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Business and Economics > Investments: Stocks

You are looking at 1 - 10 of 471 items for :

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  • IMF Working Papers x
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Cover IMF Working Papers
Long-Term Debt and Short-Term Rates: Fixed-Rate Mortgages and Monetary Transmission
Alessia De Stefani
and
Rui Mano
We study the two-way relationship between fixed-rate mortgages (FRMs) and monetary policy in a panel of up to 35 countries over the last two decades. The dataset includes quarterly information on the composition of mortgage flows and stock by type of rate-fixation and monetary policy shocks cleaned of information effects. Using instrumental-variablel local projections, we find both path- and state-dependency in monetary transmission. Monetary policy shapes mortgage choice, increasing (decreasing) the share of FRMs during easing (tightening) cycles. Over time, this mechanism alters the composition of the outstanding mortgage stock which, in turn, affects the central bank's ability to stabilize the economy ex-post. A greater (lower) prevalence of FRMs weakens (strengthens) monetary policy transmission to key macro-variables.
Keywords:
Monetary Policy; Mortgage Markets; monetary policy shock; monetary policy transmission; mortgage choice; prevalence of FRMs; ARM rate; Mortgages; Central bank policy rate; Stocks; Housing prices; Private consumption; Global
Cover IMF Working Papers
IMF-Supported Programs in Low-Income Countries: Fragile versus Non-Fragile States
Edouard Martin
and
Felix J Vardy
This paper examines the macroeconomic frameworks of IMF-supported programs with low-income countries from 2009 to 2022, focusing on how macroeconomic targets and their achievement differ between fragile and conflicted-affected states (FCS) and non-FCS. Key findings include similar program targets for FCS and non-FCS, optimism in all dimensions considered other than inflation, and no significant correlation between targets and outcomes. For variables other than inflation, country-independent targets equal to the mean or median outcomes of other programs outperform program projections as predictors of actual outcomes. This underscores the challenges in setting realistic, country and program-specific targets in IMF-supported programs with low-income countries. Finally, we discuss potential caveats, including GDP rebenchmarking, non-linear relationship between initial conditions and targets, and repeat programs. We do not study, and make no claims about, causality.
Keywords:
IMF Programs; LICs; Fragility; Tailoring; Optimism; appendix H. country classification; fragile and conflicted-affected states; histogram of program approval; growth optimism; IMF country team; FCS classification; Pb XOXG; FCS program; Inflation; Fiscal stance; Wages; Debt reduction; Stocks; Sub-Saharan Africa; Global
Cover IMF Working Papers
Satellite-Based Census of Residential Buildings: Application for Climate Risk Assessment
Andinet Woldemichael
and
Iyke Maduako
Housing represents the largest asset and liability, in the form of mortgages, on most national balance sheet. For most households it is their largest investment, and when mortgages are required also represents the largest component of household debt. It is also directly tied to financial markets, both the mortgage market and insurance sector. Although many countries have a rich set of housing censuses and statistics, others have large data gap in this area and therefore struggle to formulate effective policies. This paper proposes an approach to construct a global census of residential buildings using opensource satellite data. Such a layer can be used to assess the extent these buildings are exposed to climate hazards and how their production and consumption, in turn, affect the climate. The approach we propose could be scaled globally, combining existing layers of building footprints, climate and socioeconomic data. It adds to the ongoing effort of compiling spatially explicit and granular climate indicators to better inform policies. As a case study, we compute selected indicators and estimate the extent of residential properties exposure to riverine flood risk for Kenya.
