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Business and Economics > Investments: Stocks

You are looking at 1 - 10 of 12 items for :

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Cover IMF Working Papers
Coincident Indicators of Capital Flows
Ms. Malika Pant
and
Yanliang Miao
Capital flows data from Balance of Payments statistics often lag 3-6 months, which renders timely surveillance and policy deliberation difficult. To address the tension, we propose two coincident composite indicators for capital flows that improve upon existing proxies. We find that the most widely used proxy, the capital tracker, often overpredicts net flows by 30 percent. We augment the tracker into a composite indicator by assigning to it a lesser but optimally estimated weight while incorporating other regional and global coincident correlates of capital flows. The proposed composite indicator of net flows outperforms the capital tracker in its original format. To complement the indicator with an even timelier variant, we also utilize the EPFR high frequency coverage of gross bond and equity flows as an indicator on foreign investors' sentiment.
Keywords:
WP; border; net capital; Other EMs; capital; Capital Flows; Coincident Indicators; Capital Tracker; bond flow; EPFR flow; MSCI index; merchandise trade balance; EPFR data; Latin America EMs; Stocks; Bonds; Trade balance; Cyclical indicators; Global; Europe; Asia and Pacific
Cover IMF Working Papers
Financial Cycles: What? How? When?
Mr. Marco Terrones
,
Mr. Ayhan Kose
, and
Mr. Stijn Claessens
This paper provides a comprehensive analysis of financial cycles using a large database covering 21 advanced countries over the period 1960:1-2007:4. Specifically, we analyze cycles in credit, house prices, and equity prices. We report three main results. First, financial cycles tend to be long and severe, especially those in housing and equity markets. Second, they are highly synchronized within countries, particularly credit and house price cycles. The extent of synchronization of financial cycles across countries is high as well, mainly for credit and equity cycles, and has been increasing over time. Third financial cycles accentuate each other and become magnified, especially during coincident downturns in credit and housing markets. Moreover, globally synchronized downturns tend to be associated with more prolonged and costly episodes, especially for credit and equity cycles. We discuss how these findings can guide future research on various aspects of financial market developments.
Keywords:
WP; price downturn; equity price; house price; asset price; price upturn
Cover IMF Working Papers
How Do Business and Financial Cycles Interact?
Mr. Marco Terrones
,
Mr. Ayhan Kose
, and
Mr. Stijn Claessens
This paper analyzes the interactions between business and financial cycles using an extensive database of over 200 business and 700 financial cycles in 44 countries for the period 1960:1-2007:4. Our results suggest that there are strong linkages between different phases of business and financial cycles. In particular, recessions associated with financial disruption episodes, notably house price busts, tend to be longer and deeper than other recessions. Conversely, recoveries associated with rapid growth in credit and house prices tend to be stronger. These findings emphasize the importance of developments in credit and housing markets for the real economy.
Keywords:
WP; equity price; price bust; house price; credit crunch
Cover IMF Working Papers
Sudden Stops, Output Drops, and Credit Collapses
Jihad Dagher
This paper proposes a tractable Sudden Stop model to explain the main patterns in firm level data in a sample of Southeast Asian firms during the Asian crisis. The model, which features trend shocks and financial frictions, is able to generate the main patterns observed in the sample during and following the Asian crisis, including the ensuing credit-less recovery, which are also patterns broadly shared by most Sudden Stop episodes as documented in Calvo et al. (2006). The model also proposes a novel explanation as to why small firms experience steeper declines than their larger peers as documented in this paper. This size effect is generated under the assumption that small firms are growth firms, to which there is support in the data. Trend shocks when combined with financial frictions in this model also generate strong leverage effects in line with what is observed in the sample, and with other observations from the literature.
Keywords:
WP; mover accent; market value; business cycle; interest rate; transition probability; Financial liberalization; welfare gain; financial deepening; economic growth; small firm; maximization problem; productivity parameter; firm decrease; growth firm; leverage firm; Sudden stops; Financial frictions; Stocks; Business cycles; Southeast Asia
Cover IMF Working Papers
Estimation of Economic Growth in France Using Business Survey Data
Alain N. Kabundi
This paper proposes a new way of computing a coincident indicator for economic activity in France using data from business surveys. We use the generalized dynamic factor model à la Forni and others (2000) to extract common components from a large number of survey observations. The results obtained show that the resulting indicator forecasts economic activity with a relatively high degree of accuracy before the release of actual data.
Keywords:
WP; random walk; Dynamic factor models; survey data; economic forecasting; RW model; economic growth rate; generalized dynamic factor model; economic indicator index; time series; negative correlation correlation coefficient; Cyclical indicators; Business cycles; Stocks; Europe
Cover World Economic Outlook, April 2002
World Economic Outlook, April 2002
Recessions and Recoveries
International Monetary Fund. Research Dept.

