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International Monetary Fund. Research Dept.
This paper examines the volatility and predictability of emerging stock markets. A range of measures suggests that, despite perceptions to the contrary, the volatility of emerging markets may have fallen rather than risen on average. Also, although the autocorrelations in emerging market returns appear to turn negative at horizons of a year or more, the magnitude of these return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries.
International Monetary Fund. External Relations Dept.
Earlier this year, Abdoulaye Bio-Tchané took over as Director of the IMF’s African Department. Before joining the IMF staff, he was Benin’s Minister of Finance and Economy. He began his career as an economist in the Central Bank of West African States (BCEAO), where he rose to become Director of the Economic and Monetary Survey Department. He recently returned from a one-week trip with IMF Managing Director Horst Köhler to Burkina Faso, Côte d’Ivoire, Democratic Republic of the Congo, Ghana, and Tanzania. At the end of the trip, on May 3, Köhler announced that the IMF plans to establish five regional centers in Africa to strengthen locally based technical assistance and training.
Mr. Amadou N Sy and Luis Rivera-Batiz
Currency boards operate differently from standard pegs. The former exhibit greater currency stability and lower transaction costs, inflation, and nominal interest rates, but are limited in their use of devaluation. We extend Drazen and Masson’s (1994) signaling model to consider the choice between currency board arrangements and standard pegs. The model shows that currency boards’ effectiveness hinges on their credibility properties and that they can improve welfare even with high unemployment persistence. By reducing expected inflation and the negative employment effect arising from expected but unrealized inflation, currency boards can produce less unemployment than peg regimes that abstain from devaluation.
Mr. Philip R. Lane and Mr. Gian M Milesi-Ferretti
Recent years have witnessed a change in the composition of capital flows to developing countries, and FDI and equity flows have been playing an increasing role. In this paper we discuss the challenges for international macroeconomics that these developments pose and characterize stylized facts associated with the structure of external liabilities in developing countries, focusing in particular on FDI and equity stocks.