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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...

Liquidity Stress Tests for Investment Funds: A Practical Guide

Liquidity Stress Tests for Investment Funds: A Practical Guide »

Source: Liquidity Stress Tests for Investment Funds: A Practical Guide

Volume/Issue: 2017/226

Series: IMF Working Papers

Author(s): Antoine Bouveret

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 31 October 2017

ISBN: 9781484324783

Keywords: Liquidity, stress test, investment funds, redemption, Financial Markets and the Macroeconomy, Asset Pricing

This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment...

Sub-National Government’s Risk Premia

Sub-National Government’s Risk Premia »

Source: 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

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...

Can Global Liquidity Forecast Asset Prices?

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

DOI: http://dx.doi.org/10.5089/9781455205264.001

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...

Liquidity Stress Tests for Investment Funds: A Practical Guide

Liquidity Stress Tests for Investment Funds: A Practical Guide »

Volume/Issue: 2017/226

Series: IMF Working Papers

Author(s): Antoine Bouveret

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 31 October 2017

DOI: http://dx.doi.org/10.5089/9781484324783.001

ISBN: 9781484324783

Keywords: Liquidity, stress test, investment funds, redemption, Financial Markets and the Macroeconomy, Asset Pricing

This paper outlines a framework to perform liquidity stress tests for investment funds. Practical aspects related to the calibration of the redemption shock, the measurement of liquidity buffers and the assessment...

Identifying Speculative Bubbles

Identifying Speculative Bubbles »

Source: Identifying Speculative Bubbles : A Two-Pillar Surveillance Framework

Volume/Issue: 2014/208

Series: IMF Working Papers

Author(s): Bradley Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 November 2014

ISBN: 9781498332071

Keywords: Market efficiency, Financial crises, equity, issuance, market, stock, markets, Financial Markets and the Macroeconomy, Asset Pricing, Government Policy and Regulation

In the aftermath of the global financial crisis, the issue of how best to identify speculative asset bubbles (in real-time) remains in flux. This owes to the difficulty of disentangling irrational investor exuberan...

Financial Crises in DSGE Models: Selected Applications of MAPMOD

Financial Crises in DSGE Models: Selected Applications of MAPMOD »

Source: Financial Crises in DSGE Models : Selected Applications of MAPMOD

Volume/Issue: 2014/56

Series: IMF Working Papers

Author(s): Jaromir Benes , Michael Kumhof , and Douglas Laxton

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 April 2014

ISBN: 9781475540239

Keywords: lending boom, credit crunch, financial cycle, asset price bubble, capital adequacy, capital adequacy ratio, capital adequacy ratios, capital inflow, Financial Markets and the Macroeconomy, Forecasting and Simulation,

This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis....

Italian Sovereign Spreads

Italian Sovereign Spreads »

Source: Italian Sovereign Spreads : Their Determinants and Pass-through to Bank Funding Costs and Lending Conditions

Volume/Issue: 2013/84

Series: IMF Working Papers

Author(s): Edda Zoli

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 April 2013

ISBN: 9781484357705

Keywords: Italian sovereign spreads, bank funding costs, lending conditions, bond, bonds, government bond, bond yields, bond spreads, Financial Markets and the Macroeconomy, Asset Pricing,

Volatility in Italian sovereign spreads has increased since mid-2011. This paper finds that news on the euro area debt crisis and country specific events were important drivers of sovereign spreads. Movements in so...

Transmission of Financial Stress in Europe

Transmission of Financial Stress in Europe »

Source: Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, but not Greece

Volume/Issue: 2014/76

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo , and Christian Johnson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 02 May 2014

ISBN: 9781484368190

Keywords: Volatility, Contagion, Credit Default Swaps, financial crisis, financial markets, Time-Series Models, Model Construction and Estimation, Financial Markets and the Macroeconomy, Asset Pricing,

This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyse...

Financial Crises in DSGE Models: A Prototype Model

Financial Crises in DSGE Models: A Prototype Model »

Source: Financial Crises in DSGE Models : A Prototype Model

Volume/Issue: 2014/57

Series: IMF Working Papers

Author(s): Jaromir Benes , Michael Kumhof , and Douglas Laxton

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 04 April 2014

ISBN: 9781475540895

Keywords: lending boom, credit crunch, financialy cycle, asset price bubble, bank capital, bank balance sheets, bank deposits, banking, Financial Markets and the Macroeconomy, Forecasting and Simulation,

This paper presents the theoretical structure of MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, ban...