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Institutionalizing Countercyclical Investment

Institutionalizing Countercyclical Investment »

Volume/Issue: 2016/38

Series: IMF Working Papers

Author(s): Bradley Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 February 2016

DOI: http://dx.doi.org/10.5089/9781513512495.001

ISBN: 9781513512495

Keywords: Asset Allocation, Asset Owners, Momentum, Risk Management, asset, investment, risk, returns, Asset Pricing, Government Policy and Regulation

Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations? And if countercyclical investment (with both market-stabilizing and return-generati...

Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics

Sovereign Defaults, External Debt, and Real Exchange Rate Dynamics »

Volume/Issue: 2016/37

Series: IMF Working Papers

Author(s): Tamon Asonuma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 February 2016

DOI: http://dx.doi.org/10.5089/9781475597738.001

ISBN: 9781475597738

Keywords: Sovereign Defaults, External Debt, Real Exchange Rate, Currency Composition of Debt, Bond Spreads, exchange, default, exchange rate, defaults, International Lending and Debt Problems

Emerging countries experience real exchange rate depreciations around defaults. In this paper, we examine this observed pattern empirically and through the lens of a dynamic stochastic general equilibrium model. Th...

How Do Public Debt Cycles Interact with Financial Cycles?

How Do Public Debt Cycles Interact with Financial Cycles? »

Volume/Issue: 2015/248

Series: IMF Working Papers

Author(s): Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 November 2015

DOI: http://dx.doi.org/10.5089/9781513511641.001

ISBN: 9781513511641

Keywords: public debt cycles, credit cycles, asset price cycles, duration analysis, debt, public debt, price, prices, equity, General

We employ a duration model to study determinants of public debt cycles in 57 advanced and emerging economies over the 1960-2014 period, with a particular focus on the impact of financial cycles. The results suggest...

Sub-National Government's Risk Premia
			: Does Fiscal Performance Matter?

Sub-National Government's Risk Premia : Does Fiscal Performance Matter? »

Volume/Issue: 2015/117

Series: IMF Working Papers

Author(s): Sergio Sola , and Geremia Palomba

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 May 2015

DOI: http://dx.doi.org/10.5089/9781513511061.001

ISBN: 9781513511061

Keywords: Sub-national governments, market, markets, debt, bonds, primary market, Financial Markets and the Macroeconomy, Asset Pricing, General,

This paper examines the determinants of sub-national governments risk premia using secondary market data for U.S., Canada, Australia and Germany. It finds that, as for central governments, fiscal fundamentals matte...

It's Not All Fiscal
			: Effects of Income, Fiscal Policy, and Wealth on Private Consumption

It's Not All Fiscal : Effects of Income, Fiscal Policy, and Wealth on Private Consumption »

Volume/Issue: 2015/112

Series: IMF Working Papers

Author(s): Laura Jaramillo , and Alexandre Chailloux

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 May 2015

DOI: http://dx.doi.org/10.5089/9781513584744.001

ISBN: 9781513584744

Keywords: wealth, housing assets, household debt, assets, debt, Consumer Economics: Empirical Analysis, Household,

We attempt to disentangle income and wealth effects on consumption by disaggregating both the different types of income and wealth. We estimate a consumption function for a panel of quarterly data for 14 advanced e...

Correcting 'Beyond the Cycle"
			: Accounting for Asset Prices in Structural Fiscal Balances

Correcting 'Beyond the Cycle" : Accounting for Asset Prices in Structural Fiscal Balances »

Volume/Issue: 2015/109

Series: IMF Working Papers

Author(s): Estelle Liu , Todd Mattina , and Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 May 2015

DOI: http://dx.doi.org/10.5089/9781513520551.001

ISBN: 9781513520551

Keywords: asset price, equity market, housing market, panel data econometrics, prices, price, equity, Asset Pricing, Deficit, panel data econometrics.,

This paper outlines an operational approach for incorporating the impact of asset price cycles in the calculation of structural fiscal balances (SFBs). The global financial crisis demonstrated that movements in ass...

Interconnectedness, Systemic Crises and Recessions

Interconnectedness, Systemic Crises and Recessions »

Volume/Issue: 2015/46

Series: IMF Working Papers

Author(s): Marco Espinosa-Vega , and Steven Russell

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2015

DOI: http://dx.doi.org/10.5089/9781498386029.001

ISBN: 9781498386029

Keywords: recession, bank, banks, loans, risk, liquidation, Portfolio Choice, Asset Pricing, General,

This relatively simple model attempts to capture and integrate four widely held views about financial crises. [1] Interconnectedness among financial institutions (banks) can play a major role in precipitating syste...

Asset Bubbles
			: Re-thinking Policy for the Age of Asset Management

Asset Bubbles : Re-thinking Policy for the Age of Asset Management »

Volume/Issue: 2015/27

Series: IMF Working Papers

Author(s): Bradley Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 February 2015

DOI: http://dx.doi.org/10.5089/9781475576207.001

ISBN: 9781475576207

Keywords: markets, financial markets, balance sheet, returns, Financial Markets and the Macroeconomy, Behavioral Finance: Underlying Principles, Asset Pricing, Government Policy and Regulation,

In distilling a vast literature spanning the rational- irrational divide, this paper offers reflections on why asset bubbles continue to threaten economic stability despite financial markets becoming more informati...

The Rich and the Great Recession

The Rich and the Great Recession »

Volume/Issue: 2014/225

Series: IMF Working Papers

Author(s): Bas Bakker , and Joshua Felman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 December 2014

DOI: http://dx.doi.org/10.5089/9781498307376.001

ISBN: 9781498307376

Keywords: wealth inequality, wealth, income, assets, reserve, Monetary Policy (Targets, Instruments, and Effects),

Most papers explaining the macro causes of the U.S. Great Recession focus on the behavior of the middle class: how its saving rate declined in the pre-crisis years, then surged following the crisis. This paper argu...

Unconventional Monetary Policy and Long-Term Interest Rates

Unconventional Monetary Policy and Long-Term Interest Rates »

Volume/Issue: 2014/189

Series: IMF Working Papers

Author(s): Tao Wu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 October 2014

DOI: http://dx.doi.org/10.5089/9781498317245.001

ISBN: 9781498317245

Keywords: Unconventional monetary policy, Quantitative easing, Large-scale asset purchases, Long-term interest rates, Signaling effect, Portfolio balance, Tapering, Exit strategy, bond, inflation

This paper examines the transmission mechanism through which unconventional monetary policy affects long-term interest rates. I construct a real-time measure summarizing market projections of the magnitude and dura...

Financial Crises and the Composition of Cross-Border Lending

Financial Crises and the Composition of Cross-Border Lending »

Volume/Issue: 2014/185

Series: IMF Working Papers

Author(s): Eugenio Cerutti , Galina Hale , and Camelia Minoiu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 October 2014

DOI: http://dx.doi.org/10.5089/9781484361443.001

ISBN: 9781484361443

Keywords: syndicated loans, global financial crisis, BIS international banking statistics, Dealogic Loan Analytics, banking, bank assets, financial crisis, bank capital, General, Globalization: Finance,

We examine the composition and drivers of cross-border bank lending between 1995 and 2012, distinguishing between syndicated and non-syndicated loans. We show that on-balance sheet syndicated loan exposures account...