Abstract

The World Economic Outlook, published twice a year in English, French, Spanish, and Arabic, presents IMF staff economists' analyses of global economic developments during the near and medium term. Chapters give an overview of the world economy; consider issues affecting industrial countries, and economics in transition to market; and address topics of pressing current interest. Annexes, boxes, charts, and an extensive statistical appendix augment the text.

Keywords:
WEO; current account; trade balance; monetary policy; balance of payments; financial market
Cover IMF Staff Country Reports
New Zealand: Selected Issues
International Monetary Fund
This Selected Issues paper examines the external linkages of the New Zealand economy. Empirical results from vector autoregressive models suggest that economic activity in Australia tends to have more of a significant direct impact on New Zealand than does activity in the United States. Fluctuations in the U.S. GDP, however, appear to be transmitted to New Zealand indirectly through their effects on the Australian economy. Financial linkages also have been important components in transmitting shocks from Australia and the United States to the New Zealand economy.
Keywords:
ISCR; CR; rate; yield; government bond; household savings rate; income support; yield spread; saving rate; estimation period; savings problem; Sovereign bonds; Business cycles; Private savings; Income; Pensions; Australia and New Zealand
Cover Perspectivas de la economia mundial, abril de 2002
Perspectivas de la economia mundial, abril de 2002
Recesiones y recuperaciones
International Monetary Fund. Research Dept.

Abstract

El informe sobre las Perspectivas de la economía mundial, publicado dos veces al año en inglés, francés, español y árabe, presenta análisis realizados por economistas del cuerpo técnico del FMI sobre la evolución económica mundial a corto y mediano plazo. En los capítulos se presenta un panorama de la economía mundial; se consideran cuestiones que afectan a los países industriales y las economías en transición hacia un régimen de mercado y se abordan temas de actualidad. Anexos, recuadros, gráficos y un extenso apéndice estadístico complementan el texto.

Keywords:
WEO; current account; trade balance; monetary policy; balance of payments; financial market
Cover Perspectives de l’économie mondiale
Perspectives de l’économie mondiale
Récessions et reprises
International Monetary Fund. Research Dept.

Abstract

Les Perspectives de l'économie mondiale (PEM), publiées deux fois l'an en anglais, français, espagnol et arabe, présentent des analyses de l'évolution économique mondiale à court et moyen termes, préparées par les principaux économistes du FMI. Les divers chapitres donnent un tour d'horizon de l'économie mondiale, évoquent des questions qui touchent les pays industrialisés, les pays en développement, et ceux en transition vers une économie de marché, et abordent des thèmes d'actualité. Des annexes, des encadrés, des graphiques et un appendice statistique détaillé complètent le texte.

Keywords:
WEO; current account; trade balance; monetary policy; balance of payments; financial market
Cover World Economic Outlook, April 2002
World Economic Outlook, April 2002
Recessions and Recoveries
International Monetary Fund. Research Dept.

Abstract

The World Economic Outlook, published twice a year in English, French, Spanish, and Arabic, presents IMF staff economists' analyses of global economic developments during the near and medium term. Chapters give an overview of the world economy; consider issues affecting industrial countries, developing countries, and economies in transition to market; and address topics of pressing current interest. Annexes, boxes, charts, and an extensive statistical appendix augment the text.

Keywords:
WEO; current account; trade balance; monetary policy; balance of payments; financial market; advanced economy; emerging market financing condition; net debtor countries; commodity market development; equity price; Inflation; Business cycles; Oil prices; Current account balance; Exports; Middle East; Global; Asia and Pacific; Western Hemisphere; Africa; exchange rate; nominal interest rate; foreign currency; synchronized recession; investment contraction; recession depth; stock market boom; Economic recession; Consumption; Caribbean