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Business and Economics > Investments: Stocks

You are looking at 1 - 10 of 13 items for :

  • Type: Journal Issue x
  • Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes x
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Cover IMF Working Papers
Regional Financial Spillovers Across Europe: A Global VAR Analysis
Ms. Silvia Sgherri
and
Mr. Alessandro Galesi
The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The GVAR model contains 27 country-specific models, including the United States, 17 European advanced economies, and 9 European emerging economies. Each country model is linked to the others by a set of country-specific foreign variables, computed using bilateral bank lending exposures. Results reveal considerable comovements of equity prices across mature financial markets. However, the effects on credit growth are found to be country-specific. Evidence indicates that asset prices are the main channel through which-in the short run-financial shocks are transmitted internationally, while the contribution of other variables-like the cost and quantity of credit-becomes more important over longer horizons.
Keywords:
WP; rate of growth; Global VAR; Macro-Financial Linkages; International Financial Spillovers; equity price; foreign variable; coefficient estimate; estimation procedure; price growth; Vector autoregression; Stocks; Interbank rates; Credit; Foreign banks; Western Europe; Baltics; Global; Europe
Cover IMF Working Papers
The Impact of Public Capital, Human Capital, and Knowledge on Aggregate Output
Mr. Frederick L Joutz
and
Mr. Yasser Abdih
This paper investigates the impact of public capital on private sector output by testing and estimating an aggregate production function for the U.S. economy over the postwar period augmented to include the stock of public capital as an additional factor input. We use patent applications to proxy for knowledge/technology stocks and adjust labor hours for changes in human capital or skill. Using Johansen's (1988 and 1991) multivariate cointegration analysis, we find a positive and significant long run effect of public capital, private capital, skilladjusted labor, and technology/ knowledge on private sector output. We find that public capital accounts for about half of the post-1973 productivity slowdown, but only plays a minor role in the partial recovery of labor productivity growth since the mid 1980s. The largest contribution to that (partial) recovery comes from the knowledge stock and human capital.
Keywords:
WP; null hypothesis; capital stock; constant returns to scale
Cover IMF Working Papers
A U.S. Financial Conditions Index: Putting Credit Where Credit is Due
Mr. Andrew J Swiston
This paper uses vector autoregressions and impulse-response functions to construct a U.S. financial conditions index (FCI). Credit availability—proxied by survey results on lending standards—is an important driver of the business cycle, accounting for over 20 percent of the typical contribution of financial factors to growth. A net tightening in lending standards of 20 percentage points reduces economic activity by ¾ percent after one year and 1¼ percent after two years. Much of the impact of monetary policy on the economy also works through its effects on credit supply, which is evidence supporting the existence of a credit channel of monetary policy. Shocks to corporate bond yields, equity prices, and real exchange rates also contribute to fluctuations in the FCI. This FCI is an accurate predictor of real GDP growth, anticipating turning points in activity with a lead time of six to nine months. 15B
Keywords:
WP; lending standard; credit availability; interest rate; investment grade yield; real GDP
Cover IMF Staff Country Reports
Spain: Financial Sector Assessment Program: Technical Note: Nonfinancial Equity Investments of Spanish Credit Institutions
International Monetary Fund
This note assesses the risk profile of the nonfinancial equity investments of Spanish credit institutions (CIs), based on a market-risk approach. It assesses the main features of the situation and indicates the problems of CIs’ nonfinancial equity investments. It presents the evolution of nonfinancial equity investments, and their importance for the economy. It analyzes using the value-at-risk (VaR) approach and recommends enhancing of risk management practices and surveillance with regard to CIs with a significant nonfinancial equity investment, and encourages those CIs to adopt the market-based approach.
Keywords:
ISCR; CR; equity; equity investment; credit institution; savings bank; merchant banking activity; equity method; equity volatility; capital absorption; equity exposure; Basel II; Stocks; Commercial banks; Vector autoregression; Stock markets; Europe
Cover IMF Working Papers
Relating the Knowledge Production Function to Total Factor Productivity: An Endogenous Growth Puzzle
Mr. Frederick L Joutz
and
Mr. Yasser Abdih
The knowledge production function is central to R&D-based growth models. This paper empirically investigates the knowledge production function and intertemporal spillover effects using cointegration techniques. Time-series evidence suggests there are two long-run cointegrating relationships. The first captures a long-run knowledge production function; the second captures a long-run positive relationship between TFP and the knowledge stock. The results indicate the presence of strong intertemporal knowledge spillovers and that the long-run impact of the knowledge stock on TFP is small. This evidence is interpreted in light of existing theoretical and empirical evidence on endogenous growth.
