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The Present Value of Corporate Profits: A Forecasters' Survey Perspective1

The Present Value of Corporate Profits: A Forecasters' Survey Perspective1 »

Source: The Present Value of Corporate Profits: A Forecasters' Survey Perspective

Volume/Issue: 2019/12

Series: IMF Working Papers

Author(s): Michal Andrle

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 January 2019

ISBN: 9781484390047

Keywords: Asset prices, present value, corporate earnings, General, Asset Pricing, Forecasting and Simulation

This paper presents and discusses the estimates of the present value of corporate profits in the United States from 1984 to 2018. To value the expected income stream, it uses the long-range forecasts of professiona...

Correcting “Beyond the Cycle:” Accounting for Asset Prices in Structural Fiscal Balances1

Correcting “Beyond the Cycle:” Accounting for Asset Prices in Structural Fiscal Balances1 »

Source: 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

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...

The Role of Fiscal Transfers in Smoothing Regional Shocks

The Role of Fiscal Transfers in Smoothing Regional Shocks »

Source: The Role of Fiscal Transfers in Smoothing Regional Shocks : Evidence from Existing Federations

Volume/Issue: 2016/141

Series: IMF Working Papers

Author(s): Tigran Poghosyan , Abdelhak Senhadji , and Carlo Cottarelli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 July 2016

ISBN: 9781498379601

Keywords: public debt cycles, credit cycles, asset price cycles, duration analysis

We assess the extent to which fiscal transfers smooth regional shocks in three large federations: the U.S., Canada, and Australia. We find that fiscal transfers offset 4-11 percent of idiosyncratic shocks (risk-sha...

Costly Collateral and the Public Supply of Liquidity

Costly Collateral and the Public Supply of Liquidity »

Source: Costly Collateral and the Public Supply of Liquidity

Volume/Issue: 2000/125

Series: IMF Working Papers

Author(s): Philip Schellekens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2000

ISBN: 9781451854817

Keywords: Debt Finance, Collateral, Credit Constraints, Asset Price Volatility, entrepreneur, entrepreneurs

This paper addresses two complications arising from the use of collateral requirements in debt contracts between wealth-constrained entrepreneurs and banks. First, costly asset liquidation is found to enhance the s...

Assessing Default Risks for Chinese Firms

Assessing Default Risks for Chinese Firms »

Source: Assessing Default Risks for Chinese Firms : A Lost Cause?

Volume/Issue: 2015/140

Series: IMF Working Papers

Author(s): Daniel Law , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 June 2015

ISBN: 9781513597584

Keywords: default probabilities, equity, market, Asset Pricing, Financial Forecasting and Simulation,

Assessing default risks for Chinese firms is hard. Standard measures of risk using market indicators may be unreliable because of implicit guarantees, the large role played by less-informed investors, and other mar...

Commodities and the Market Price of Risk

Commodities and the Market Price of Risk »

Source: 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

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...

Asset Mispricing Due to Cognitive Dissonance

Asset Mispricing Due to Cognitive Dissonance »

Source: Asset Mispricing Due to Cognitive Dissonance

Volume/Issue: 2005/9

Series: IMF Working Papers

Author(s): Bernhard Eckwert , and Burkhard Drees

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2005

ISBN: 9781451860283

Keywords: Asset pricing, behavioral finance, cognitive dissonance, investors, stock prices, stock market, stock price, financial economics,

The behavior of equity prices is analyzed in a general equilibrium model where agents have preferences not only over consumption but also (implicitly) over their beliefs. To alleviate cognitive dissonance, investor...

How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock

How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock »

Source: How Commodity Price Curves and Inventories React to a Short-Run Scarcity Shock

Volume/Issue: 2010/222

Series: IMF Working Papers

Author(s): Nese Erbil , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2010

ISBN: 9781455208876

Keywords: Asset pricing, inventories, futures price, futures prices, inventory, contango, General Equilibrium and Disequilibrium: General,

How does a commodity market adjust to a temporary scarcity shock which causes a shift in the slope of the futures price curve? We find long-run relationships between spot and futures prices, inventories and interes...

New Shocks and Asset Price Volatility in General Equilibrium1

New Shocks and Asset Price Volatility in General Equilibrium1 »

Source: New Shocks and Asset Price Volatility in General Equilibrium

Volume/Issue: 2011/110

Series: IMF Working Papers

Author(s): Alessandro Rebucci , Akito Matsumoto , Pietro Cova , and Massimiliano Pisani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2011

ISBN: 9781455261390

Keywords: New shocks, Asset Price, volatility, news, asset prices, interest rate, International Finance: General, Macroeconomic Aspects of International Trade and Finance: General,

We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1988) shows, in a partial equilibrium present discounted value model, news about the...

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...