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Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices »

Source: Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

Volume/Issue: 2014/81

Series: IMF Working Papers

Author(s): Franziska Ohnsorge , Marcin Wolski , and Yuanyan Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 May 2014

ISBN: 9781484381588

Keywords: Feedback loops, Sovereigns, bond yields, bond, sovereign bond, bond yield, equity prices, General, Globalization: Finance,

We create a network of bilateral correlations of changes in sovereign bond yields and individual bank equity price changes since 2000. We extract some stylized facts from this network of asset price correlations an...

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...

News and Monetary Shocks at a High Frequency

News and Monetary Shocks at a High Frequency »

Source: News and Monetary Shocks at a High Frequency : A Simple Approach

Volume/Issue: 2014/167

Series: IMF Working Papers

Author(s): Troy Matheson , and Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2014

ISBN: 9781498324854

Keywords: Economic News, bond yields, bond, equity prices, term bond, financial market, Forecasting and Other Model Applications, Forecasting and Simulation,

We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve's May...

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets1

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets1 »

Source: Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Volume/Issue: 2004/27

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Yoon Sook Kim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451844559

Keywords: Credit derivatives, bond spreads, price discovery, bond, cointegration, equity markets, General Financial Markets: General (includes Measurement and Data),

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads c...

Unforeseen Events Wait Lurking

Unforeseen Events Wait Lurking »

Source: 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

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...

Capital Market Integration

Capital Market Integration »

Source: Capital Market Integration : Progress Ahead of the East African Community Monetary Union

Volume/Issue: 2012/18

Series: IMF Working Papers

Author(s): Masafumi Yabara

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463931230

Keywords: East African Community, monetary union, capital market, equity, stock, bond, beta convergence, sigma convergence, cointegration, stock market

Capital markets in the East African Community (EAC) face common challenges of low capitalization and liquidity, but to different degrees. EAC member countries have made noticeable progress in developing domestic ca...

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices

Safe Havens, Feedback Loops, and Shock Propagation in Global Asset Prices »

Volume/Issue: 2014/81

Series: IMF Working Papers

Author(s): Franziska Ohnsorge , Marcin Wolski , and Yuanyan Zhang

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 May 2014

DOI: http://dx.doi.org/10.5089/9781484381588.001

ISBN: 9781484381588

Keywords: Feedback loops, Sovereigns, bond yields, bond, sovereign bond, bond yield, equity prices, General, Globalization: Finance,

We create a network of bilateral correlations of changes in sovereign bond yields and individual bank equity price changes since 2000. We extract some stylized facts from this network of asset price correlations an...

Country Transparency and the Global Transmission of Financial Shocks

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

DOI: http://dx.doi.org/10.5089/9781484397237.001

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...

News and Monetary Shocks at a High Frequency
			: A Simple Approach

News and Monetary Shocks at a High Frequency : A Simple Approach »

Volume/Issue: 2014/167

Series: IMF Working Papers

Author(s): Troy Matheson , and Emil Stavrev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2014

DOI: http://dx.doi.org/10.5089/9781498324854.001

ISBN: 9781498324854

Keywords: Economic News, bond yields, bond, equity prices, term bond, financial market, Forecasting and Other Model Applications, Forecasting and Simulation,

We develop a simple approach to identify economic news and monetary shocks at a high frequency. The approach is used to examine financial market developments in the United States following the Federal Reserve's May...

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets »

Volume/Issue: 2004/27

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Yoon Sook Kim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

DOI: http://dx.doi.org/10.5089/9781451844559.001

ISBN: 9781451844559

Keywords: Credit derivatives, bond spreads, price discovery, bond, cointegration, equity markets, General Financial Markets: General (includes Measurement and Data),

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads c...