Narrow Your Choices

Refine By Countries

Refine By Series

Refine By Language

Refine By Date

—

Refine By IMF Taxonomy

Refine By JEL Taxonomy

Refine by LOC Taxonomy

Refine By THEMA Taxonomy

  • Print
  • Save

Business and Economics > Investments: Stocks

You are looking at 1 - 10 of 57 items for :

  • Type: Journal Issue x
  • Financial services x
Clear All Modify Search
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
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
Stock Returns and Inflation Redux: An Explanation from Monetary Policy in Advanced and Emerging Markets
Mr. Zhongxia Zhang
Classical theories of monetary economics predict that real stock returns are negatively correlated with inflation when monetary policy is countercyclical. Previous empirical studies mostly focus on a small group of developed countries or a few countries with hyperinflation. In this paper, I examine the stock return-inflation relation under different monetary policy regimes and conditions using an expanded dataset of 71 economies. Empirical evidence suggests that the stock return-inflation relation is partially driven by monetary policy. If a country’s monetary authority conducts a more countercyclical monetary policy, the stock return-inflation relation becomes more negative. In addition, the results differ by monetary policy framework. In exchange rate anchor countries, stock markets do not respond to monetary policy cyclicality. In inflation targeting countries, stock markets react more strongly to inflation. A key contribution of this paper is to classify inflation targeters by their behaviors, and illustrate that behavior matters in shaping market perceptions: markets react to inflation and monetary policy cyclicality when central banks are able to control inflation within their target bands. In this case markets are sensitive to inflation dynamics when inflation is above the announced target bands. Finally, when monetary policy is constrained by the Zero Lower Bound (ZLB), a structural break is introduced and real stock returns no longer respond to inflation and monetary policy cyclicality.
Keywords:
monetary policy cyclicality; stock return-inflation relation; countercyclical monetary policy; market perception; inflation targeting country; Inflation; Stocks; Emerging and frontier financial markets; Inflation targeting; Central bank policy rate; Global
Cover IMF Working Papers
Global Smartphones Sales May Have Peaked
Mr. Joannes Mongardini
and
Aneta Radzikowski
Global smartphone sales may have peaked. After reaching nearly 1.5 billion units in 2016, global smartphone sales have since declined, contributing negatively to world trade in 2019 and suggesting that the global market may now be saturated. This paper develops a simple model to forecast smartphone sales, which shows that sales are likely to decline further. As tech companies shift to embedded services (cloud computing, content subscriptions, and financial services), the impact on global trade may also be shifting in favor of services exports mostly from advanced economies.
Keywords:
WP; iPhone; Apple; iPhone sale; trade; global supply chains; global trade; tech cycle; smartphone sale; ICT-enabled services; services export; PC sales; ICT services; Apple cash; Mobile internet; Service exports; Stocks; Exports; Global; merchandise export; Asia and Pacific
Cover IMF Working Papers
Tax Elasticity Estimates for Capital Stocks in Canada
Jean-François Wen
,
Fatih Yilmaz
, and
Danea Trejo
The paper provides estimates of the long-run, tax-adjusted, user cost elasticity of capital (UCE) in a small open economy, exploiting three sources of variation in Canadian tax policy: across provinces, industries, and years. Estimates of the UCE with Canadian data are less prone to the endogeneity problems arising from the effects of tax policy changes on the interest rate or on the price of capital equipment. Reductions in the federal corporate income tax rate during the early 2000s for service industries but not for manufacturing, which already benefited from a preferential tax rate, contribute to the identification of the UCE. To capture the long-run relationship between the capital stock and the user cost of capital, an error correction model (ECM) is estimated. Supplementary results are obtained from a distributed lag model in first differences (DLM). With the ECM, our baseline UCE for machinery and equipment (M&E) is -1.312. The corresponding semi-elasticity of the stock of M&E with respect to the METR is about -0.2, suggesting, for example, that a 5 percentage point reduction in the METR, say from 15 to 10 percent, would in the long run generate an increase of 1.0 percent in the stock of M&E. The UCE for non-residential construction is statistically insignificantly different from zero.
Keywords:
WP; cost of capital; open economy; user cost of capital; rate of return; UCE estimate; investment tax credit; depreciation rate; Metr data; elasticities decrease; provincial sales tax; differenced GDP terms; machinery and equipment; Marginal effective tax rate; Stocks; Corporate income tax; Real interest rates; Tax allowances; Global; Capital Taxation; User Cost of Capital Elasticity
Cover IMF Working Papers
Entry Costs and the Macroeconomy
Germán Gutiérrez
,
Callum Jones
, and
Mr. Thomas Philippon
We combine a structural model with cross-sectional micro data to identify the causes and consequences of rising concentration in the US economy. Using asset prices and industry data, we estimate realized and anticipated shocks that drive entry and concentration. We validate our approach by showing that the model-implied entry shocks correlate with independently constructed measures of entry regulations and M&As. We conclude that entry costs have risen in the U.S. over the past 20 years and have depressed capital and consumption by about seven percent.
