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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...

How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis

How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis »

Source: How to Stop a Herd of Running Bears? Market Response to Policy Initiatives during the Global Financial Crisis

Volume/Issue: 2009/204

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873511

Keywords: Crisis, policy, announcement, event, financial, monetary, fiscal, bank, bank bailouts, recapitalization

This paper examines the impact of macroeconomic and financial sector policy announcements in the United States, the United Kingdom, the euro area, and Japan during the recent crisis on interbank credit and liquidit...

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...

What Drives House Prices in Australia? A+L4584 Cross-Country Approach

What Drives House Prices in Australia? A+L4584 Cross-Country Approach »

Source: What Drives House Prices in Australia? A+L4584 Cross-Country Approach

Volume/Issue: 2010/291

Series: IMF Working Papers

Author(s): Shengzu Wang , and Patrizia Tumbarello

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455211722

Keywords: House prices, cointegration, VECM, event analysis, capital inflow, trade shocks, terms of trade shocks,

This paper analyzes the factors driving house prices in Australia from a cross-country perspective using several approaches. It uses a cointegration technique to estimate the long-run equilibrium house prices in Au...

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...

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...