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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...

Financial Conditions Indexes for the United States and Euro Area

Financial Conditions Indexes for the United States and Euro Area »

Source: Financial Conditions Indexes for the United States and Euro Area

Volume/Issue: 2011/93

Series: IMF Working Papers

Author(s): Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

ISBN: 9781455253326

Keywords: Financial Conditions, Short-term Forecasting, Real-Time Data, forecasting, bond, bond spread, government bond, bond yield, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,

Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for fore...

The Corporate Spread Curve and Industrial Production in the United States

The Corporate Spread Curve and Industrial Production in the United States »

Source: The Corporate Spread Curve and Industrial Production in the United States

Volume/Issue: 2002/8

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2002

ISBN: 9781451842524

Keywords: Investment grade bonds, corporate spreads, term structure, real activity, GMM estimation, bonds, bond, random walk, corporate bond, Prices

The term structure of domestic investment grade bond spreads - or corporate spread curve - contains useful information to predict future changes in industrial production, beyond the information already contained in...

Corporate Bond Risk and Real Activity

Corporate Bond Risk and Real Activity »

Source: Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components

Volume/Issue: 2001/158

Series: IMF Working Papers

Author(s): Iryna Ivaschenko , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451857580

Keywords: Investment grade bonds, corporate spreads, business cycle, GMM estimation, systematic risk, principal components analysis, regime-switching, Markov process, bonds, bond

This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the futur...

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...

Financial Conditions Indexes for the United States and Euro Area

Financial Conditions Indexes for the United States and Euro Area »

Volume/Issue: 2011/93

Series: IMF Working Papers

Author(s): Troy Matheson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2011

DOI: http://dx.doi.org/10.5089/9781455253326.001

ISBN: 9781455253326

Keywords: Financial Conditions, Short-term Forecasting, Real-Time Data, forecasting, bond, bond spread, government bond, bond yield, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy,

Financial conditions indexes are developed for the United States and euro area using a wide range of financial indicators and a dynamic factor model. The financial conditions indexes are shown to be useful for fore...

The Corporate Spread Curve and Industrial Production in the United States

The Corporate Spread Curve and Industrial Production in the United States »

Volume/Issue: 2002/8

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2002

DOI: http://dx.doi.org/10.5089/9781451842524.001

ISBN: 9781451842524

Keywords: Investment grade bonds, corporate spreads, term structure, real activity, GMM estimation, bonds, bond, random walk, corporate bond, Prices

The term structure of domestic investment grade bond spreads - or corporate spread curve - contains useful information to predict future changes in industrial production, beyond the information already contained in...

Corporate Bond Risk and Real Activity
			: An Empirical Analysis of Yield Spreads and Their Systematic Components

Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components »

Volume/Issue: 2001/158

Series: IMF Working Papers

Author(s): Iryna Ivaschenko , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

DOI: http://dx.doi.org/10.5089/9781451857580.001

ISBN: 9781451857580

Keywords: Investment grade bonds, corporate spreads, business cycle, GMM estimation, systematic risk, principal components analysis, regime-switching, Markov process, bonds, bond

This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the futur...