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Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume

Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume »

Source: Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume

Volume/Issue: 1994/126

Series: IMF Working Papers

Author(s): Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1994

ISBN: 9781451854879

Keywords: transactions costs, equation, explanatory power, statistics, orthogonality

The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The le...

The Use of Financial Spreads As Indicator Variables

The Use of Financial Spreads As Indicator Variables »

Source: The Use of Financial Spreads As Indicator Variables : Evidence for the U.K. and Germany

Volume/Issue: 1994/31

Series: IMF Working Papers

Author(s): E. Davis , and S. Henry

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1994

ISBN: 9781451844986

Keywords: equations, equation, bond, bonds, explanatory power

There has been growing interest in the use of financial spreads as advance indicators of real activity and inflation. Empirical evidence is marshalled on a range of spreads when these are used in vector autoregress...

The Impact of Economic Securityon Bank Deposits and Investment1

The Impact of Economic Securityon Bank Deposits and Investment1 »

Source: The Impact of Economic Securityon Bank Deposits and Investment

Volume/Issue: 1998/98

Series: IMF Working Papers

Author(s): Michael Fabricius

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 1998

ISBN: 9781451852110

Keywords: Economic Security, Institutions, Bank Deposits, institutional variables, correlation, explanatory power, institutional quality, standard deviation

This paper highlights the importance of institutions in explaining the variation of investment rates and of two measures of bank deposits across countries. A general index of economic security is created for 130 co...

Development Accounting and the Rise of TFP

Development Accounting and the Rise of TFP »

Source: Development Accounting and the Rise of TFP

Volume/Issue: 2010/101

Series: IMF Working Papers

Author(s): Reda Cherif , and Rabah Arezki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

ISBN: 9781451982787

Keywords: Development Accounting, Income Differences, TFP, logarithm, explanatory power, covariance, economic growth, Macroeconomics: Production,

The paper presents evidence that the contribution of differences in total factor productivity (TFP) to income differences across countries steadily increased between 1970 and 2000. We verify that our finding is nei...

Explaining Consumption

Explaining Consumption »

Source: Explaining Consumption : A Simple Test of Alternative Hypotheses

Volume/Issue: 1997/56

Series: IMF Working Papers

Author(s): Tamim Bayoumi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 1997

ISBN: 9781451968439

Keywords: Risk Sharing, Liquidity Constraints, disposable income, equation, permanent income, explanatory power, nondurable consumption

A method of testing the relative importance for consumption of risk sharing behavior and changes in current income is proposed and estimated using data across Canadian provinces. The focus of the estimation is less...

Currency Unions, Economic Fluctuations, and Adjustment

Currency Unions, Economic Fluctuations, and Adjustment »

Source: Currency Unions, Economic Fluctuations, and Adjustment : Some New Empirical Evidence

Volume/Issue: 1996/81

Series: IMF Working Papers

Author(s): Eswar Prasad , and Tamim Bayoumi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1996

ISBN: 9781451955163

Keywords: Currency unions, economic fluctuations, labor market adjustment, labor market, dummy variables, explanatory power, labor markets

This paper examines the sources of disturbances to output in the United States and a set of EU countries and analyzes labor market adjustment mechanisms in these two economic areas. Comparable datasets comprising 1...

Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume

Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume »

Volume/Issue: 1994/126

Series: IMF Working Papers

Author(s): Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1994

DOI: http://dx.doi.org/10.5089/9781451854879.001

ISBN: 9781451854879

Keywords: transactions costs, equation, explanatory power, statistics, orthogonality

The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The le...

The Use of Financial Spreads As Indicator Variables
			: Evidence for the U.K. and Germany

The Use of Financial Spreads As Indicator Variables : Evidence for the U.K. and Germany »

Volume/Issue: 1994/31

Series: IMF Working Papers

Author(s): E. Davis , and S. Henry

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1994

DOI: http://dx.doi.org/10.5089/9781451844986.001

ISBN: 9781451844986

Keywords: equations, equation, bond, bonds, explanatory power

There has been growing interest in the use of financial spreads as advance indicators of real activity and inflation. Empirical evidence is marshalled on a range of spreads when these are used in vector autoregress...

A Financial Conditions Index for South Africa

A Financial Conditions Index for South Africa »

Source: A Financial Conditions Index for South Africa

Volume/Issue: 2012/196

Series: IMF Working Papers

Author(s): Nombulelo Gumata , Eliphas Ndou , and Nir Klein

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505450

Keywords: Financial conditions index, factor analysis, gdp growth, explanatory power, granger causality, standard deviation, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,

The main purpose of this paper is to construct a financial conditions index (FCI) for South Africa. The analysis extracts the index by applying two alternative approaches (principal component analysis and Kalman fi...

The Impact of Economic Securityon Bank Deposits and Investment

The Impact of Economic Securityon Bank Deposits and Investment »

Volume/Issue: 1998/98

Series: IMF Working Papers

Author(s): Michael Fabricius

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 1998

DOI: http://dx.doi.org/10.5089/9781451852110.001

ISBN: 9781451852110

Keywords: Economic Security, Institutions, Bank Deposits, institutional variables, correlation, explanatory power, institutional quality, standard deviation

This paper highlights the importance of institutions in explaining the variation of investment rates and of two measures of bank deposits across countries. A general index of economic security is created for 130 co...