank capital adequacy requirements under Basel III, as well as a capital increase covering globally systemically importa...

Globalization, the Business Cycle, and Macroeconomic Monitoring

Globalization, the Business Cycle, and Macroeconomic Monitoring »

Source: Globalization, the Business Cycle, and Macroeconomic Monitoring

Volume/Issue: 2011/25

Series: IMF Working Papers

Author(s): S. Boragan Aruoba , Marco Terrones , Ayhan Kose , and Francis Diebold

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2011

ISBN: 9781455216727

Keywords: Expansion, Contraction, Recession, Turning Point, Dynamic factor model, Nowcasting, Real-time analysis, business cycle, business cycles, correlations

We propose and implement a framework for characterizing and monitoring the global business cycle. Our framework utilizes high-frequency data, allows us to account for a potentially large amount of missing observati...

How Has The Globalization of Labor Affected the Labor Income Share in Advanced Countries?

How Has The Globalization of Labor Affected the Labor Income Share in Advanced Countries? »

Source: How Has The Globalization of Labor Affected the Labor Income Share in Advanced Countries?

Volume/Issue: 2007/298

Series: IMF Working Papers

Author(s): Florence Jaumotte , and Irina Tytell

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2007

ISBN: 9781451868616

Keywords: offshoring, outsourcing, labor share, skills, translog revenue function, labor compensation, compensation, labor market, labor force,

Labor markets around the world have become increasingly integrated over the last two decades, with the entry of China, India and the former Eastern bloc into the world trading system, the removal of restrictions on...

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...