Search Results

You are looking at 1 - 10 of 28 items

  • Keyword: Event studies x
Clear All Modify Search
A New Wave of ECB's Unconventional Monetary Policies: Domestic Impact and Spillovers

A New Wave of ECB's Unconventional Monetary Policies: Domestic Impact and Spillovers »

Source: A New Wave of ECB's Unconventional Monetary Policies: Domestic Impact and Spillovers

Volume/Issue: 2018/11

Series: IMF Working Papers

Author(s): Richard Varghese , and Yuanyan Sophia Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 January 2018

ISBN: 9781484338544

Keywords: Yield Curve, Quantitative Easing, Event Study, General, General

ECB President Draghi's Jackson Hole speech in August 2014 arguably marked a new phase of unconventional monetary policies (UMPs) in the euro area. This paper examines the market impact and tranmission channels of t...

Corporate Restructuring in Japan

Corporate Restructuring in Japan »

Source: Corporate Restructuring in Japan : An Event-Study Analysis

Volume/Issue: 2001/202

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2001

ISBN: 9781451874402

Keywords: corporate restructuring, event-study analysis, stock price, shareholders, stock prices,

The implementation of the Commercial Rehabilitation Law (CRL) on April 1, 2000 was considered a key event in setting up the official infrastructure supporting corporate restructuring in Japan. This study evaluates...

Foreign Investors Under Stress

Foreign Investors Under Stress »

Source: Foreign Investors Under Stress : Evidence from India

Volume/Issue: 2013/122

Series: IMF Working Papers

Author(s): Ila Patnaik , Ajay Shah , and Nirvikar Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2013

ISBN: 9781484364529

Keywords: Event study, Extreme events, Foreign investors, stock market, equity market, financial globalization, stock market index, stock returns, Other,

Emerging market policy makers have been concerned about the financial stability implications of financial globalization. These concerns are focused on behavior under stressed conditions. Do tail events in the home...

Macroprudential Policy Spillovers

Macroprudential Policy Spillovers »

Source: Macroprudential Policy Spillovers : A Quantitative Analysis

Volume/Issue: 2017/170

Series: IMF Working Papers

Author(s): Heedon Kang , Francis Vitek , Rina Bhattacharya , Phakawa Jeasakul , Sònia Muñoz , Naixi Wang , and Rasool Zandvakil

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 July 2017

ISBN: 9781484310991

Keywords: Macroprudential policy; Macrofinancial spillovers; Event studies; Panel regressions; Structural models; Case studies, Macroprudential policy, Macrofinancial spillovers, Event studies, Panel regressions, Structural models, Case studies, International Policy Coordination and Transmission, Government Policy and Regulation

This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods. Event study and panel regression analyses find that liquidity and...

The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads1

The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads1 »

Source: The Effects of Data Transparency Policy Reforms on Emerging Market Sovereign Bond Spreads

Volume/Issue: 2017/74

Series: IMF Working Papers

Author(s): Sangyup Choi , and Yuko Hashimoto

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 March 2017

ISBN: 9781475589603

Keywords: data transparency, structural reforms, sovereign bond spreads, GDDS, SDDS, event study, General

We find that data transparency policy reforms, reflected in subscriptions to the IMF's Data Standards Initiatives (SDDS and GDDS), reduce the spreads of emerging market sovereign bonds. To overcome endogeneity issu...

Can Regional Cross-listings Accelerate Stock Market Development? Empirical Evidence from Sub-Saharan Africa

Can Regional Cross-listings Accelerate Stock Market Development? Empirical Evidence from Sub-Saharan Africa »

Source: Can Regional Cross-listings Accelerate Stock Market Development? Empirical Evidence from Sub-Saharan Africa

Volume/Issue: 2008/281

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

ISBN: 9781451871395

Keywords: regional approach, events study, stock market, stock market development, stock exchanges, stock exchange,

This study analyzes the impact of regional cross-listing of stocks on the depth of the stock markets in sub-Saharan Africa (SSA). It analyzes data from 1990 to 2007 for a panel of 13 stock markets in SSA countries,...

Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets

Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets »

Source: Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets

Volume/Issue: 1999/151

Series: IMF Working Papers

Author(s): Anthony Richards , and David Deddouche

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1999

ISBN: 9781451857016

Keywords: Event Study, Rating Changes, Bank Stock Prices, bond, stock prices, stock market, bank stocks, stock returns

This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies. The data suggest that downgrades on average have followed periods of negative cu...

The Impact of the Regional Cross-Listing of Stocks on Firm Value in Sub-Saharan Africa

The Impact of the Regional Cross-Listing of Stocks on Firm Value in Sub-Saharan Africa »

Source: The Impact of the Regional Cross-Listing of Stocks on Firm Value in Sub-Saharan Africa

Volume/Issue: 2009/99

Series: IMF Working Papers

Author(s): Olatundun Janet Adelegan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2009

ISBN: 9781451872460

Keywords: Regional cross-listing, event study, stock market, stock exchange, stock exchanges, capital market,

This paper examines the impact of regional cross-listing on stock prices. The sample consists of sub- Saharan African firms that have cross-listed during the period 1992-2008. Using event study methodology, the stu...

Sovereign Wealth Funds and Financial Stability-An Event Study Analysis

Sovereign Wealth Funds and Financial Stability-An Event Study Analysis »

Source: Sovereign Wealth Funds and Financial Stability-An Event Study Analysis

Volume/Issue: 2009/239

Series: IMF Working Papers

Author(s): Heiko Hesse , and Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873863

Keywords: Event Study, financial sector, financial markets, stock market, General Financial Markets: Government Policy and Regulation, Corporate Finance and Governance: General,

This paper examines financial stability issues that arise from the increased presence of sovereign wealth funds (SWFs) in global financial markets by assessing whether and how stock markets react to the announcemen...

Unconventional Monetary Policy and Asset Price Risk

Unconventional Monetary Policy and Asset Price Risk »

Source: Unconventional Monetary Policy and Asset Price Risk

Volume/Issue: 2013/190

Series: IMF Working Papers

Author(s): Shaun Roache , and Marina Rousset

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 August 2013

ISBN: 9781484383230

Keywords: Futures Pricing, Event Studies, futures contract, futures price, futures prices, risk-free interest rate, commodity futures contract,

We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a...