The Tax-adjusted Q Model with Intangible Assets
			: Theory and Evidence from Temporary Investment Tax Incentives

The Tax-adjusted Q Model with Intangible Assets : Theory and Evidence from Temporary Investment Tax Incentives »

Volume/Issue: 2014/104

Series: IMF Working Papers

Author(s): Sophia Chen , and Estelle Dauchy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 June 2014

DOI: http://dx.doi.org/10.5089/9781498335478.001

ISBN: 9781498335478

Keywords: investment tax incentives, intangible assets, q model of investment, bonus depreciation, taxation, tax returns, Business Taxes and Subsidies,

We propose a tax-adjusted q model with physical and intangible assets and estimate it with a self-collected comprehensive database of intangible assets. The presence of intangibles changes the accounting and econom...

Official Demand for U.S. Debt
			: Implications for U.S. Real Interest Rates

Official Demand for U.S. Debt : Implications for U.S. Real Interest Rates »

Volume/Issue: 2014/66

Series: IMF Working Papers

Author(s): Iryna Kaminska , and Gabriele Zinna

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 April 2014

DOI: http://dx.doi.org/10.5089/9781475590081.001

ISBN: 9781475590081

Keywords: Term structure of interest rates, Large Scale Asset Purchases (LSAP), real yield curve, Bayesian estimation, bond, treasury bond, bond yields, bond prices, General,

By constructing and estimating a structural arbitrage-free model of demand pressures on US real rates, we find that recent purchases of US government debt securities by the Fed and foreign officials have significan...

Asia's Stock Markets
			: Are There Crouching Tigers and Hidden Dragons?

Asia's Stock Markets : Are There Crouching Tigers and Hidden Dragons? »

Volume/Issue: 2014/37

Series: IMF Working Papers

Author(s): Fabian Lipinsky , and Li Lian Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 February 2014

DOI: http://dx.doi.org/10.5089/9781484320143.001

ISBN: 9781484320143

Keywords: arbitrage pricing theory, Asian financial crisis, fundamentals, global financial crisis, idiosyncratic factors, integration, IOSCO, securities regulation, stock market, stock pricing

Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more 'idiosyn...

Panama
			: Detailed Assessment Report-FATF Recommendations for Anti-Money Laundering and Combating the Financing of Terrorism

Panama : Detailed Assessment Report-FATF Recommendations for Anti-Money Laundering and Combating the Financing of Terrorism »

Volume/Issue: 2014/54

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Legal Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 February 2014

DOI: http://dx.doi.org/10.5089/9781475559743.002

ISBN: 9781475559743

Keywords: Financial institutions, Anti-money laundering, Combating the financing of terrorism, Nonbank financial sector, International cooperation, Freeze on financial assets, Panama, Private sector, Reports on the Observance of Standards and Codes, money laundering

This report evaluates the level of implementation of Financial Action Task Force (FATF) Recommendations for Anti-Money Laundering and Combating the Financing of Terrorism (AML/CFT) in Panama. The findings reveal th...

Pressure or Prudence? Tales of Market Pressure and Fiscal Adjustment

Pressure or Prudence? Tales of Market Pressure and Fiscal Adjustment »

Volume/Issue: 2013/170

Series: IMF Working Papers

Author(s): Salvatore Dell'Erba , Todd Mattina , and Agustin Roitman

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 July 2013

DOI: http://dx.doi.org/10.5089/9781484374054.001

ISBN: 9781484374054

Keywords: market pressure, macro-fiscal fundamentals, advanced economies, fiscal consolidations, fiscal adjustments, Asset Pricing, General,

We study whether multiyear fiscal adjustment plans in 17 OECD countries during 1980-2011 have been associated with market pressure. We find that only a third (34 percent) of the consolidations occurred under market...

Monetary Transaction Costs and the Term Premium

Monetary Transaction Costs and the Term Premium »

Volume/Issue: 2013/85

Series: IMF Working Papers

Author(s): Raphael Espinoza , and Dimitrios P. Tsomocos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 April 2013

DOI: http://dx.doi.org/10.5089/9781484392331.001

ISBN: 9781484392331

Keywords: Liquidity, Cash-in-advance constraints, Term structure of interest rates, money supply, quantity theory of money, central bank, quantity theory, theory of money, Asset Pricing,

We show that, in a monetary equilibrium, trade and asset prices depend on both the supply of the liquidity by the Central Bank and the liquidity of assets and commodities. As a result, monetary aggregates are infor...

Financial Crises  Explanations, Types, and Implications

Financial Crises Explanations, Types, and Implications »

Volume/Issue: 2013/28

Series: IMF Working Papers

Author(s): Stijn Claessens , and Ayhan Kose

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 January 2013

DOI: http://dx.doi.org/10.5089/9781475561005.001

ISBN: 9781475561005

Keywords: debt crises, defaults, policy implications, financial restructuring, asset booms, crises prediction, International Business Cycles, General, crises prediction.,

This paper reviews the literature on financial crises focusing on three specific aspects. First, what are the main factors explaining financial crises? Since many theories on the sources of financial crises highlig...

Mexico
			: Selected Issues

Mexico : Selected Issues »

Volume/Issue: 2012/317

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Western Hemisphere Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 November 2012

DOI: http://dx.doi.org/10.5089/9781475543551.002

ISBN: 9781475543551

Keywords: foreign exchange, fdi, foreign assets, foreign liabilities, financial integration

Mexico is an open economy with strong real and financial links to the rest of the world with risks of spillovers from global turbulence. Recent gains in market share in the U.S. manufacturing market are owed to imp...

Mexico
			: Staff Report for the 2012 Article IV Consultation

Mexico : Staff Report for the 2012 Article IV Consultation »

Volume/Issue: 2012/316

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Western Hemisphere Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 28 November 2012

DOI: http://dx.doi.org/10.5089/9781475523126.002

ISBN: 9781475523126

Keywords: international reserves, financial assets, financial sector, derivative, bonds

The IMF staff report on Mexico's financial policies has been satisfactory; these policies have been said to act as a buffer against risks that erupted during the global economic crisis. Mexico has been identified a...

Financial Spillovers to Chile

Financial Spillovers to Chile »

Volume/Issue: 2012/254

Series: IMF Working Papers

Author(s): Jiri Podpiera

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 October 2012

DOI: http://dx.doi.org/10.5089/9781475552195.001

ISBN: 9781475552195

Keywords: Credit Spread, Interbank Market Spread, Financial Spillover, bond, interbank market, bond market, banking, banking sector, Asset Pricing,

This paper quantifies financial spillovers from global risk factors to banks' funding costs in Chile. It decomposes Chilean banks' bond and interbank spreads into domestic and external factors. The results suggest...

Jamaica Debt Exchange

Jamaica Debt Exchange »

Volume/Issue: 2012/244

Series: IMF Working Papers

Author(s): David Grigorian , Trevor Alleyne , and Alejandro Guerson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 October 2012

DOI: http://dx.doi.org/10.5089/9781475512724.001

ISBN: 9781475512724

Keywords: Jamaica sovereign debt exchange, bonds, financial sector, financial institutions, financial system, liquid asset, General,

The sovereign debt restructuring operation in Jamaica undertaken in early-2010 was a unique experiment that perhaps offered less by way of upside, if compared to the conventional sovereign debt exchanges, but provi...

