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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...

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...

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...

Irrational Exuberance in the U.S. Housing Market

Irrational Exuberance in the U.S. Housing Market »

Source: Irrational Exuberance in the U.S. Housing Market : Were Evangelicals Left Behind?

Volume/Issue: 2009/57

Series: IMF Working Papers

Author(s): Christopher Crowe

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2009

ISBN: 9781451872040

Keywords: house prices, economics of Religion, asset price cycles, religion, survey, correlation, protestants, statistics,

The recent housing bust has reignited interest in psychological theories of speculative excess (Shiller, 2007). I investigate this issue by identifying a segment of the U.S. population-evangelical protestants-that...

Institutionalizing Countercyclical Investment

Institutionalizing Countercyclical Investment »

Source: Institutionalizing Countercyclical Investment

Volume/Issue: 2016/38

Series: IMF Working Papers

Author(s): Bradley Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 February 2016

ISBN: 9781513512495

Keywords: Asset Allocation, Asset Owners, Momentum, Risk Management, asset, investment, risk, returns, Asset Pricing, Government Policy and Regulation

Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations? And if countercyclical investment (with both market-stabilizing and return-generati...

How Do Public Debt Cycles Interact with Financial Cycles?

How Do Public Debt Cycles Interact with Financial Cycles? »

Source: How Do Public Debt Cycles Interact with Financial Cycles?

Volume/Issue: 2015/248

Series: IMF Working Papers

Author(s): Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 25 November 2015

ISBN: 9781513511641

Keywords: public debt cycles, credit cycles, asset price cycles, duration analysis, debt, public debt, price, prices, equity, General

We employ a duration model to study determinants of public debt cycles in 57 advanced and emerging economies over the 1960-2014 period, with a particular focus on the impact of financial cycles. The results suggest...

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...

The Stock Market Channel of Monetary Policy

The Stock Market Channel of Monetary Policy »

Source: The Stock Market Channel of Monetary Policy

Volume/Issue: 1999/22

Series: IMF Working Papers

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

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1999

ISBN: 9781451843958

Keywords: inflation tax, channel of monetary policy, asset pricing, money supply, monetary transmission

This paper argues that the stock market is an important channel of monetary policy. Monetary policy affects real economic activity because inflation levies a property tax on stocks in addition to an income tax on d...

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...

European Union Enlargement and Equity Markets in Accession Countries

European Union Enlargement and Equity Markets in Accession Countries »

Source: European Union Enlargement and Equity Markets in Accession Countries

Volume/Issue: 2005/182

Series: IMF Working Papers

Author(s): Richard Podpiera , and Tomás Dvorák

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2005

ISBN: 9781451862010

Keywords: asset pricing, international financial integration, EU enlargement, accession countries, stock prices, world market, market integration, stock price, Financial Aspects of Economic Integration,

The announcement of the European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the rep...