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Cointegration of International Stock Market Indices

Cointegration of International Stock Market Indices »

Source: Cointegration of International Stock Market Indices

Volume/Issue: 1994/94

Series: IMF Working Papers

Author(s): Ray Chou , Victor Ng , and Lynn Pi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1994

ISBN: 9781451950700

Keywords: stock market, stock markets, stock market prices, international capital

In this paper, we derive evidence on the integration of international stock markets from the cointegration properties of international stock market prices. Using the multivariate cointegration test of Johansen, we...

Comovements in National Stock Market Returns

Comovements in National Stock Market Returns »

Source: Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration

Volume/Issue: 1996/28

Series: IMF Working Papers

Author(s): Anthony Richards

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

ISBN: 9781451844610

Keywords: cointegration, predictability, statistics, stock market, stock prices

This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymp...

Portfolio Preference Uncertainty and Gains From Policy Coordination

Portfolio Preference Uncertainty and Gains From Policy Coordination »

Source: Portfolio Preference Uncertainty and Gains From Policy Coordination

Volume/Issue: 1991/64

Series: IMF Working Papers

Author(s): Paul Masson

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 1991

ISBN: 9781451848465

Keywords: stock market, monetary policy, stock market crash, financial markets, inflation, Research Department,

International macroeconomic policy coordination is generally considered to be made less likely—and less profitable—by the presence of uncertainty about how the economy works. The present paper provide...

The Stock of Intangible Capital in Canada

The Stock of Intangible Capital in Canada »

Source: The Stock of Intangible Capital in Canada : Evidence from the Aggregate Value of Securities

Volume/Issue: 2009/250

Series: IMF Working Papers

Author(s): Nazim Belhocine

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2009

ISBN: 9781451873979

Keywords: q-Theory, Unrecorded Capital, capital stock, capital formation, capital accumulation, stock market, Financial Markets and the Macroeconomy,

This paper measures the size of the stock of intangible capital in Canada using newly released data on the market value of all securities in the economy. The approach taken relies on a quantitative application of t...

Additions to Market Indices and the Comovement of Stock Returns Around the World

Additions to Market Indices and the Comovement of Stock Returns Around the World »

Source: Additions to Market Indices and the Comovement of Stock Returns Around the World

Volume/Issue: 2011/47

Series: IMF Working Papers

Author(s): Yishay Yafeh , and Stijn Claessens

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455218950

Keywords: Index inclusion, stock price comovements, category, habitat and information theories, index-based investment, investors, institutional investors, stock market, stock price, stock prices,

Using newly-constructed data covering the last decade, we document that, in most of forty markets, when added to the main index, firms' returns experience an increase in comovement with the rest of the index, refle...

New Economy Stock Valuations and Investment in the 1990s

New Economy Stock Valuations and Investment in the 1990s »

Source: New Economy Stock Valuations and Investment in the 1990s

Volume/Issue: 2001/78

Series: IMF Working Papers

Author(s): Torsten Sloek , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2001

ISBN: 9781451850109

Keywords: real investment, new economy, stock market, stock market capitalization, stock valuations, stock prices, Macroeconomics: Consumption, Saving, Production, Employment

This paper investigates whether there is a different impact from changes in "new" and "old" economy stock valuations on private investment for seven OECD economies. A vector autoregressive model is estimated for ea...

Financial Stability Reports:What Are they Good for?

Financial Stability Reports:What Are they Good for? »

Source: Financial Stability Reports : What Are they Good for?

Volume/Issue: 2012/1

Series: IMF Working Papers

Author(s): Sònia Muñoz , Samir Jahjah , Martin Cihak , Sharika Sharifuddin , and Kalin Tintchev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2012

ISBN: 9781463929923

Keywords: Central Banking, Macro-Prudential Tools, Systemic Risk, banking, financial system, banking system, stock market

The global financial crisis has renewed policymakers' interest in improving the policy framework for financial stability, and an open question is to what extent and in what form should financial stability reports b...

Gauging Housing Supply in Canada

Gauging Housing Supply in Canada »

Source: Gauging Housing Supply in Canada : A Stock Approach

Volume/Issue: 2015/128

Series: IMF Working Papers

Author(s): Julien Reynaud

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 June 2015

ISBN: 9781513577784

Keywords: Real Estate, household, housing stock, housing units, construction, Regional, Urban, and Rural Analyses, Housing Demand, Housing Supply and Markets,

This paper estimates Canada's housing stock to gauge the supply-side component of the recent exuberance in the Canadian housing sector. The paper adds to the current related literature by focusing on housing units...

The Impact of Changes in Stock Prices and House Priceson Consumption in OECD Countries

The Impact of Changes in Stock Prices and House Priceson Consumption in OECD Countries »

Source: The Impact of Changes in Stock Prices and House Priceson Consumption in OECD Countries

Volume/Issue: 2002/1

Series: IMF Working Papers

Author(s): Alexander Ludwig , and Torsten Sloek

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2002

ISBN: 9781451841640

Keywords: wealth effect, panel cointegration, stock market, statistics, financial systems, stock prices, equation, Macroeconomics: Consumption, Saving, Production

This paper quantifies the different impact of stock and house prices on consumption using data for 16 OECD countries. The analysis finds that the long-run impact of an increase in stock prices and house prices is i...

The Embodiment of Intangible Investment Goods

The Embodiment of Intangible Investment Goods »

Source: The Embodiment of Intangible Investment Goods : a Q-Theory Approach

Volume/Issue: 2010/86

Series: IMF Working Papers

Author(s): Nazim Belhocine

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

ISBN: 9781451982626

Keywords: Intangible Investment, Q-Theory, Skill Premium, Investment Deflator, capital stock, investment goods, cost of capital, skilled workers, Financial Markets and the Macroeconomy,

This paper extends the q-theory of investment to model explicitly the decision of firms to invest in intangibles and measures the contribution of intangible goods to the overall capital stock in the U.S. The model...