Sovereign Risk and Asset and Liability Management
			: Conceptual Issues

Sovereign Risk and Asset and Liability Management : Conceptual Issues »

Volume/Issue: 2012/241

Series: IMF Working Papers

Author(s): Udaibir Das , Yinqiu Lu , Michael Papaioannou , and Iva Petrova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 October 2012

DOI: http://dx.doi.org/10.5089/9781475511833.001

ISBN: 9781475511833

Keywords: Sovereign asset and liability management, sovereign balance sheet, reserve management, central bank, government debt, currency composition, external debt, International Lending and Debt Problems, Portfolio Choice, Asset Pricing

Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial ris...

Bank Asset Quality in Emerging Markets
			: Determinants and Spillovers

Bank Asset Quality in Emerging Markets : Determinants and Spillovers »

Volume/Issue: 2012/71

Series: IMF Working Papers

Author(s): Reinout De Bock , and Alexander Demyanets

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

DOI: http://dx.doi.org/10.5089/9781475502237.001

ISBN: 9781475502237

Keywords: Macro-financial linkages, Nonperforming loans, Exchange rate, Panel regressions, capital inflows, net capital flows, exchange rates, Bank Asset Quality in Emerging Markets, Financial Markets and the Macroeconomy, International Finance: General

This paper assesses the vulnerability of emerging markets and their banks to aggregate shocks. We find significant links between banks' asset quality, credit and macroeconomic aggregates. Lower economic growth, an...

Revisiting Risk-Weighted Assets

Revisiting Risk-Weighted Assets »

Volume/Issue: 2012/90

Series: IMF Working Papers

Author(s): Sofiya Avramova , and Vanessa Le Leslé

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2012

DOI: http://dx.doi.org/10.5089/9781475502657.001

ISBN: 9781475502657

Keywords: Regulation, Risk-weighted Assets, Basel I, II, III, banking, capital requirements, market risk, Revisiting Risk-Weighted Assets, Financial Institutions and Services: Government Policy and Regulation

In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital a...

Barbados
			: Sectoral Balance Sheet Mismatches and Macroeconomic Vulnerabilities

Barbados : Sectoral Balance Sheet Mismatches and Macroeconomic Vulnerabilities »

Volume/Issue: 2012/31

Series: IMF Working Papers

Author(s): Charles Amo Yartey

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463933166.001

ISBN: 9781463933166

Keywords: Net financial position, net foreign currency position, domestic currency, central bank, financial assets, financial system, International Finance: General, International Lending and Debt Problems, Barbados: Sectoral Balance Sheet Mismatches And Macroeconomic Vulnerabilities,

This paper uses the balance sheet approach to analyze macroeconomic vulnerabilities in Barbados between 2006 and 2009. It discusses the financial position of the economy and its main sectors and the sectors' exposu...

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis

How Risky Are Banks' Risk Weighted Assets? Evidence From the Financial Crisis »

Volume/Issue: 2012/36

Series: IMF Working Papers

Author(s): Sonali Das , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

DOI: http://dx.doi.org/10.5089/9781463933791.001

ISBN: 9781463933791

Keywords: crisis, regulation, risk weighted assets, Basel III, banking, return on assets, dummy variables, standard errors, independent variables, Financial Institutions and Services: General

We study how investors account for the riskiness of banks' risk-weighted assets (RWA) by examining the determinants of stock returns and market measures of risk. We find that banks with higher RWA had lower stock r...

Canada
			: Staff Report for the 2011 Article IV Consultation

Canada : Staff Report for the 2011 Article IV Consultation »

Volume/Issue: 2011/364

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 December 2011

DOI: http://dx.doi.org/10.5089/9781463929220.002

ISBN: 9781463929220

Keywords: financial institutions, commodity prices, domestic demand, terms of trade, financial assets

The Canadian monetary and fiscal policies have remained accommodative, reflecting in large measure the effective response to the crisis. Canada is expected to set the appropriate policy mix in the future, at a time...

Does G-4 Liquidity Spill Over?

Does G-4 Liquidity Spill Over? »

Volume/Issue: 2011/237

Series: IMF Working Papers

Author(s): L. Psalida , and Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

DOI: http://dx.doi.org/10.5089/9781463922559.001

ISBN: 9781463922559

Keywords: liquidity expansion, asset valuations, global liquidity, capital inflows, equity returns, excess liquidity, Financial Markets and the Macroeconomy, Monetary Policy, Central Banking, and the Supply of Money and Credit: Other

The resumption of strong capital flows into emerging markets in mid-2009 brought back the debate over whether pull or push factors are the main determinants. This paper, using panel specifications with alternative...

Unforeseen Events Wait Lurking
			: Estimating Policy Spillovers From U.S. to Foreign Asset Prices

Unforeseen Events Wait Lurking : Estimating Policy Spillovers From U.S. to Foreign Asset Prices »

Volume/Issue: 2011/183

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Trung Bui

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2011

DOI: http://dx.doi.org/10.5089/9781462309290.001

ISBN: 9781462309290

Keywords: Event studies, policy announcements, interntational asset price transmission, bond yields, bond, foreign bond, equity prices, commodity prices, International Policy Coordination and Transmission, Corporate Finance and Governance: Government Policy and Regulation,

Event studies are used to analyze the impact of U.S. financial, fiscal, and monetary policies from US to foreign asset prices across a range of G20 countries and Switzerland. The initial announcement that the Admin...

Causes of Asset Shortages in Emerging Markets

Causes of Asset Shortages in Emerging Markets »

Volume/Issue: 2011/114

Series: IMF Working Papers

Author(s): Jiaqian Chen , and Patrick Imam

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

DOI: http://dx.doi.org/10.5089/9781455262373.001

ISBN: 9781455262373

Keywords: Asset Shortage, Emerging Market, Capital Market, Regulation, financial assets, interest rates, capital markets, capital account, pension funds, Money and Interest Rates: General

We first illustrate that emerging markets (EMs) face a shortage of financial assets, with financial assets not growing as rapidly as domestic savings. We then estimate the asset shortage in EMs for 1995-2008. We de...

Financial Cycles
			: What? How? When?

Financial Cycles : What? How? When? »

Volume/Issue: 2011/76

Series: IMF Working Papers

Author(s): Marco Terrones , Ayhan Kose , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

DOI: http://dx.doi.org/10.5089/9781455227037.001

ISBN: 9781455227037

Keywords: credit cycles, asset busts, crunches, house prices, financial cycles, financial crises, financial markets, equity markets, International Policy Coordination and Transmission,

This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equ...

How Do Business and Financial Cycles Interact?

How Do Business and Financial Cycles Interact? »

Volume/Issue: 2011/88

Series: IMF Working Papers

Author(s): Marco Terrones , Ayhan Kose , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

DOI: http://dx.doi.org/10.5089/9781455233168.001

ISBN: 9781455233168

Keywords: Credit crunches, asset busts, booms, recoveries, financial crises., recession, financial cycles, financial crisis,

This paper analyzes the interactions between business and financial cycles using an extensive database of over 200 business and 700 financial cycles in 44 countries for the period 1960:1-2007:4. Our results suggest...

