Search Results

You are looking at 1 - 10 of 32 items

  • Keyword: Comovement x
Clear All Modify Search
The Myth of Comoving Commodity Prices

The Myth of Comoving Commodity Prices »

Source: The Myth of Comoving Commodity Prices

Volume/Issue: 1999/169

Series: IMF Working Papers

Author(s): C. McDermott , Alasdair Scott , and Paul Cashin

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1999

ISBN: 9781451858327

Keywords: Commodity prices, concordance, comovement, statistic, time series, correlation, statistics

There is a common perception that the prices of unrelated commodities move together. This paper re-examines this notion, using a measure of comovement of economic time series called concordance. Concordance measure...

Correlations in Emerging Market Bonds

Correlations in Emerging Market Bonds »

Source: Correlations in Emerging Market Bonds : The Role of Local and Global Factors

Volume/Issue: 2010/6

Series: IMF Working Papers

Author(s): A. Hamann , Irina Bunda , and Subir Lall

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2010

ISBN: 9781451961775

Keywords: financial crises, comovement, contagion, correlations, bond, bonds, correlation, bond returns,

This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to des...

The Comovement in Commodity Prices

The Comovement in Commodity Prices »

Source: The Comovement in Commodity Prices : Sources and Implications

Volume/Issue: 2013/140

Series: IMF Working Papers

Author(s): Ron Alquist , and Olivier Coibion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 June 2013

ISBN: 9781484378144

Keywords: comovement, factor models, factor analysis, global production, agricultural commodities, idiosyncratic shocks, International Business Cycles, comovement: factor models,

We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the co...

Trade Openness and Volatility

Trade Openness and Volatility »

Source: Trade Openness and Volatility

Volume/Issue: 2008/146

Series: IMF Working Papers

Author(s): Andrei Levchenko , and Julian Di Giovanni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2008

ISBN: 9781451870046

Keywords: Output Volatility, Specialization, Comovement, Sector-Level Data, trade openness, aggregate volatility, correlation, equation, output growth,

This paper examines the mechanisms through which output volatility is related to trade openness using an industry-level panel dataset of manufacturing production and trade. The main results are threefold. First, se...

Capital Flows are Fickle

Capital Flows are Fickle »

Source: Capital Flows are Fickle : Anytime, Anywhere

Volume/Issue: 2013/183

Series: IMF Working Papers

Author(s): John Bluedorn , Rupa Duttagupta , Jaime Guajardo , and Petia Topalova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 August 2013

ISBN: 9781484389041

Keywords: international capital flows, volatility, persistence, comovement, global factors, net capital flows, capital inflows, private capital flows,

Has the unprecedented financial globalization of recent years changed the behavior of capital flows across countries? Using a newly constructed database of gross and net capital flows since 1980 for a sample of nea...

Sectorial Macroeconomic Interdependencies

Sectorial Macroeconomic Interdependencies »

Source: Sectorial Macroeconomic Interdependencies : Evidence for Latin America, East Asia and Europe

Volume/Issue: 1999/11

Series: IMF Working Papers

Author(s): Norman Loayza , J. Lopez , and Angel Ubide

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1999

ISBN: 9781451842760

Keywords: International Comovements, Currency Areas, Error Components Models, common, output growth, andean pact, trade integration, regional trade

This paper analyzes common economic patterns across countries and economic sectors in Latin America, East Asia and Europe for the period 1970–94 by means of an error-components model that decomposes real val...

On the Pattern of Currency Blocs in Africa

On the Pattern of Currency Blocs in Africa »

Source: On the Pattern of Currency Blocs in Africa

Volume/Issue: 2005/45

Series: IMF Working Papers

Author(s): Etienne Yehoue

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2005

ISBN: 9781451860641

Keywords: Anchor, Currency Bloc, Comovement of Prices and Output, Trade Network Externalities, monetary union, inflation, average trade, trade share, monetary integration, International Monetary Arrangements and Institutions

This paper seeks to elucidate the debate over currency union in Africa. The paper examines whether empirical investigation points to the gradual emergence of currency blocs. Based on the historical data on inflatio...

Can the Standard International Business Cycle Model Explain the Relation Between Trade and Comovement?

Can the Standard International Business Cycle Model Explain the Relation Between Trade and Comovement? »

Source: Can the Standard International Business Cycle Model Explain the Relation Between Trade and Comovement?

Volume/Issue: 2005/204

Series: IMF Working Papers

Author(s): Kei-Mu Yi , and Ayhan Kose

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2005

ISBN: 9781451862232

Keywords: international business cycle comovement, trade intensity, correlation, transport costs, bilateral trade, correlations, Macroeconomic Aspects Of International Trade And Finance,

Recent empirical research finds that pairs of countries with stronger trade linkages tend to have more highly correlated business cycles. We assess whether the standard international business cycle framework can re...

Putting the Parts Together

Putting the Parts Together »

Source: Putting the Parts Together : Trade, Vertical Linkages, and Business Cycle Comovement

Volume/Issue: 2009/181

Series: IMF Working Papers

Author(s): Andrei Levchenko , and Julian Di Giovanni

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

ISBN: 9781451873283

Keywords: Business cycle comovement, vertical linkages, correlation, bilateral trade, impact of trade, correlations, output growth, Macroeconomic Aspects Of International Trade And Finance,

Countries that trade more with each other exhibit higher business cycle correlation. This paper examines the mechanisms underlying this relationship using a large cross-country industry-level panel dataset of manuf...

Additions to Market Indices and the Comovement of Stock Returns Around the World

Additions to Market Indices and the Comovement of Stock Returns Around the World »

Source: Additions to Market Indices and the Comovement of Stock Returns Around the World

Volume/Issue: 2011/47

Series: IMF Working Papers

Author(s): Yishay Yafeh , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455218950

Keywords: Index inclusion, stock price comovements, category, habitat and information theories, index-based investment, investors, institutional investors, stock market, stock price, stock prices,

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms' returns experience an increase in comovement with the rest of the index, refle...