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Volatility and Predictability in National Stock Markets

Volatility and Predictability in National Stock Markets »

Source: Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?

Volume/Issue: 1996/29

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

ISBN: 9781451844757

Keywords: emerging markets, predictability, autocorrelation, cointegration, standard deviation

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been n...

Long

Long »

Source: Long : Horizon Exchange Rate Predictability?

Volume/Issue: 1997/6

Series: IMF Working Papers

Author(s): Lorenzo Giorgianni , and Jeremy Berkowitz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1997

ISBN: 9781451842265

Keywords: statistics, exchange rates, exchange rate, predictability, cointegration

Several authors have recently investigated the predictability of exchange rates by fitting a sequence of long-horizon error-correction regressions. By considering the implied vector error-correction model, we show...

Market Predictability of ECB Policy Decisions

Market Predictability of ECB Policy Decisions »

Source: Market Predictability of ECB Policy Decisions : A Comparative Examination

Volume/Issue: 2002/233

Series: IMF Working Papers

Author(s): Kevin Ross

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

ISBN: 9781451875607

Keywords: Central bank predictability, policy bias, communication, central bank, money market, financial markets, inflation, Policy Basis,

Many surveys of the ECB's monetary framework emphasize the inability of financial markets to correctly predict monetary policy decisions. At the same time, these surveys of financial market participants have given...

How Volatile and Unpredictable Are Aid Flows, and What Are the Policy Implications?

How Volatile and Unpredictable Are Aid Flows, and What Are the Policy Implications? »

Source: How Volatile and Unpredictable Are Aid Flows, and What Are the Policy Implications?

Volume/Issue: 2001/167

Series: IMF Working Papers

Author(s): A. Hamann , and Ales Bulir

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451858181

Keywords: external aid, volatility, predictability, IMF-supported programs, correlation, prediction, aid flows,

This paper examines empirical evidence on the volatility and uncertainty of aid flows, and the main policy implications. Aid is found to be more volatile than fiscal revenues- particularly in highly aid-dependent c...

Volatility of Development Aid

Volatility of Development Aid »

Source: Volatility of Development Aid : From the Frying Pan into the Fire?

Volume/Issue: 2006/65

Series: IMF Working Papers

Author(s): A. Hamann , and Ales Bulir

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

ISBN: 9781451863253

Keywords: External aid, ODA, volatility, predictability, aid flows, correlation, Low Income Developing Countries,

The positive impact of foreign aid is limited by the erratic behavior of aid flows. The introduction in 1999 of various initiatives anchored in Poverty Reduction Strategy Papers (PRSPs) which were aimed at strength...

Give Trust a Chance-A Model of Trust in the Context of an IMF-Supported Program

Give Trust a Chance-A Model of Trust in the Context of an IMF-Supported Program »

Source: Give Trust a Chance-A Model of Trust in the Context of an IMF-Supported Program

Volume/Issue: 2007/42

Series: IMF Working Papers

Author(s): Daouda Sembene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2007

ISBN: 9781451866063

Keywords: Trust, IMF-supported Program, Program design and implementation, Negotiation, paper, probability, predictability, survey, predictions,

This paper is an attempt to identify the determinants of trust between country authorities and IMF staff in the context of an IMF-supported program. Using an outcomes-based definition of trust, a game-theoretic mod...

Money Market Integration

Money Market Integration »

Source: Money Market Integration

Volume/Issue: 2006/207

Series: IMF Working Papers

Author(s): Leonardo Bartolini , R. Spence Hilton , and Alessandro Prati

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

ISBN: 9781451864670

Keywords: Federal funds, Eurodollars, market segmentation, money market, eurodollar market, predictability, eurodollar markets, Financial Markets and the Macroeconomy,

We use transaction-level data and detailed modeling of the high-frequency behavior of federal funds and Eurodollar yield spreads to provide evidence of strong integration between the federal funds and Eurodollar ma...

Granger Predictability of Oil Prices After the Great Recession+

Granger Predictability of Oil Prices After the Great Recession+ »

Source: Granger Predictability of Oil Prices After the Great Recession

Volume/Issue: 2019/237

Series: IMF Working Papers

Author(s): Szilard Benk , and Max Gillman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2019

ISBN: 9781513518626

Keywords: Supply and demand, Oil prices, Real interest rates, Energy prices, Gold prices, Oil Price Shocks, Granger Predictability, Monetary Base, M1 Divisia, Swaps

Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes st...

The Impact of Monetary Policy Communication in an Emerging Economy: The Case of Indonesia1

The Impact of Monetary Policy Communication in an Emerging Economy: The Case of Indonesia1 »

Source: The Impact of Monetary Policy Communication in an Emerging Economy: The Case of Indonesia

Volume/Issue: 2020/109

Series: IMF Working Papers

Author(s): Calixte Ahokpossi , Agnes Isnawangsih , Md. Shah Naoaj , and Ting Yan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 June 2020

ISBN: 9781513545646

Keywords: Central bank policy, Monetary policy instruments, Open market operations, Central bank independence, Reserve requirements, Monetary policy, central bank communication, central bank predictability., WP, policy report

Since the adoption of the inflation targeting framework by Bank Indonesia (BI), monetary policy communication has played an increasingly important role in BI's policy toolkit. This paper assesses BI's monetary poli...

Volatility and Predictability in National Stock Markets
			: How Do Emerging and Mature Markets Differ?

Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ? »

Volume/Issue: 1996/29

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

DOI: http://dx.doi.org/10.5089/9781451844757.001

ISBN: 9781451844757

Keywords: emerging markets, predictability, autocorrelation, cointegration, standard deviation

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been n...