Keywords:
Census of buildings; Climate Exposure; Building Footprint; flood risk; property indicator; aggregate dwellings Capital Stock value; descriptive statistics of the data; flood hazard map; return period; Housing; Climate change; Stocks; Global
Cover IMF Working Papers
Knowledge Diffusion Through FDI: Worldwide Firm-Level Evidence
JaeBin Ahn
,
Chan Kim
,
Nan Li
, and
Andrea Manera
This paper examines the impact of Foreign Direct Investment (FDI) on knowledge diffusion by analyzing the effect of firm-level FDI activities on cross-border patent citations. We construct a novel firm-level panel dataset that combines worldwide utility patent and citations data with project-level greenfield FDI and crossborder mergers and acquisitions (M&A) data over the past two decades, covering firms across 60 countries. Applying a new local projection difference-indifferences methodology, our analysis reveals that FDI significantly enhances knowledge flows both from and to the investing firms. Citation flows between investing firms and host countries increase by up to around 10.6% to 13% in five years after the initial investment. These effects are stronger when host countries have higher innovation capacities or are technologically more similar to the investing firm. We also uncover knowledge spillovers beyond targeted firms and industries in host countries, which are particularly more pronounced for sectors closely connected in the technology space.
Keywords:
Greenfield FDI; Brownfield FDI; cross-border M&A; Inward FDI; Outward FDI; Knowledge spillover; Patent citation; LP-DiD; investing firm; FDI activity; FDI measure; impacts of FDI; Foreign direct investment; Spillovers; Absorptive capacity; Stocks; Global
Cover IMF Working Papers
A Proposal to Improve Country-Level Data on Total Factor Productivity Growth
Andrew M. Warner
The assumption behind popular data on national capital stocks, and therefore total factor productivity, is that countries were in a steady state in the first year that investment data became available. This paper argues that this assumption is highly implausible and is necessarily responsible for implausible data on the ratio of capital to output and productivity growth. It is not credible that countries with similar incomes had huge differences in their capital stocks. This paper claims, with evidence, that implausible features of the data can be greatly reduced by using data on electricity usage or national stocks of road vehicles.
Keywords:
Productivity; Total Factor Productivity; Economic Growth; capital output ratio; total factor productivity growth; capita-output ratio; investment data; TFP growth estimate; Capital productivity; Stocks; Capital adequacy requirements; Electricity; Africa; Global
Cover IMF Working Papers
Mitigating Climate Change at the Firm Level: Mind the Laggards
Damien Capelle
,
Divya Kirti
,
Nicola Pierri
, and
German Villegas Bauer
Using self-reported data on emissions for a global sample of 4,000 large, listed firms, we document large heterogeneity in environmental performance within the same industry and country. Laggards—firms with high emissions relative to the scale of their operations—are larger, operate older physical capital stocks, are less knowledge intensive and productive, and adopt worse management practices. To rationalize these findings, we build a novel general equilibrium heterogeneous-firm model in which firms choose capital vintages and R&D expenditure and hence emissions. The model matches the full empirical distribution of firm-level heterogeneity among other moments. Our counter-factual analysis shows that this heterogeneity matters for assessing the macroeconomic costs of mitigation policies, the channels through which policies act, and their distributional effects. We also quantify the gains from technology transfers to EMDEs.
Keywords:
Climate Change; Productivity; Technology Adoption; Capital Vintages; Emissions; R&D expenditure; capital vintage; management practice; emission intensity; emission Intensity; Carbon tax; Greenhouse gas emissions; Consumption; Stocks; Global
Cover IMF Working Papers
From Extreme Events to Extreme Seasons: Financial Stability Risks of Climate Change in Mexico
Michaela Dolk
,
Mr. Dimitrios Laliotis
, and
Sujan Lamichhane
This paper explores the financial stability implications of acute physical climate change risks using a novel approach that focuses on a severe season associated with a sequence of tropical cyclone and flood events. Our approach was recently applied to study physical risks in the Mexican financial sector, but the framework is applicable to other countries as well. We show that even if the scale of individual climate events may not be material at an aggregate national scale, considering a sequence of events could lead to potentially significant macro-financial impacts in the short term. This could occur even if none of the individual events affect the particular region(s) with highest concentrations of banking sector exposures. Our results indicate potential for even greater effects in the future given the increasing severity and frequency of extreme events from climate change. Thus, this paper highlights the importance of considering sequences of extreme physical risk events driven by climate change, rather than just individual extreme events, to better understand financial stability implications and design effective policies.
