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Business and Economics > Investments: Stocks

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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
Pictures of a Revolution: Analyzing the Transition from Global Bimetallism to the Gold Standard in the 1860s and 1870s
Mr. Johannes Wiegand
In the early 1870s, the global monetary system transitioned from bimetallism—a regime in which gold and silver currencies were tied at quasi-fixed exhange ratios—to the gold standard that was characterized by the use of (only) gold as the main currency metal by the largest and most advanced economies. The transition ocurred against the backdrop of both large supply shifts in global bullion markets in the 1850s and 60s and momentous political events, such as the Franco-Prussian war of 1870/71 and the subsequent foundation of the German empire. The causes for the transition have long been a matter of intense debate. This article discusses three separate but interrelated issues: (i) assessing the robustness of the pre-1870 bimetallic system to shocks—which includes a discussion of the appropriate use of Flandreau’s (1996) reference model; (ii) analyzing the transition from bimetallism to gold as a multi-stage currency game played by France and Germany; and (iii) evaluating the monetary debates at the German Handelstag conferences in the 1860s, to present a more complete narrative of the German discussion in the run-up to the transition.
Keywords:
Bimetallism; Gold Standard; France; Germany; Gold share; Bimetallism's robustness; estimating specie demand; structural limit; share of silver coin; Gold; Silver; Currencies; Currency reform; Stocks; Global
Cover IMF Working Papers
Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models
Nidhaleddine Ben Cheikh
,
Samy Ben Naceur
,
Mr. Oussama Kanaan
, and
Christophe Rault
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns’ asymmetric reactions in some GCC countries, but not for others. In Kuwait’s case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman’s and Qatar’s stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior.
Keywords:
WP; oil price change; GCC country; correlation coefficient; GCC stock markets; oil prices; smooth transition regression models; GCC stock price volatility; hedging strategy; Stock markets; Asset prices; Oil; Stocks; Global
Cover IMF Working Papers
Financial Sector Debt Bias
Ms. Oana Luca
and
Alexander F. Tieman
Most tax systems create a tax bias toward debt finance. Such debt bias increases leverage and may negatively affect financial stability. This paper models and estimates debt bias in the financial sector, and present novel estimates for investment banks and non-bank financial intermediaries such as finance and insurance companies. We find debt bias to be pervasive, explaining as much as 10 percent of total leverage for regular banks and 20 percent for investment banks, with the effects most pronounced before the global financial crisis. Going forward, debt bias is likely to once again gain prominence as a key driver of leverage decisions, underscoring the importance of policy reform at this juncture.
Keywords:
WP; oil price; interest rate; Oil prices; equity prices; dividends; economic growth; oil supply; global oil markets; international business cycle.; equity price; standard error band; term interest rate; price relationship; price fall; oil price shock; oil price coefficient; Oil; Oil production; Stocks; Long term interest rates; Global
Cover IMF Working Papers
Oil Prices and the Global Economy: Is It Different This Time Around?
Mr. Kamiar Mohaddes
and
M. Hashem Pesaran
The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the United States and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower interest rates and inflation in most countries, and increase global real equity prices. The effects on real output are positive, although they take longer to materialize (around four quarters after the shock). We then re-examine the effects of low oil prices on the U.S. economy over different sub-periods using monthly observations on real oil prices, real equity prices and real dividends. We confirm the perverse positive relationship between oil and equity prices over the period since the 2008 financial crisis highlighted in the recent literature, but show that this relationship has been unstable when considered over the longer time period of 1946–2016. In contrast, we find a stable negative relationship between oil prices and real dividends which we argue is a better proxy for economic activity (as compared to equity prices). On the supply side, the effects of lower oil prices differ widely across the different oil producers, and could be perverse initially, as some of the major oil producers try to compensate their loss of revenues by raising production. Taking demand and supply adjustments to oil price changes as a whole, we conclude that oil markets equilibrate but rather slowly, with large episodic swings between low and high oil prices.
Keywords:
WP; oil price; Oil prices; equity prices; dividends; economic growth; oil supply; global oil markets; international business cycle; equity price; standard error band; price relationship; oil price shock; oil price coefficient; oil price variable; term interest rate; oil price volatility; price coefficient; real oil price; rate of change; Oil; Oil production; Stocks; Long term interest rates; Global
Cover IMF Working Papers
How Can Burundi Raise its Growth Rate? the Impact of Civil Conflicts and State Interventionon Burundi'S Growth Performance
Olivier Basdevant
Over the last thirty years Burundi's low economic growth has led to a significant decline in per capita GDP. The purpose of this paper is to shed light on supply-side constraints that prevented Burundi's economy from growing faster. Lack of investment, civil conflict, economic inefficiencies, state intervention in the economy, and regulatory restrictions explain a large part of the weak growth performance for the last thirty years.
Keywords:
WP; Burundi; depreciation rate; growth performance; Growth; Investment; Capital Stock; Kalman Filter; Burundi ICOR; growth prospect; accumulation function; Burundi's economy; investment inefficiency; Depreciation; Stocks; Agricultural commodities; Income; Capital accumulation; Sub-Saharan Africa
Cover Regional Economic Outlook, April 2008, Western Hemisphere
Regional Economic Outlook, April 2008, Western Hemisphere
International Monetary Fund. Western Hemisphere Dept.