Keywords:
WP; concentration ratio; fed funds rate; time series; Corporate Investment; Competition; Tobin’s Q; Zero Lower Bound; entry cost shock; monetary policy rule; cost shock; adjustment cost; firm entry; capital adjustment cost; nominal interest rate; exit rate; price choice; entry rate; Consumption; Corporate sector; Stocks; Europe
Cover IMF Working Papers
Drivers of Cross-Border Banking in Sub-Saharan Africa
Mr. Paul Henri Mathieu
,
Mr. Marco Pani
,
Shiyuan Chen
, and
Mr. Rodolfo Maino
Using data collected from pan-African banks’ (PABs), balance sheets and other sources (Orbis, Fitch), this study identifies some key patterns of cross-border investment in bank subsidiaries by key banking groups in sub-Saharan Africa (SSA) and discusses some of the determinants of this investment. Using a gravity model relating the annual value of a banking group’s investment in the net equity of its subsidiaries to a set of explanatory variables, the analysis finds that cross-border banking is in part driven by a search for yield, diversification, and expansion for strategic reasons.
Keywords:
WP; break; center; exchange rate; Cross-border banking flows; Bank leverage; Global banks; Group profitability; banking group variable; Group size; vis-à-vis intra-group; net equity; host country pair; bank subsidiary; pan-African banking groups; Exchange rates; Cross-border banking; Inflation; Stocks; Gravity models; Africa; Sub-Saharan Africa; Global; West Africa; North Africa
Cover IMF Working Papers
The Present Value of Corporate Profits: A Forecasters' Survey Perspective
Michal Andrle
This paper presents and discusses the estimates of the present value of corporate profits in the United States from 1984 to 2018. To value the expected income stream, it uses the long-range forecasts of professional forecasters for pre-tax corporate earnings and long-term Treasury note yields, sourced from the Blue Chip Economic Indicators survey. The appraised value of corporate earnings can point in real time at periods where market prices are deviating from valuations implied by expected earnings and interest rates. Market participants' forecasts seem to interpret most of the earnings fluctuations as permanent, underestimating the cyclical fluctuations The over-reaction to transitory shocks and changes in long-term outlook leads to swings in the valuation, in line with swings in the observed market prices.
Keywords:
WP; earnings; risk premium; interest rate; present value; asset prices; corporate earnings; growth expectation; equity risk premium; profit growth; value investor; rate of return; earnings outlook; period-by-period earnings; present-value computation; Wages; Return on investment; Stocks; Long term interest rates
Cover IMF Working Papers
A Destination-Based Allowance for Corporate Equity
Mr. Shafik Hebous
and
Mr. Alexander D Klemm
Following renewed academic and policy interest in the destination-based principle for taxing profits—particularly through a destination-based cash flow tax (DBCFT)—this paper studies other forms of efficient destination-based taxes. Specifically, it analyzes the Destination-Based Allowance for Corporate Equity (DBACE) and Allowance for Corporate Capital (DBACC). It describes adjustments that are required to turn an origin into a destination-based versions of these taxes. These include adjustments to capital and equity, which are additional to the border adjustments needed under a DBCFT. The paper finds that the DBACC and DBACE reduce profit shifting and tax competition, but cannot fully eliminate them, with the DBACE more sensitve than the DBACC. Overall, given the potential major political cost of switching from an origin to a destination-based tax system, we conclude that advantages of the DBCFT are likely to outweigh the transitional advantages of the DBACE/DBACC.
Keywords:
WP; interest rate; capital stock; Destination-Based Taxation; ACE; ACC; investment goods; notional interest rate; tax competition; interest receipt; competition policy tool; rate of return; border tax; depreciation rate; upfront tax cost; tax saving; Allowance for corporate equity; Value-added tax; Stocks; Discount rates; Corporate income tax; Global; Destination-based allowance; copyright Page; B. profit shifting; based allowance; E. exchange rate
Cover IMF Working Papers
Banking in a Steady State of Low Growth and Interest Rates
Qianying Chen
,
Mitsuru Katagiri
, and
Jay Surti
A prolonged low-interest-rate environment presents a significant challenge to banks and is likely to entail major changes to their business models over the long-run. Lower returns to maturity transformation in the face of flatter yield curves and an inability to offer deposit rates significantly below zero combine to compress bank earnings in this environment. Smaller, deposit-funded, less diversified banks are hurt most, increasing consolidation pressures and reach-for-yield incentives, presenting new financial stability challenges.To the extent that such an economic environment reflects a new, steady-state with lower equilibrium growth driven by population aging and slower productivity growth, lower credit demand is likely to drive banking toward provision of fee-based, utility services.
Keywords:
WP; rate of interest; economic growth; balance sheet; bond yield; business line; monetary policy; Banking; Growth; Interest Rates; Low-for-Long; Prolonged Low Interest Rates; bank characteristic; bank equity; adaptation strategy; transaction service; bank NIMs; bank leverage; bank profits; market rate; interest rate cut; bank business; interest rate shock; Deposit rates; Market interest rates; Zero lower bound; Stocks; Bank soundness; Global