Government Finance Statistics Yearbook, 2010

Government Finance Statistics Yearbook, 2010 »

Series: Government Finance Statistics

Author(s): International Monetary Fund. Statistics Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2011

DOI: http://dx.doi.org/10.5089/9781616350048.043

ISBN: 9781616350048

Keywords: liabilities, taxes, financial assets, loans, financial derivatives, interest, local governments, benefits, salaries, public debt

Detailed annual data for Fund member governments are supplied on revenue income by source (tax, lending, bonds, etc.), and expenditure by sector (defense, education, health, etc.) for all levels of government (nati...

European Financial Linkages
			: A New Look At Imbalances

European Financial Linkages : A New Look At Imbalances »

Volume/Issue: 2010/295

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

DOI: http://dx.doi.org/10.5089/9781455211760.001

ISBN: 9781455211760

Keywords: Net foreign assets, current account imbalances, foreign assets, foreign asset, foreign asset positions, direct investment, International Monetary Arrangements and Institutions, International Lending and Debt Problems, Financial Aspects of Economic Integration,

We document external investment positions among European Union countries at the start of the financial crisis through the creation of a new database comprising bilateral external financial asset and liabilities, ex...

Commodity Windfalls, Polarization, and Net Foreign Assets
			: Panel Data Evidenceon the Voracity Effect

Commodity Windfalls, Polarization, and Net Foreign Assets : Panel Data Evidenceon the Voracity Effect »

Volume/Issue: 2010/209

Series: IMF Working Papers

Author(s): Markus Bruckner , and Rabah Arezki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

DOI: http://dx.doi.org/10.5089/9781455205400.001

ISBN: 9781455205400

Keywords: Commodity Windfalls, Net Foreign Assets, Polarization, foreign assets, net foreign asset, foreign asset, net foreign asset position, Equity, Justice, Inequality

This paper examines the effect that windfalls from international commodity price booms have on net foreign assets in a panel of 145 countries during the period 1970-2007. The main finding is that windfalls from int...

Government Finance Statistics Yearbook, 2009

Government Finance Statistics Yearbook, 2009 »

Series: Government Finance Statistics

Author(s): International Monetary Fund. Statistics Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 April 2010

DOI: http://dx.doi.org/10.5089/9781589068629.043

ISBN: 9781589068629

Keywords: liabilities, taxes, financial assets, loans, financial derivatives, interest, local governments, benefits, salaries, public debt

Detailed annual data for Fund member governments are supplied on revenue income by source (tax, lending, bonds, etc.), and expenditure by sector (defense, education, health, etc.) for all levels of government (nati...

Precautionary Reserves
			: An Application to Bolivia

Precautionary Reserves : An Application to Bolivia »

Volume/Issue: 2010/54

Series: IMF Working Papers

Author(s): Fabian Valencia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

DOI: http://dx.doi.org/10.5089/9781451963502.001

ISBN: 9781451963502

Keywords: Reserve adequacy, Optimal Reserves, Precautionary Motive, Balance of Payments Crises, foreign assets, net foreign assets, foreign asset, net foreign asset, net foreign asset position,

Using precautionary savings models we compute levels of optimal reserves for Bolivia. Because of Bolivia's reliance on commodity exports and little integration with capital markets, we focus on current account shoc...

The Valuation Channel of External Adjustment

The Valuation Channel of External Adjustment »

Volume/Issue: 2009/275

Series: IMF Working Papers

Author(s): Jaewoo Lee , Fabio Ghironi , and Alessandro Rebucci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

DOI: http://dx.doi.org/10.5089/9781451874204.001

ISBN: 9781451874204

Keywords: Net foreign assets, Risk sharing, Valuation, foreign asset, foreign assets, net foreign asset, foreign asset position,

International financial integration has greatly increased the scope for changes in a country's net foreign asset position through the valuation channel, namely capital gains and losses on external assets and liabil...

External Balance in Low Income Countries

External Balance in Low Income Countries »

Volume/Issue: 2009/221

Series: IMF Working Papers

Author(s): Lone Engbo Christiansen , Alessandro Prati , Luca Ricci , and Thierry Tressel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

DOI: http://dx.doi.org/10.5089/9781451873689.001

ISBN: 9781451873689

Keywords: real exchange rate, net foreign assets, exchange rate, capital account liberalization, International Lending and Debt Problems,

This paper offers a coherent empirical analysis of the determinants of the real exchange rate, the current account, and the net foreign assets position in low income countries. The paper focuses on indicators speci...

Bank Competition, Risk, and Asset Allocations

Bank Competition, Risk, and Asset Allocations »

Volume/Issue: 2009/143

Series: IMF Working Papers

Author(s): John Boyd , Gianni De Nicolo , and Abu M. Jalal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2009

DOI: http://dx.doi.org/10.5089/9781451872903.001

ISBN: 9781451872903

Keywords: Bank Competition, Concentration, Risk, Asset, bank failure, probability, risk of bank failure,

We study a banking model in which banks invest in a riskless asset and compete in both deposit and risky loan markets. The model predicts that as competition increases, both loans and assets increase; however, the...

Government Finance Statistics Yearbook, 2008

Government Finance Statistics Yearbook, 2008 »

Series: Government Finance Statistics

Author(s): International Monetary Fund. Statistics Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 March 2009

DOI: http://dx.doi.org/10.5089/9781589067554.043

ISBN: 9781589067554

Keywords: liabilities, taxes, financial assets, loans, financial derivatives, debt, interest, local governments, benefits, salaries

Detailed annual data for Fund member governments are supplied on revenue income by source (tax, lending, bonds, etc.), and expenditure by sector (defense, education, health, etc.) for all levels of government (nati...

International Currency Portfolios

International Currency Portfolios »

Volume/Issue: 2009/48

Series: IMF Working Papers

Author(s): Michael Kumhof

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

DOI: http://dx.doi.org/10.5089/9781451871968.001

ISBN: 9781451871968

Keywords: Portfolio balance theory, imperfect asset substitutability, exchange rate, foreign currency, foreign exchange, exchange rate volatility,

This paper develops a theory of international currency portfolios that holds in general equilibrium, and that is therefore not subject to the criticisms directed at the portfolio balance literature of the 1980s. It...

Irrational Exuberance in the U.S. Housing Market
			: Were Evangelicals Left Behind?

Irrational Exuberance in the U.S. Housing Market : Were Evangelicals Left Behind? »

Volume/Issue: 2009/57

Series: IMF Working Papers

Author(s): Christopher Crowe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

DOI: http://dx.doi.org/10.5089/9781451872040.001

ISBN: 9781451872040

Keywords: house prices, economics of Religion, asset price cycles, religion, survey, correlation, protestants, statistics,

The recent housing bust has reignited interest in psychological theories of speculative excess (Shiller, 2007). I investigate this issue by identifying a segment of the U.S. population-evangelical protestants-that...

