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Business and Economics > Investments: Stocks

You are looking at 1 - 7 of 7 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
Estimating a Structural Model of Herd Behavior in Financial Markets
Antonio Guarino
and
Marco Cipriani
We develop a new methodology to estimate the importance of herd behavior in financial markets: we build a structural model of informational herding that can be estimated with financial transaction data. In the model, rational herding arises because of information-event uncertainty. We estimate the model using data on a NYSE stock (Ashland Inc.) during 1995. Herding often arises and is particularly pervasive on some days. The proportion of herd buyers (sellers) is 2 percent (4 percent) and is greater than 10 percent in 7 percent (11 percent) of information-event days. Herding causes important informational inefficiencies, amounting, on average, to 4 percent of the expected asset value.
Keywords:
WP; market maker
Cover IMF Working Papers
Capital Flows to Central and Eastern Europe
Mr. Gian M Milesi-Ferretti
and
Mr. Philip R. Lane
We examine the evolution of the net external asset positions of Central and Eastern Europe (CEEC) countries over the past decade, with a strong emphasis on the composition of their international balance sheets. We assess the extent of their international financial integration, compared with the advanced economies and other emerging markets, and highlight the salient features of their external capital structure in terms of the relative importance of FDI, portfolio equity, and external debt. In addition, we briefly describe the country and currency composition of their external liabilities. Finally, we explore the implications of the accumulated stock of external liabilities for future trade and current account balances.
Keywords:
WP; liability; emerging market; current account
Cover IMF Working Papers
The Role of Information in Driving FDI Flows: Host-Country Transparency and Source-Country Specialization
Assaf Razin
,
Mr. Ashoka Mody
, and
Efraim Sadka
We develop a simple information-based model of FDI flows. On the one hand, the abundance of "intangible" capital in specialized industries in the source countries, which presumably generates expertise in screening investment projects in the host countries, enhances FDI flows. On the other hand, host-country corporate-transparency diminishes the value of this expertise, thereby reducing the flow of FDI. Empirical evidence (from a sample of 9 source countries and 13 host countries over the 1980s and 1990s), analyzed in a gravity-equation model, provides support for the theoretical hypotheses. The model also demonstrates that the gains for the host country from FDI (over foreign portfolio investment (FPI)) are reflected in a more efficient size of the stock of domestic capital and its allocation across firms. These gains are shown to depend crucially (and positively) on the degree of competition among FDI investors.
Keywords:
WP; FDI investor; capital stock; Foreign direct investment; intangible capital; transparency; FDI inflow; high-productivity firm; FDI flow; industry specialization; Trade in goods; Stocks; Productivity
Cover IMF Working Papers
Are There International R&D Spillovers Among Randomly Matched Trade Partners? A Response to Keller
Mr. David T. Coe
and
Mr. Willy A Hoffmaister
Keller (1998) reexamines Coe and Helpman’s (1995) analysis of international R&D spillovers focusing on the weights used to define the foreign R&D capital stock. Keller creates “random” weights and shows that they give rise to positive estimates of international R&D spillovers, casting doubts on the robustness of Coe and Helpman’s findings. We show that Keller’s “random” weights are essentially simple averages with a random error. We derive alternative random weights and present regressions showing that when they are used to define the foreign R&D capital stock, the estimated international R&D spillover estimates are nonexistent, as would be expected.
Keywords:
WP; research and development; share; R&D; spillovers; technology; total factor productivity; import share; R&D capital stock; spillover estimate; random sampling; import weight; Imports; Stocks; Trade balance; Plurilateral trade
Cover IMF Working Papers
Japanese Foreign Direct Investment and Regional Trade
Mr. Gabrielle Lipworth
and
Mr. Tamim Bayoumi
We examine the relationship between Japanese FDI outflows, domestic and foreign fixed investment, and the exchange rate. The results indicate that aggregate FDI outflows have been driven by investment in Japan and the exchange rate, while the geographic distribution of such investment has been influenced by foreign economic conditions. We also find that FDI outflows have a temporary impact on exports but a permanent effect on imports. We find no evidence that behavior with respect to East Asia differs from that with respect to North America or Europe.
Keywords:
WP; FDI outflow; FDI flow; stock of FDI; FDI; Hollowing Out; Trade Linkages; FDI inflow; FDI regression; FDI stock; Foreign direct investment; Real exchange rates; Stocks; Exports; Trade balance; East Asia; North America; Asia and Pacific; Northern Europe
Cover IMF Working Papers
Equilibrium in a Non-Interest Open Economy
International Monetary Fund
This paper analyzes an economy in which there are no interest-bearing assets, only equity shares. Equilibrium conditions are derived for the case of a closed economy, an open economy with trade in goods only, and finally one with trade in both goods and equity shares. It is shown that the rate of return to capital equilibrates savings and investment, that the differential between the domestic and foreign rates of return to equity determines the direction of capital flows, and that under a fixed exchange rate system, adjustments induced by exchange rate changes are channeled through the asset accounts.
Keywords:
WP; rate of return