Keywords:
Climate change; physical risk; disasters; extreme seasons; financial stability; stress testing; climate change risk; risk event; IMF working paper No. 23/176; damage estimate; climate change condition; Natural disasters; Stocks; Financial sector; Global
Cover IMF Working Papers
Unveiling the Hidden Impact of Urban Land Rents on Total Factor Productivity
Mr. Bas B. Bakker
This paper addresses the puzzling decline of Total Factor Productivity (TFP) levels in rapidly growing economies, such as Singapore, despite advancements in technology and high GDP per capita growth. The paper proposes that TFP growth is not negative; instead, standard growth decompositions have underestimated TFP growth by overestimating the contribution of capital, failing to account for the substantial part of capital income directed to urban land rents. This leads to an overestimation of changes in capital stock's contribution to growth and thereby an underestimation of TFP growth. A revised decomposition suggests that TFP growth in economies with high land rents and rapid capital stock growth, such as Singapore, has been considerably underestimated: TFP levels have not declined but increased rapidly.
Keywords:
Total Factor Productivity; Economic Growth; Capital Stock; Land Rents; Growth Decomposition; Urban Economics; Population Density; Diminishing Returns to Scale; Technological Progress; Singapore; TFP level; re-estimating TFP; land rent; decline of total factor productivity; Capital income; Stocks; Land prices; Asia and Pacific
Cover IMF Working Papers
Measuring Multinational Production with Foreign Direct Investment Statistics: Recent Trends, Challenges, and Developments
Bruno Casella
,
Maria Borga
, and
Mr. Konstantin Wacker
In a complex global production landscape, the quest for measures of economic activity by multinational enterprises (MNEs) has become more pressing. Foreign Direct Investment (FDI) statistics, which capture financing aspects of MNEs, have often been used as a proxy for multinational production given their wide availability and cross-country comparability, but concerns that multinational production occurs in different countries than where financial positions are recorded call this practice into question. This paper revisits the main objections to the use of FDI as a proxy for multinational production, explores counterarguments, and provides guidance on the use of FDI statistics to measure multinational production.
Keywords:
FDI; multinational production; multinational enterprises; foreign affiliates; FDI statistics; FDI data; conduit FDI; FDI stock; Foreign direct investment; Special purpose vehicle; Stocks; Offshore financial centers; Global
Cover IMF Working Papers
Benchmarking Infrastructure Using Public Investment Efficiency Frontiers
Mr. Javier Kapsoli
,
Ms. Tewodaj Mogues
, and
Ms. Genevieve Verdier
With limited financing options, increasing investment efficiency will be a critical avenue to building infrastructure for many countries, particularly in the context of post-pandemic recovery and rising debt emanating from higher energy costs and other pressures. Estimating investment efficiency, however, presents many methodological pitfalls. Using various methods—–stochastic frontier analysis, data envelopment analysis (DEA), and bootstrapped DEA—this paper estimates efficiency scores for a wide range of countries employing metrics of infrastructure quantity and utilization. We find that efficiency scores are relatively robust across methodologies and data used. A considerable efficiency gap exists: Removing all inefficiencies could increase infrastructure output by 55 percent overall, when averaging across 12 estimation approaches—in particular, by 45 percent for advanced economies, 54 percent for emerging countries, and 65 percent for low income countries. Infrastructure output would increase by a still-sizeable 30 percent if instead of eliminating all efficiency, countries achieved the efficiency level of their income group’s 90th percentile.
Keywords:
public investment; efficiency; infrastructure; benchmarking; Benchmarking infrastructure; infrastructure output; output index; data envelopment analysis; income group; Public investment spending; Income; Stocks; Caribbean