IMF Research Bulletin, December 2008

IMF Research Bulletin, December 2008 »

Volume/Issue: 9/4

Series: IMF Research Bulletin

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 December 2008

DOI: http://dx.doi.org/10.5089/9781451959543.026

ISBN: 9781451959543

Keywords: financial markets, financial market, debt crisis, debt, financial assets

December 2008:  IMF research summaries on global herding in financial markets (by Marco Cipriani) and on fiscal decentralization (by Lusine Lusinyan); article on the experiences of IMF staff at the No...

Commodities and the Market Price of Risk

Commodities and the Market Price of Risk »

Volume/Issue: 2008/221

Series: IMF Working Papers

Author(s): Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2008

DOI: http://dx.doi.org/10.5089/9781451870794.001

ISBN: 9781451870794

Keywords: Asset pricing, Futures pricing., commodity futures, investors, risk premium, hedge, risk exposure, futures pricing,

Commodities are back following a stellar run of price performance, attracting financial investor attention. What are the fundamental reasons to hold commodities? One reason is the exposure offered to underlying ris...

Financial Integration and Risk-Adjusted Growth Opportunities

Financial Integration and Risk-Adjusted Growth Opportunities »

Volume/Issue: 2008/126

Series: IMF Working Papers

Author(s): Iryna Ivaschenko , and Gianni De Nicolo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2008

DOI: http://dx.doi.org/10.5089/9781451869866.001

ISBN: 9781451869866

Keywords: growth opportunities, openness, financial development, financial globalization, european financial integration, foreign assets, financial deepening,

This paper documents the evolution of measures of financial integration for major advanced and emerging markets economies, assesses whether advances in integration have had a significant positive impact on countrie...

Government Finance Statistics Yearbook, 2007

Government Finance Statistics Yearbook, 2007 »

Series: Government Finance Statistics

Author(s): International Monetary Fund. Statistics Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 08 February 2008

DOI: http://dx.doi.org/10.5089/9781589066588.043

ISBN: 9781589066588

Keywords: liabilities, taxes, financial assets, loans, financial derivatives, interest, local governments, benefits, salaries, public debt

Detailed annual data for Fund member governments are supplied on revenue income by source (tax, lending, bonds, etc.), and expenditure by sector (defense, education, health, etc.) for all levels of government (nati...

Where Did All the Borrowing Go? A Forensic Analysis of the U.S. External Position

Where Did All the Borrowing Go? A Forensic Analysis of the U.S. External Position »

Volume/Issue: 2008/28

Series: IMF Working Papers

Author(s): Gian Milesi-Ferretti , and Philip Lane

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2008

DOI: http://dx.doi.org/10.5089/9781451868906.001

ISBN: 9781451868906

Keywords: external assets and liabilities, fdi, capital gains, capital gain, foreign asset, net foreign asset position,

The deterioration in the U.S. net external position in recent years has been much smaller than the extensive net borrowing associated with large current account deficits would have suggested. This paper examines th...

Real Exchange Rates and Fundamentals
			: A Cross-Country Perspective

Real Exchange Rates and Fundamentals : A Cross-Country Perspective »

Volume/Issue: 2008/13

Series: IMF Working Papers

Author(s): Luca Ricci , Jaewoo Lee , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2008

DOI: http://dx.doi.org/10.5089/9781451868753.001

ISBN: 9781451868753

Keywords: equilibrium real exchange rate, Balassa-Samuelson effect, exchange rate, exchange rates, real exchange rate, net foreign assets, foreign assets,

This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set o...

Optimal Monetary Policy in a Small Open Economy Under Segmented Asset Markets and Sticky Prices

Optimal Monetary Policy in a Small Open Economy Under Segmented Asset Markets and Sticky Prices »

Volume/Issue: 2007/217

Series: IMF Working Papers

Author(s): Juan Pablo Medina Guzman , and Ruy Lama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2007

DOI: http://dx.doi.org/10.5089/9781451867817.001

ISBN: 9781451867817

Keywords: Optimal monetary policy, asset market segmentation, inflation, asset market, market segmentation, nominal interest rate,

This paper studies optimal monetary policy in a two-sector small open economy model under segmented asset markets and sticky prices. We solve the Ramsey problem under full commitment, and characterize the optimal m...

United States
			: Information Note on the United States' Fiscal Data

United States : Information Note on the United States' Fiscal Data »

Volume/Issue: 2007/266

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2007

DOI: http://dx.doi.org/10.5089/9781451839708.002

ISBN: 9781451839708

Keywords: pension, financial assets, employee pension, pension funds, net present value

This paper reports on a pilot study to present the United States fiscal data in a manner consistent with the Government Finance Statistics Manual (GFSM 2001). The study incorporates cash and accrual source data in...

Precautionary Demand for Foreign Assets in Sudden Stop Economies
			: An Assessment of the New Merchantilism

Precautionary Demand for Foreign Assets in Sudden Stop Economies : An Assessment of the New Merchantilism »

Volume/Issue: 2007/146

Series: IMF Working Papers

Author(s): Enrique Mendoza , Ceyhun Bora Durdu , and Marco Terrones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

DOI: http://dx.doi.org/10.5089/9781451867107.001

ISBN: 9781451867107

Keywords: Fisherian Deflation, Liability Dollarization, Credit Constraints, foreign assets, financial globalization, foreign asset, net foreign assets,

Financial globalization was off to a rocky start in emerging economies hit by Sudden Stops in the 1990s. The surge in foreign reserves since then is viewed as a New Merchantilism in which reserves are a war-chest f...

Monetary Policy in an Equilibrium Portfolio Balance Model

Monetary Policy in an Equilibrium Portfolio Balance Model »

Volume/Issue: 2007/72

Series: IMF Working Papers

Author(s): Michael Kumhof , and Stijn van Nieuwerburgh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2007

DOI: http://dx.doi.org/10.5089/9781451866360.001

ISBN: 9781451866360

Keywords: Sterilized foreign exchange intervention, imperfect asset substitutability, uncovered interest parity, portfolio balance theory, exchange rate, inflation, exchange rate volatility, Open Economy Macroeconomics,

Standard theory shows that sterilized foreign exchange interventions do not affect equilibrium prices and quantities, and that domestic and foreign currency denominated bonds are perfect substitutes. This paper sho...

Idiosyncratic and Systemic Risk in the European Corporate Sector
			: A CDO Perspective

Idiosyncratic and Systemic Risk in the European Corporate Sector : A CDO Perspective »

Volume/Issue: 2006/107

Series: IMF Working Papers

Author(s): Yinqiu Lu , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2006

DOI: http://dx.doi.org/10.5089/9781451863673.001

ISBN: 9781451863673

Keywords: idiosyncratic risk, credit derivatives, credit derivatives indices, collateralized debt obligations, tranches, correlation, probability, hedge, financial assets,

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic...

The External Wealth of Nations Mark II
			: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004

The External Wealth of Nations Mark II : Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004 »

Volume/Issue: 2006/69

Series: IMF Working Papers

Author(s): Philip Lane , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

DOI: http://dx.doi.org/10.5089/9781451863291.001

ISBN: 9781451863291

Keywords: International financial integration, net foreign assets, foreign assets, foreign asset, net foreign asset, industrial countries,

We construct estimates of external assets and liabilities for 145 countries for the period 1970-2004. We describe our estimation methods and present key features of the data at the country and the global level. We...

