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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...

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...

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...

Interconnectedness, Systemic Crises and Recessions

Interconnectedness, Systemic Crises and Recessions »

Source: Interconnectedness, Systemic Crises and Recessions

Volume/Issue: 2015/46

Series: IMF Working Papers

Author(s): Marco Espinosa-Vega , and Steven Russell

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2015

ISBN: 9781498386029

Keywords: recession, bank, banks, loans, risk, liquidation, Portfolio Choice, Asset Pricing, General,

This relatively simple model attempts to capture and integrate four widely held views about financial crises. [1] Interconnectedness among financial institutions (banks) can play a major role in precipitating syste...

Canada

Canada »

Source: Canada : Staff Report for the 2011 Article IV Consultation

Volume/Issue: 2011/364

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 December 2011

ISBN: 9781463929220

Keywords: financial institutions, commodity prices, domestic demand, terms of trade, financial assets

The Canadian monetary and fiscal policies have remained accommodative, reflecting in large measure the effective response to the crisis. Canada is expected to set the appropriate policy mix in the future, at a time...

Canada: Staff Report for the 2011 Article IV Consultation—Informational Annex

Canada: Staff Report for the 2011 Article IV Consultation—Informational Annex »

Source: Canada : Staff Report for the 2011 Article IV Consultation

Volume/Issue: 2011/364

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 December 2011

ISBN: 9781463929220

Keywords: financial institutions, commodity prices, domestic demand, terms of trade, financial assets

The Canadian monetary and fiscal policies have remained accommodative, reflecting in large measure the effective response to the crisis. Canada is expected to set the appropriate policy mix in the future, at a time...

Statement by the IMF Staff Representative on Canada

Statement by the IMF Staff Representative on Canada »

Source: Canada : Staff Report for the 2011 Article IV Consultation

Volume/Issue: 2011/364

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 December 2011

ISBN: 9781463929220

Keywords: financial institutions, commodity prices, domestic demand, terms of trade, financial assets

The Canadian monetary and fiscal policies have remained accommodative, reflecting in large measure the effective response to the crisis. Canada is expected to set the appropriate policy mix in the future, at a time...

IMF Executive Board Concludes Article IV Consultation with Canada

IMF Executive Board Concludes Article IV Consultation with Canada »

Source: Canada : Staff Report for the 2011 Article IV Consultation

Volume/Issue: 2011/364

Series: IMF Staff Country Reports

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 December 2011

ISBN: 9781463929220

Keywords: financial institutions, commodity prices, domestic demand, terms of trade, financial assets

The Canadian monetary and fiscal policies have remained accommodative, reflecting in large measure the effective response to the crisis. Canada is expected to set the appropriate policy mix in the future, at a time...