Abstract

The main focus of this report is the outlook for the region in the face of the downturn now projected for the U.S. economy and the continuing risks that affect the global outlook. Overall the region is better placed than in the past to navigate the current financial turbulence, given reduced vulnerabilities and stronger policy frameworks. Nonetheless, the report points to risks that the global financial stress could curtail capital flows to the region and world commodity prices could fall more than expected. There are also risks arising from rising inflation and rapid private credit growth in a number of countries. The report then explores the policy options facing governments in the region, underscoring the need to preserve the gains of recent years

Keywords:
REO; IMF staff estimate; ECCU aggregate; price; e.o.p. rate; PPP GDP; dollar-weighted GDP; average inflation rates; Inflation; Commodity prices; Food prices; Stock markets; Stocks; Global; Caribbean; Central America; Western Hemisphere; South America; North America; world fuel; world food price; market participant; current liabilities; dividend yield; return distribution; terms of trade; cost of capital; world fuel price shock; equity price volatility; headline inflation rise; price change; world prices of fuel; banking system assets; equity-return movement; food price pressure; food price subcomponent; subcomponents of the CPI; food commodity price; inflation-targeting country; commodity shock
Cover Policy Papers
Quota and Voice Reform - Stocktaking and Further Considerations, Statistical Appendices I and II, Statement by the Managing Director, and Summing Up of the Board Meeting
International Monetary Fund
At its Spring Meeting, the IMFC reiterated the importance of implementing the program of quota and voice reforms in line with the timetable set out by the Board of Governors in Singapore. The Committee welcomed the initial informal Board discussions on a new quota formula and stressed the importance of agreeing on a new formula, which should be simple and transparent and should capture members’ relative positions in the world economy. It noted that this reform would result in higher shares for dynamic economies, many of which are emerging market economies, whose weight and role in the global economy have increased. The Committee also stressed the importance of enhancing the voice and participation of low-income countries, a key issue for which is an increase in basic votes, at a minimum preserving the voting share of low-income countries. The Committee called on the Executive Board to continue its work on the reform package as a matter of priority.
Keywords:
PP; IMF document; PPP GDP; document; GDP; GDP blend; quota share; voice reform process; Purchasing power parity; Market exchange rates; International banking; Exchange rates; Gold; Global; Africa; Middle East; Western Hemisphere; Asia and Pacific
Cover IMF Working Papers
Price Imputation and Other Techniques for Dealing with Missing Observations, Seasonality and Quality Change in Price Indices
Mr. Paul A Armknecht Jr.
and
Fenella Maitland-Smith
Price index compilers frequently face situations where price observations are missing due to seasonal unavailability, supply shortages, or the discontinuation of products. Incorrect treatment of such situations can result in biased price indices. This paper presents statistical imputation techniques that index compilers can use to prevent bias and suggests the extension of these same techniques to assist with adjustments for quality differences. The use of additional procedures for dealing with some of the problems caused by seasonal commodities is also discussed.
Keywords:
WP; price change; base period; group index; fixed price; Price indices; imputation techniques; seasonal goods; quality adjustment; a number of product; replacement product; product range; price index compilation; sampled product; geometric mean; price movement; Price indexes; Price adjustments; Stocks; Consumer price indexes
Cover Hedge Funds and Financial Market Dynamics
Hedge Funds and Financial Market Dynamics
Mrs. Anne C Jansen
,
Mr. Donald J Mathieson
,
Mr. Barry J. Eichengreen
,
Ms. Laura E. Kodres
,
Mr. Bankim Chadha
, and
Mr. Sunil Sharma

Abstract

Hedge funds are collective investment vehicles, often organized as private partnerships and resident offshore for tax and regulatory purposes. Their legal status places few restrictions on their portfolios and transactions, leaving their managers free to use short sales, derivative securities, and leverage to raise returns and cushion risk. This paper considers the role of hedge funds in financial market dynamics, with particular reference to the Asian crisis.

Keywords:
OP; hedge fund manager; hedge fund operation; investment vehicle; market; market transparency; market integrity; role of hedge funds; Hedge funds; Mutual funds; Securities; Stocks; Arbitrage; Global; Eastern Europe; Caribbean; East Asia; Southeast Asia