Sectoral Balance Sheet Mismatches and Macroeconomic Vulnerabilities in Colombia, 1996-2003

Sectoral Balance Sheet Mismatches and Macroeconomic Vulnerabilities in Colombia, 1996-2003 »

Volume/Issue: 2006/5

Series: IMF Working Papers

Author(s): Juan Manuel Lima , Johannes Wiegand , Enrique Montes , and Carlos Varela

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

DOI: http://dx.doi.org/10.5089/9781451862652.001

ISBN: 9781451862652

Keywords: Sectoral Balance Sheet Analysis, Macroeconomic Vulnerabilities, financial sector, financial assets, financial institutions, bonds, Macroeconomics and Monetary Economics: General, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

We employ an extended version of the Allen et al. (2002) Balance Sheet Approach to examine macroeconomic vulnerabilities in Colombia between 1996 and 2003, based on an unusually rich data set. We find that vulnerab...

Government Finance Statistics Yearbook, 2005

Government Finance Statistics Yearbook, 2005 »

Series: Government Finance Statistics

Author(s): International Monetary Fund. Statistics Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 December 2005

DOI: http://dx.doi.org/10.5089/9781589064621.043

ISBN: 9781589064621

Keywords: liabilities, taxes, loans, financial derivatives, financial assets, financial corporations, interest, benefits, local governments, public debt

Detailed annual data for Fund member governments are supplied on revenue income by source (tax, lending, bonds, etc.), and expenditure by sector (defense, education, health, etc.) for all levels of government (nati...

Dollars, Debt, and Deficits
			: Sixty Years After Bretton Woods

Dollars, Debt, and Deficits : Sixty Years After Bretton Woods »

Series: Seminar Volumes

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2005

DOI: http://dx.doi.org/10.5089/9781589064539.072

ISBN: 9781589064539

Keywords: Deficit financing, Budget deficits, exchange rate, public debt, foreign assets, current account, foreign liabilities

This book examines the challenges facing the international monetary and financial system, as well as the future role of the Bretton Woods institutions in addressing those challenges. The volume is based on the proc...

Financial Integration, Growth, and Volatility

Financial Integration, Growth, and Volatility »

Volume/Issue: 2005/67

Series: IMF Working Papers

Author(s): Anne Epaulard , and Aude Pommeret

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

DOI: http://dx.doi.org/10.5089/9781451860863.001

ISBN: 9781451860863

Keywords: Risk-sharing, Endogenous Growth, Stochastic Growth, global financial markets, financial markets, foreign assets, General Aggregative Models: Neoclassical, International Factor Movements and International Business: General, Financial Aspects of Economic Integration, Economic Growth of Open Economies

The aim of this paper is to evaluate the welfare gains from financial integration for developing and emerging market economies. To do so, we build a stochastic endogenous growth model for a small open economy that...

Net Foreign Asset Positions and Consumption Dynamics in the International Economy

Net Foreign Asset Positions and Consumption Dynamics in the International Economy »

Volume/Issue: 2005/82

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2005

DOI: http://dx.doi.org/10.5089/9781451861013.001

ISBN: 9781451861013

Keywords: Net foreign assets, consumption tilting, foreign assets, foreign asset, net foreign asset, foreign asset positions, Open Economy Macroeconomics, Multiple or Simultaneous Equation Models: Models with Panel Data,

We examine the effect of non-zero, long-run foreign asset positions on consumption dynamics in response to productivity shocks in a two-country, dynamic, general equilibrium model, with different discount factors a...

Government Finance Statistics Yearbook, 2004

Government Finance Statistics Yearbook, 2004 »

Series: Government Finance Statistics

Author(s): International Monetary Fund. Statistics Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 December 2004

DOI: http://dx.doi.org/10.5089/9781589063846.043

ISBN: 9781589063846

Keywords: liabilities, taxes, loans, financial derivatives, financial assets, financial corporations, interest, benefits, local governments, salaries

Detailed annual data for Fund member governments are supplied on revenue income by source (tax, Detailed annual data for Fund member governments are supplied on revenue income by source (tax, lending, bonds, etc.),...

Managerial Incentives and Financial Contagion

Managerial Incentives and Financial Contagion »

Volume/Issue: 2004/199

Series: IMF Working Papers

Author(s): Sujit Chakravorti , and Subir Lall

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2004

DOI: http://dx.doi.org/10.5089/9781451860146.001

ISBN: 9781451860146

Keywords: Financial Crises, Index Investors, Global Linkages, market asset, market assets, hedge funds, risk aversion, bond, Financial Aspects of Economic Integration,

This paper proposes a framework for comovements of asset prices with seemingly unrelated fundamentals, as an outcome of optimal portfolio strategies by fund managers. In emerging markets, dedicated managers outperf...

Insurance Value of International Reserves
			: An Option Pricing Approach

Insurance Value of International Reserves : An Option Pricing Approach »

Volume/Issue: 2004/175

Series: IMF Working Papers

Author(s): Jaewoo Lee

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2004

DOI: http://dx.doi.org/10.5089/9781451858785.001

ISBN: 9781451858785

Keywords: option, underlying asset, international reserves, reserve holding, external debt, currency crises, reserve holdings, Open Economy Macroeconomics,

A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides...

Pension Funds and Emerging Markets

Pension Funds and Emerging Markets »

Volume/Issue: 2004/181

Series: IMF Working Papers

Author(s): Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2004

DOI: http://dx.doi.org/10.5089/9781451859225.001

ISBN: 9781451859225

Keywords: asset allocation, regulation, pension, pension fund, pension fund managers, pension fund assets,

This paper focuses on the investment behavior of pension funds in developed and emerging market countries. First, it analyzes the main determinants of the emerging market asset allocation of pension funds in develo...

The Role of Mature Market Mutual Funds in Emerging Markets
			: Myth or Mayhem?

The Role of Mature Market Mutual Funds in Emerging Markets : Myth or Mayhem? »

Volume/Issue: 2004/133

Series: IMF Working Papers

Author(s): Amadou Sy , and Li Ong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

DOI: http://dx.doi.org/10.5089/9781451855524.001

ISBN: 9781451855524

Keywords: asset allocation, crossover investors, dedicated investors, mature markets, investors, bonds, bond, bond funds, Assest allocation,

The expansion of the global mutual funds industry has been characterized by growth in mature as well as emerging markets. This has clearly contributed to the development of local securities markets in emerging mark...

Financial Integration
			: A New Methodology and An Illustration

Financial Integration : A New Methodology and An Illustration »

Volume/Issue: 2004/110

Series: IMF Working Papers

Author(s): Andrew Rose , and Robert Flood

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2004

DOI: http://dx.doi.org/10.5089/9781451853377.001

ISBN: 9781451853377

Keywords: risk-free, rate, intertemporal, asset, market, expected, price, stock, conditional, nasdaq

This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across ass...

