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Business and Economics > Investments: Stocks

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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
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
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
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
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
Cover IMF Staff Country Reports
Belarus: Technical Assistance Report-Financial Accounts and Balance Sheet Statistics Mission
International Monetary Fund. Statistics Dept.
The remote technical assistance (TA) mission provided guidance to the National Statistical Committee of the Republic of Belarus (BelStat) on the preliminary estimates of the Financial Accounts and Balance Sheets (FABS) for 2017. The TA mission assisted with compiling the revaluation and the other changes in volume accounts to give better consistency to the financial flows and stocks and improve the reconciliation process of the FABS. BelStat is in charge of compiling the current accounts for all the institutional sectors and is starting to compile the financial accounts for which important progress has been made. To regularly compile FABS, the mission recommended that BelStat addresses the discrepancies between the net lending/borrowing from the capital and the financial account by incorporating more data sources such as government’s financial stocks and business accounting data. The TA mission also provided guidance on compiling the Financial Intermediation Services Indirectly Measured (FISIM) to get a more consistent estimate. The mission highlighted the progress made and encouraged BelStat to continue working on compiling FABS for 2017 and onwards.
Keywords:
financial accounts; balance sheets; stocks; flows; balance sheet Statistics; IMF's Statistics Department; balance sheet statistics; business accounting data; BelStat staff; accounting data; Financial statements; Fiscal accounting and reporting; Capital account
Cover IMF Staff Country Reports
Belarus: Technical Assistance Report-Financial Accounts and Balance Sheet Statistics Mission
International Monetary Fund. Statistics Dept.
The remote technical assistance (TA) mission provided guidance to the National Statistical Committee of the Republic of Belarus (BelStat) on the preliminary estimates of the Financial Accounts and Balance Sheets (FABS) for 2017. The TA mission assisted with compiling the revaluation and the other changes in volume accounts to give better consistency to the financial flows and stocks and improve the reconciliation process of the FABS. BelStat is in charge of compiling the current accounts for all the institutional sectors and is starting to compile the financial accounts for which important progress has been made. To regularly compile FABS, the mission recommended that BelStat addresses the discrepancies between the net lending/borrowing from the capital and the financial account by incorporating more data sources such as government’s financial stocks and business accounting data. The TA mission also provided guidance on compiling the Financial Intermediation Services Indirectly Measured (FISIM) to get a more consistent estimate. The mission highlighted the progress made and encouraged BelStat to continue working on compiling FABS for 2017 and onwards.
Keywords:
financial accounts; balance sheets; stocks; flows; balance sheet Statistics; IMF's Statistics Department; balance sheet statistics; business accounting data; BelStat staff; accounting data; Financial statements; Fiscal accounting and reporting; Capital account
Cover IMF Working Papers
A Tale of Tier 3 Cities
Mr. Kenneth Rogoff
and
Yuanchen Yang
This paper provides new estimates of the housing stock, construction rates and price developments by city tier in China in order to understand where imbalances might be concentrated, and the implications of any significant contraction. We also update estimates of the size of China’s rapidly evolving real estate sector through 2021, allowing one to look at the initial impact of COVID-19, as well as extending the analysis to incorporate urban-expansion related infrastructure construction. We argue that China overall faces imbalances between supply and demand for housing stock, but the problem is significantly deeper outside tier 1 cities.
Keywords:
China; Real Estate; Macro Economy; sector vulnerability; housing stock estimation; infrastructure construction; infrastructure investment; construction rate; Housing; Stocks; Infrastructure; Housing prices; Depreciation
Cover IMF Working Papers
Greece's Investment Gap
Shiqing Hua
,
Ms. Marina Mendes Tavares
, and
Ms. Xin C Xu
Greece’s investment rate plunged following the Sovereign Debt Crisis (SDC) and remained one of the lowest in the world in 2019. This paper explores recent investment dynamics and compares them against estimated benchmarks. Our results suggest that Greece has been under-investing since the SDC, with private investment notably lagging behind. The estimated investment gap ranges from 1.6–8 percent of GDP in 2019. Structural impediments have constrained corporate investment, while business cycle and balance sheet developments have held back household investment. Structural reforms are recommended to remove bottlenecks to corporate investment, improve efficiency of public investment, and boost household investment.
Keywords:
Investment gap; capital stock; structural reforms; investment gap; estimating benchmark investment; household investment; investment rate; investment dynamics; Private investment; Stocks; Public investment spending; Income; Europe; Global
Cover IMF Working Papers
Pricing Protest: The Response of Financial Markets to Social Unrest
Mr. Philip Barrett
,
Sophia Chen
,
Miss Mali Chivakul
, and
Ms. Deniz O Igan
Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window. This drop is more pronounced for events that last longer and for events that happen in emerging markets. Stronger institutions, particularly better governance and more democratic systems, mitigate the adverse impact of social unrest on stock market returns.
Keywords:
Social unrest; stock markets; abnormal returns; event study; institutions; cumulative abnormal returns; market model; stock index; income group; market liberalization reform; Stocks; Income; Global; Asia and Pacific