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 - 9 of 9 items for :

  • Type: Journal Issue x
  • Philippines x
Clear All Modify Search
Cover IMF Working Papers
Spillovers from Japan’s Unconventional Monetary Policy to Emerging Asia: a Global VAR approach
Mr. Giovanni Ganelli
and
Nour Tawk
We use a Global VAR model to study spillovers from the Bank of Japan’s quantitative and qualitative easing (QQE) on emerging Asia.1 Our main result is that, despite an appreciation of their currencies vis-à-vis the yen, the impact on emerging Asia’s GDP tended to be positive and significant. Our results suggest that the positive effect of QQE on expectations, by improving confidence, more than offset any negative exchange rate spillover due to expenditure switching from domestic demand to Japanese goods. They also suggest that spillovers from QQE might have worked mainly through the impact of expectations and improved confidence, captured by increases in equity prices, rather than through balance sheet adjustments which might have been captured by movements in the monetary base.
Keywords:
WP; price; Japan; interest rate; Japan's QQE; net export; QQE; Spillovers; Emerging Asia; equity price; Japan MSCI index; currency appreciation; Japan's price competitiveness; equity price shock; Japan's quantitative easing program; QQE in Japan; stock price effect; price boom; equity price increase; Inflation; Stocks; Monetary base; Unconventional monetary policies; Exchange rates; Asia and Pacific; Global; Europe
Cover IMF Working Papers
Push Factors and Capital Flows to Emerging Markets: Why Knowing Your Lender Matters More Than Fundamentals
Mr. Eugenio M Cerutti
,
Mr. Stijn Claessens
, and
Mr. Damien Puy
This paper analyzes the behavior of gross capital inflows across 34 emerging markets (EMs). We first confirm that aggregate inflows to EMs co-move considerably. We then report three findings: (i) the aggregate co-movement conceals significant heterogeneity across asset types as only bank-related and portfolio bond and equity inflows do co-move; (ii) while global push factors in advanced economies mostly explain the common dynamics, their relative importance varies by type of flow; and (iii) the sensitivity to common dynamics varies significantly across borrower countries, with market structure characteristics (especially the composition of the foreign investor base and the level of liquidity) rather than borrower country’s institutional fundamentals strongly affecting sensitivities. Countries relying more on international funds and global banks are found to be more sensitive to push factors. Our findings suggest that EMs need to closely monitor their lenders and investors to assess their inflow exposures to global push factors.
Keywords:
WP; equity; equity flow; portfolio equity; Push factors; capital flows; emerging markets; mutual funds; global banks; bond flow; MSCI emerging market index; market characteristic; investor base; inflows to EMs; equity inflow; Bonds; Stocks; Stock markets; Capital inflows; Global; Europe; Africa; Asia and Pacific
Cover IMF Working Papers
Asian Financial Integration: Trends and Interruptions
Mr. Eduardo Borensztein
and
Mr. Prakash Loungani
The paper compares trends in financial integration within Asia with those in industrialized countries and other regional groups. Declines in cross-country dispersion in equity returns and interest rates suggest increased Asian integration, with the process interrupted by crises and global volatility. Cross-border equity and bond holdings have also increased, but Asian countries remain considerably more financially integrated with major countries outside the region than with those within the region. The paper also discusses whether potential benefits of regional financial integration, such as increased risk-sharing and stability of the investor base, have materialized.
Keywords:
WP; investor economy; financial crisis; exchange rate; home bias; financial integration; Asia; equity premium; bond markets; gravity model; risk-sharing; herding; issuer economy Group; equity holdings equation; investors' choice; investor base; risk sharing; Stocks; Stock markets; Securities; Asia and Pacific; Eastern Europe; Global; Europe
Cover IMF Working Papers
Currency Crisis and Contagion: Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand
Mr. Jun Nagayasu
This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral indices—including those of banking and financial sectors—seem to have caused upward pressure on exchange rates. A correlation between some of these variables is also found to be strong across countries in the crisis period, thereby confirming the importance of the linkages between financial markets as a transmission channel of the Thai crisis to the Philippines.
Keywords:
WP; Asian financial crisis; contagion; benchmark stock indices; sectoral indices; exchange rate movement; sectoral stock indices; stock indices of the trading sector; high frequency stock indices; stock indices of the Philippines; food sector index; Exchange rates; Stocks; Asset prices; Exchange rate indexes; Currency crises; Asia and Pacific; Global
Cover IMF Working Papers
Financial Market Contagion in the Asian Crisis
Mr. Taimur Baig
and
Mr. Ilan Goldfajn
This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.
Keywords:
WP; e.g Thailand-Philippines; Malaysia-Philippines case; Malaysia-Thailand equity; Korea regression; stock index; Contagion; Asian Crises; Financial Markets; interest rate correlation; Thai baht; Malaysia's spread; correlations counterpart; market mayhem; Stock markets; Currency markets; Exchange rates; Currencies; Stocks; Asia and Pacific; East Asia
Cover IMF Working Papers
Institutional Investors and Asset Pricing in Emerging Markets
Ms. Elaine Karen Buckberg
This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the world’s major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. For 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio.
Keywords:
WP; portfolio; composite index; institutional investor; world portfolio; Latin America portfolio return; developing country equities; developing country market portfolio; stock portfolio; Stock markets; Emerging and frontier financial markets; Stocks; Asset prices; Asset allocation; Global; Asia and Pacific
Cover IMF Working Papers
Debt/Equity Swaps
International Monetary Fund
This paper describes the development of debt/equity swaps in the years following the emergence of the international debt crisis. It discusses some of the possible advantages and disadvantages offered by such swaps to three groups of participants--the commercial banks, the investing companies, and the indebted countries. It also provides an analysis of how these swaps are treated in the balance of payments accounts of an indebted country and discusses their possible effects on that country’s money supply, foreign exchange rate and economic growth. The paper concludes that debt/equity swaps can help to make a country’s debt burden more manageable and can contribute to economic growth, but only to a limited extent.
Keywords:
WP; equity swap; equity conversion; debt paper; debtor country; central bank; equity transaction; capital market; Stocks; Loans; Debt conversion; Foreign direct investment; Commercial banks; Global
Cover IMF Working Papers
Statistical Issues of Debt Conversions
International Monetary Fund
This paper examines two aspects of debt conversions. First, it examines general aspects of secondary markets of developing countries’ bank debt, and the debt conversions that have taken place in a number of developing countries experiencing debt servicing difficulties. Second, by using common characteristics of debt conversion transactions, the paper analyzes the effects of debt conversions on monetary, balance of payments, and fiscal accounts in the debtor countries. It concludes with discussions on implications of debt conversions for reports of external debt statistics.
Keywords:
WP; debt; currency; debtor country; investor; nonbank investor; debt conversion program; debt-conversion term; debt claim; bank debt; debt conversion transaction; Debt conversion; External sector statistics; Securities; Stocks
Cover IMF Working Papers
Simple Analytics: Debt-Equity Swaps and Debt forgiveness
International Monetary Fund
This paper is concerned with debt-equity swaps in which foreign residents are a party to the exchange (i.e., it does not deal with flight capital), and with debt forgiveness. The seemingly unrelated issues of debt-equity swaps and debt forgiveness are jointly treated in this study, because debt forgiveness is in fact a special case of debt-equity swaps. Namely, it is a swap in which a positive amount of debt is exchanged for zero equity. For this reason these two problems have many common features.
Keywords:
WP; debt forgiveness; demand price; income effect; rate of return; debtor country; equity holding; marginal utility; productivity shock; Debt conversion; Stocks; Consumption; Income; Debt service payments; Global