Government Finance Statistics Yearbook, 2003

Government Finance Statistics Yearbook, 2003 »

Series: Government Finance Statistics

Author(s): International Monetary Fund. Statistics Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 April 2004

DOI: http://dx.doi.org/10.5089/9781589062696.043

ISBN: 9781589062696

Keywords: liabilities, taxes, loans, financial derivatives, financial assets, social security, financial corporations, interest, benefits, public debt

Detailed annual data for Fund member governments are supplied on revenue income by source (tax, lending, bonds, etc.), and expenditure by sector (defense, education, health, etc.) for all levels of government (nati...

Stock Markets and the Real Exchange Rate
			: An Intertemporal Approach

Stock Markets and the Real Exchange Rate : An Intertemporal Approach »

Volume/Issue: 2003/109

Series: IMF Working Papers

Author(s): Benoît Mercereau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2003

DOI: http://dx.doi.org/10.5089/9781451853230.001

ISBN: 9781451853230

Keywords: Real exchange rate, risky assets, Balassa-Samuelson effect, exchange rate, hedging, International Finance: General, Open Economy Macroeconomics,

The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endo...

International Financial Integration

International Financial Integration »

Volume/Issue: 2003/86

Series: IMF Working Papers

Author(s): Philip Lane , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2003

DOI: http://dx.doi.org/10.5089/9781451850901.001

ISBN: 9781451850901

Keywords: rates of return, foreign assets, fdi, international financial, international investment, financial integration,

In recent decades, the foreign assets and liabilities of advanced economies have grown rapidly relative to GDP, with the increase in gross cross-holdings far exceeding changes in the size of net positions. Moreover...

International Liquidity and the Role of the SDR in the International Monetary System

International Liquidity and the Role of the SDR in the International Monetary System »

Volume/Issue: 2002/217

Series: IMF Working Papers

Author(s): J. Polak , and Peter Clark

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

DOI: http://dx.doi.org/10.5089/9781451875126.001

ISBN: 9781451875126

Keywords: SDR, sdr allocations, reserve assets, monetary fund, balance of payments, International Monetary Arrangements and Institutions, Open Economy Macroeconomics,

This paper describes how the changed conditions in the international monetary system have undermined the role originally envisaged for the SDR. It argues that the concept of a global stock of international liquidit...

Building Strong Banks Through Surveillance and Resolution

Building Strong Banks Through Surveillance and Resolution »

Series: Books

Author(s): Charles Enoch , Dewitt Marston , and Michael Taylor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 September 2002

DOI: http://dx.doi.org/10.5089/9781589060432.071

ISBN: 9781589060432

Keywords: banking, loans, restructuring, debt, asset management

Since the mid-1990s, economic observers have kept a watchful eye on the financial sector because of its potential to spark economic crises. Banks in particular have come under close scrutiny. Building Strong Banks...

Mauritius
			: Selected Issues and Statistical Appendix

Mauritius : Selected Issues and Statistical Appendix »

Volume/Issue: 2002/144

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 July 2002

DOI: http://dx.doi.org/10.5089/9781451827781.002

ISBN: 9781451827781

Keywords: interest, interest rates, financial assets, balance sheet, treasury bill

This Selected Issues paper and Statistical Appendix analyzes the labor market of Mauritius. It highlights that the high level of youth unemployment in Mauritius points to deficiencies in education and training. The...

External Wealth, the Trade Balance, and the Real Exchange Rate

External Wealth, the Trade Balance, and the Real Exchange Rate »

Volume/Issue: 2002/51

Series: IMF Working Papers

Author(s): Philip Lane , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2002

DOI: http://dx.doi.org/10.5089/9781451847123.001

ISBN: 9781451847123

Keywords: foreign assets, net foreign assets, foreign asset, net foreign asset, net foreign asset position, Open Economy Macroeconomics, trade balance, real exchange rate,

This paper examines the link between the net foreign asset position, the trade balance and the real exchange rate. In particular, it decomposes the impact of a country's net foreign asset position ("external wealth...

United States
			: Selected Issues

United States : Selected Issues »

Volume/Issue: 2001/149

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 August 2001

DOI: http://dx.doi.org/10.5089/9781451839586.002

ISBN: 9781451839586

Keywords: debt, financial assets, interest, balance sheets, federal reserve system

This Selected Issues paper analyzes the condition of household, corporate, and bank balance sheets; sustainability of the U.S. external current account deficit; the impact of a slowdown in the growth on the euro ar...

Financial System Soundness in the Caribbean
			: An Initial Assessment

Financial System Soundness in the Caribbean : An Initial Assessment »

Volume/Issue: 2001/123

Series: IMF Working Papers

Author(s): Desiree Cherebin , Rupert Worrell , and Tracy Polius

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451854619.001

ISBN: 9781451854619

Keywords: banking, financial institutions, financial system, financial assets, Financial Institutions and Services: General, Financial Institutions and Services: Government Policy and Regulation, Bahamas,

A survey of the financial systems of Caribbean countries reveals systems dominated by banks, with services widely available. Jamaica is the only country to have experienced a financial crisis. The paper describes r...

Long-Term Capital Movements

Long-Term Capital Movements »

Volume/Issue: 2001/107

Series: IMF Working Papers

Author(s): Philip Lane , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451852981.001

ISBN: 9781451852981

Keywords: Net foreign assets, demographics, foreign asset, foreign assets, net foreign asset, foreign asset position, International Lending and Debt Problems,

International financial integration allows countries to become net creditors or net debtors with respect to the rest of the world. In this paper, we show that a small set of fundamentals-shifts in relative output l...

The Asset Allocation of Emerging Market Mutual Funds

The Asset Allocation of Emerging Market Mutual Funds »

Volume/Issue: 2001/111

Series: IMF Working Papers

Author(s): Piti Disyatat , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

DOI: http://dx.doi.org/10.5089/9781451853476.001

ISBN: 9781451853476

Keywords: asset allocation, portfolio choice, contagion, statistic, risk aversion, optimization, correlation, covariance,

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedica...

The Inverted Fisher Hypothesis
			: Inflation Forecastability and Asset Substitution"

The Inverted Fisher Hypothesis : Inflation Forecastability and Asset Substitution" »

Volume/Issue: 2000/194

Series: IMF Working Papers

Author(s): Woon Choi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2000

DOI: http://dx.doi.org/10.5089/9781451859850.001

ISBN: 9781451859850

Keywords: Inverted Fisher hypothesis, asset substitution, inflation forecastability, switching regression, threshold effect, nominal interest rate, inflation process, high inflation, inflation rate

This paper examines the implications of inflation persistence for the inverted Fisher hypothesis that nominal interest rates do not adjust to inflation because of a high degree of substitutability between money and...

Haiti
			: Background Paper

Haiti : Background Paper »

Volume/Issue: 1999/118

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 October 1999

DOI: http://dx.doi.org/10.5089/9781451817577.002

ISBN: 9781451817577

Keywords: commercial banks, current account, net foreign assets, central bank, current account balance

In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discuss...