Keywords:
WP; production function; growth rate
Cover IMF Working Papers
Predictive Ability of Asymmetric Volatility Models At Medium-Term Horizons
Turgut Kisinbay
Using realized volatility to estimate conditional variance of financial returns, we compare forecasts of volatility from linear GARCH models with asymmetric ones. We consider horizons extending to 30 days. Forecasts are compared using three different evaluation tests. With data from an equity index and two foreign exchange returns, we show that asymmetric models provide statistically significant forecast improvements upon the GARCH model for two of the datasets and improve forecasts for all datasets by means of forecasts combinations. These results extend to about 10 days in the future, beyond which the forecasts are statistically inseparable from each other.
Keywords:
WP; EGARCH model; high frequency; TARCH model; null hypothesis; GARCH; high-frequency data; realized volatility; integrated volatility; and asymmetric volatility; GARCH model; benchmark model; APARCH model; JPY dataset; standard deviation; volatility model; Asset prices; Stock markets; Stocks
Cover IMF Working Papers
Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk
Mr. Paul H. Kupiec
Shortcomings make credit VaR estimates an unsuitable basis for setting bank regulatory capital requirements. If, alternatively, banks are required to issue subordinated debt that has a minimum market value and maximum acceptable probability of default, banks must set their equity capital in a manner that limits both the probability of bank default and the expected loss on insured deposits, largely removing any safety net-related funding cost subsidy and the moral hazard incentives it creates. Required equity capital can be estimated using a modified credit-VaR framework, and supervisors can use external credit ratings to indirectly verify the accuracy of bank internal model estimates.
Keywords:
WP; equity capital; market value; regulatory capital requirements; credit VaR; subordinated debt; internal risk models; capital requirement; bank default; investment opportunity; debt issue; bank shareholder; safety net; bank investment incentive; funding debt; bank liability; capital allocation; Credit risk; Vector autoregression; Debt financing; Credit; Stocks
Cover IMF Working Papers
Public Capital and Output Growth in Portugal: An Empirical Analysis
Ms. Jenny E Ligthart
The paper investigates the growth effects of public capital in Portugal using annual data for the period 1965-95. Both a production function and a vector autoregressive model are estimated. Public capital is shown to be a significant long-term determinant of output growth. The size of the estimated production elasticity indicates, in line with studies for other countries, a substantial growth payoff from public investment. Disaggregating public capital shows that investment related to, among other things, roads, railways, and airports is more productive than public investment in other major categories.
Keywords:
WP; capital stock; public capital; capital; cointegration; granger causality; infrastructure; public investment; Engle-Granger result; least squares; constant returns to scale; output effect; time series; utilization rate; Public investment and public-private partnerships (PPP); Stocks; Vector autoregression; Government debt management; Capital productivity
Cover IMF Working Papers
Portfolio Diversification, Leverage, and Financial Contagion
T. Todd Smith
and
Mr. Garry J. Schinasi
Models of “contagion” rely on market imperfections to explain why adverse shocks in one asset market might be associated with asset sales in many unrelated markets. This paper demonstrates that contagion can be explained with basic portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules do not have significantly different consequences for portfolio rebalancing and contagion than other rules. The paper’s main conclusion is that portfolio diversification and leverage may be sufficient to explain why investors would find it optimal to sell many higher-risk assets when a shock to one asset occurs.
Keywords:
WP; management rule; asset position; margin call; financial contagion; portfolio choice; leverage; portfolio management rule; risky assets; portfolio manager; return distribution; leveraged portfolio; conditional asset return distribution; current-period portfolio allocation problem of a portfolio manager; B. portfolio management; Vector autoregression; Personal income; Stocks; Securities markets; Asia and Pacific
Cover IMF Working Papers
Investment, Capital Accumulation, and Growth: Some Evidence from The Gambia 1964–98
Mr. Christian H. Beddies
This paper considers the potential variables that have determined economic growth in The Gambia during 1964–98. The results indicate that The Gambia’s aggregate production function exhibits increasing returns to scale, thus supporting the endogenous growth-type model. The impact of private investment—and thus private capital accumulation—on output is large and significant. Furthermore, increases in public investment boost output substantially. Finally, the effects associated with human capital accumulation are positive and statistically significant. The paper also estimates a series on total factor productivity growth that indicates that The Gambia was able to use its resources more efficiently.
Keywords:
WP; growth rate; production function; endogenous growth; human capital; investment; capital stock; total factor productivity; output ratio; capital stock estimate; capital model; B. estimation result; CFA franc; government capital accumulation; Private investment; Capital accumulation; Stocks; West Africa