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Estimating Parameters of Short-Term Real Interest Rate Models1

Estimating Parameters of Short-Term Real Interest Rate Models1 »

Source: Estimating Parameters of Short-Term Real Interest Rate Models

Volume/Issue: 2013/212

Series: IMF Working Papers

Author(s): Vadim Khramov

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 October 2013

ISBN: 9781475594645

Keywords: Real Interest Rate, Single-factor Models, Short-term Interest Rate, interest rate, interest, interest rates, real interest, Asset Pricing, Asset Pricing, and Short-term Interest Rate.,

This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and...

Measuring Global and Country-Specific Uncertainty

Measuring Global and Country-Specific Uncertainty »

Source: Measuring Global and Country-Specific Uncertainty

Volume/Issue: 2017/219

Series: IMF Working Papers

Author(s): Ezgi Ozturk , and Xuguang Simon Sheng

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

ISBN: 9781484316597

Keywords: Capital Asset Pricing Model; Common Uncertainty; Consensus Forecasts; Idiosyncratic Uncertainty; Global Uncertainty; Survey Forecast, Capital Asset Pricing Model, Common Uncertainty, Consensus Forecasts, Idiosyncratic Uncertainty, Global Uncertainty, Survey Forecast

Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Foreca...

When and How to Adjust Beyond the Business Cycle? A Guide to Structural Fiscal Balances

When and How to Adjust Beyond the Business Cycle? A Guide to Structural Fiscal Balances »

Source: When and How to Adjust Beyond the Business Cycle? A Guide to Structural Fiscal Balances

Volume: 11

Series: Technical Notes and Manuals

Author(s): Fabian Bornhorst , Annalisa Fedelino , Jan Gottschalk , and Gabriela Dobrescu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 April 2011

ISBN: 9781475510201

Keywords: Commodity prices, fiscal policy, cyclical adjustment, structural fiscal balance, business cycle fluctuations, asset prices, output composition, output, tax, prices

Technical Notes and Manuals are produced by IMF departments to expand the dissemination of their technical assistance advice. These papers present general advice and guidance, drawn in part from unpublished techni...

Do Commodity Futures Help Forecast Spot Prices?

Do Commodity Futures Help Forecast Spot Prices? »

Source: Do Commodity Futures Help Forecast Spot Prices?

Volume/Issue: 2011/254

Series: IMF Working Papers

Author(s): David Reichsfeld , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

ISBN: 9781463923891

Keywords: Asset Pricing, Futures Pricing, Financial Forecasting, futures price, futures prices, forecasting, random walk, futures markets, General Financial Markets: General (includes Measurement and Data),

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on...

Can Global Liquidity Forecast Asset Prices?1

Can Global Liquidity Forecast Asset Prices?1 »

Source: Can Global Liquidity Forecast Asset Prices?

Volume/Issue: 2010/196

Series: IMF Working Papers

Author(s): Reginald Darius

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2010

ISBN: 9781455205264

Keywords: Asset Price, Spillover Analysis, central bank, global financial crisis, private credit, Financial Markets and the Macroeconomy,

During the period leading up to the global financial crisis many asset classes registered rapid price increases. This coincided with a significant rise in global liquidity. This paper attempts to determine the exte...

Determinants of Sovereign Bond Spreads in Emerging Markets

Determinants of Sovereign Bond Spreads in Emerging Markets »

Source: Determinants of Sovereign Bond Spreads in Emerging Markets : Local Fundamentals and Global Factors vs. Ever-Changing Misalignments

Volume/Issue: 2013/164

Series: IMF Working Papers

Author(s): Balazs Csonto , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 July 2013

ISBN: 9781475573206

Keywords: Emerging market debt, spreads, misalignment, bond, bond spreads, emerging market bond, market bond, Asset Pricing,

We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developme...

Pressure or Prudence? Tales of Market Pressure and Fiscal Adjustment

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

Source: 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

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...

Country Transparency and the Global Transmission of Financial Shocks

Country Transparency and the Global Transmission of Financial Shocks »

Source: Country Transparency and the Global Transmission of Financial Shocks

Volume/Issue: 2013/156

Series: IMF Working Papers

Author(s): Luis Brandao Marques , R. Gelos , and Natalia Melgar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 July 2013

ISBN: 9781484397237

Keywords: transmission of global financial shocks, bond, stock returns, equity markets, bond spreads, bond returns, Asset Pricing,

This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers. We provide a simple model where, in the presence of ambiguity...

Ownership of Capital in Monetary Economies and the Inflation Tax on Equity

Ownership of Capital in Monetary Economies and the Inflation Tax on Equity »

Source: Ownership of Capital in Monetary Economies and the Inflation Tax on Equity

Volume/Issue: 1999/167

Series: IMF Working Papers

Author(s): Thomas Cosimano , Ralph Chami , and Connel Fullenkamp

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1999

ISBN: 9781451858167

Keywords: inflation tax, channel of monetary policy, asset pricing, equation, stock returns, equations, financial instruments, bonds

Financial instruments are subject to inflation taxes on the wealth they represent and on the nominal income flows they provide. This paper explicitly introduces financial instruments into the standard stochastic gr...

The Equilibrium Distributions of Value for Risky Stocks and Bonds

The Equilibrium Distributions of Value for Risky Stocks and Bonds »

Source: The Equilibrium Distributions of Value for Risky Stocks and Bonds

Volume/Issue: 2001/39

Series: IMF Working Papers

Author(s): Ronald Johannes

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2001

ISBN: 9781451845839

Keywords: Capital assets, distribution of expected price, market fundamentals, investor sentiment, probability, bonds, probability distribution, equations,

Within a unified theory for stocks and corporate bonds, based on dynamic optimization by investors, this paper derives analytical expressions for the momentary distributions of expected price, respectively known to...