Recapitalizing Banks with Public Funds
			: Selected Issues

Recapitalizing Banks with Public Funds : Selected Issues »

Volume/Issue: 1999/139

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1999

DOI: http://dx.doi.org/10.5089/9781451856026.001

ISBN: 9781451856026

Keywords: asset management companies, asset valuation, bank restructuring agencies, Tier 1 capital, Tier 2 capital, restructuring, debt, loans, recapitalization, debt restructuring

Recapitalizing banks in a systemic crisis is a complex medium-term process that requires significant government intervention and careful management at both the strategic and individual bank levels. This paper highl...

Market-Based Policy Instruments for Systemic Bank Restructuring

Market-Based Policy Instruments for Systemic Bank Restructuring »

Volume/Issue: 1998/113

Series: IMF Working Papers

Author(s): Tamim Bayoumi , and Paul Masson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1998

DOI: http://dx.doi.org/10.5089/9781451944235.001

ISBN: 9781451944235

Keywords: Financial Sector Policy, Banking Crisis, Restructuring, Central Banking, banking, deposit insurance, bank restructuring, asset management, systemic bank restructuring

Since the early 1980s, well over 100 countries have experienced systemic bank insolvencies. An important innovation among the resulting policies for reestablishing bank soundness has been the reliance on market-bas...

Liquid Asset Ratios and Financial Sector Reform

Liquid Asset Ratios and Financial Sector Reform »

Volume/Issue: 1997/144

Series: IMF Working Papers

Author(s): Anne Gulde

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1997

DOI: http://dx.doi.org/10.5089/9781451856408.001

ISBN: 9781451856408

Keywords: Banks, Banking Regulation, Central Bank Policy, liquid asset, banking, reserve requirement, financial sector, bonds

As a monetary, selective credit, and government debt-management instrument, a liquid asset ratio is generally inefficient and may introduce serious distortions. However, it may play a limited role as a prudential i...

Real Interest Rates, Real Exchange Rates, and Net Foreign Assets in the Adjustment Process

Real Interest Rates, Real Exchange Rates, and Net Foreign Assets in the Adjustment Process »

Volume/Issue: 1995/129

Series: IMF Working Papers

Author(s): Thomas Helbling , and Bart Turtelboom

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1995

DOI: http://dx.doi.org/10.5089/9781451934731.001

ISBN: 9781451934731

Keywords: net foreign asset, foreign asset, net foreign asset position, foreign asset position, foreign assets

This paper analyzes the recent behavior of real exchange rates, the trade balance and the net foreign asset position of the United States in an intertemporal optimizing model of the world economy that incorporates...

Monetary Aggregation
			: A Reconciliation of Theory and Central Bank Practice

Monetary Aggregation : A Reconciliation of Theory and Central Bank Practice »

Volume/Issue: 1994/118

Series: IMF Working Papers

Author(s): Mahmood Pradhan , and Huw Pill

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1994

DOI: http://dx.doi.org/10.5089/9781451940756.001

ISBN: 9781451940756

Keywords: aggregates, aggregation, monetary assets, monetary aggregates, monetary aggregate

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, inclu...

Net Foreign Assets and International Adjustment
			: The United States, Japan, and Germany

Net Foreign Assets and International Adjustment : The United States, Japan, and Germany »

Volume/Issue: 1993/33

Series: IMF Working Papers

Author(s): Jocelyn Horne , Paul Masson , and Jeroen Kremers

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1993

DOI: http://dx.doi.org/10.5089/9781451979244.001

ISBN: 9781451979244

Keywords: net foreign assets, foreign assets, foreign asset, net foreign asset, foreign asset positions

This paper examines external adjustment in the United States, Japan and Germany from the perspective of net foreign asset positions. It asks two questions: What are, in the long run, the determinants of net foreign...

External Imbalances and Fiscal Policy in the Group of Three Countries
			: The Role of Stock-Flow Dynamics

External Imbalances and Fiscal Policy in the Group of Three Countries : The Role of Stock-Flow Dynamics »

Volume/Issue: 1989/81

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 October 1989

DOI: http://dx.doi.org/10.5089/9781451954937.001

ISBN: 9781451954937

Keywords: foreign assets, net foreign assets, foreign asset, net foreign asset

This paper discusses recent empirical research on the interplay between fiscal policies and external imbalances in the G3 countries, focusing on the stock-flow dynamics of public and foreign deficits and debt accum...

Net Foreign Assets and International Adjustment in the United States, Japan and the Federal Republic of Germany

Net Foreign Assets and International Adjustment in the United States, Japan and the Federal Republic of Germany »

Volume/Issue: 1989/22

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 March 1989

DOI: http://dx.doi.org/10.5089/9781451921144.001

ISBN: 9781451921144

Keywords: foreign asset, foreign assets, net foreign assets, net foreign asset, foreign asset positions

This paper examines external adjustment in the U.S., Japan and Germany from the perspective of net foreign asset positions. It asks two questions: What are, in the long run, the determinants of net foreign asset eq...

An Analysis of Reserve Tranche Positions and their Use

An Analysis of Reserve Tranche Positions and their Use »

Volume/Issue: 1988/107

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 December 1988

DOI: http://dx.doi.org/10.5089/9781451946659.001

ISBN: 9781451946659

Keywords: reserve tranche, reserve tranche positions, balance of payments, current account, reserve assets

The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, inclu...

Potential Role SDR Diversified Currency Portfolios Central Bank

Potential Role SDR Diversified Currency Portfolios Central Bank »

Volume/Issue: 1988/81

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 August 1988

DOI: http://dx.doi.org/10.5089/9781451954890.001

ISBN: 9781451954890

Keywords: reserve assets, exchange rate, exchange rates, foreign exchange, central banks

This paper compares the SDR in terms of its risk-return characteristics relative to those of its five components and, on this basis, finds that the SDR has performed favorably over the period under review. In addit...

Liberalization, Crisis, Intervention
			: The Chilean Financial System, 1975-1985

Liberalization, Crisis, Intervention : The Chilean Financial System, 1975-1985 »

Volume/Issue: 1988/66

Series: IMF Working Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 July 1988

DOI: http://dx.doi.org/10.5089/9781451961850.001

ISBN: 9781451961850

Keywords: central bank, financial system, financial assets, financial institutions, financial reform

This paper surveys the evolution of the Chilean financial system from 1975 to 1985, analyzes the causes and the consequences of the major crisis in the financial system during 1981-83, and examines the measures ada...

Réflexions à propos d'un Fonds monétaire international utilisant exclusivement le DTS

Réflexions à propos d'un Fonds monétaire international utilisant exclusivement le DTS »

Series: Pamphlet Series

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1979

Language: French

DOI: http://dx.doi.org/10.5089/9781451950939.054

ISBN: 9781451950939

Keywords: reserve tranche, monetary fund, reserve tranche positions, reserve positions, balance of payments, credit tranches, general resources account, sdr holdings, expenditure, international monetary system

...

Special Drawing Rights
			: The Role of Language

Special Drawing Rights : The Role of Language »

Series: Pamphlet Series

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 January 1971

DOI: http://dx.doi.org/10.5089/9781451968736.054

ISBN: 9781451968736

Keywords: reserve assets, monetary fund, reserve asset, monetary reserves, reserve currencies

This paper deals with one aspect of the drafting of the amendment, the choice of language, and more particularly the two expressions-special drawing rights and a supplement to existing reserve assets. It shows the...