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 14 items for :

  • Type: Journal Issue x
  • Energy: Demand and Supply; Prices x
Clear All Modify Search
Cover IMF Working Papers
Rethinking Fiscal Policy in Oil-Exporting Countries
Mr. Tokhir N Mirzoev
and
Ling Zhu
We examine the existing fiscal policy paradigm in commodity-exporting countries. First, we argue that its centerpiece—the permanent income hypothesis (PIH)—is not consistent with either intergenerational equity or long-term sustainability in the presence of uncertainty. Policies to achieve these goals need to be more prudent and better anchored than the PIH. Second, we point out the presence of a volatility tradeoff between government spending and wealth and re-assess long-held views on the appropriate fiscal anchors, the vice of procyclicality, and the (im)possibility of simultaneously smoothing consumption and ensuring intergenerational equity and sustainability. Finally, we propose what we call a prudent wealth stabilization policy that would be more consistent with long-term fiscal policy goals, yet relatively simple to implement and communicate.
Keywords:
WP; interest rate; physical capital; government spending; Fiscal policy; oil exporters; permanent income hypothesis; fiscal rules; wealth stabilization; target path; oil price shock; spending policy; PIH expenditure benchmark; oil wealth; wealth target; subsoil wealth; level of wealth; PIH Policy; wealth dynamics; targeted wealth; Consumption; Oil prices; Stocks
Cover IMF Working Papers
Determinants of U.S. Business Investment
Emanuel Kopp
U.S. business investment has taken a serious toll during the global financial crisis and also in the recovery phase investment did not pick up as expected. What is surprising is that the alleged investment slowdown happened at a time of record corporate profits and retained earnings, highly supportive financial conditions, improved sentiment, rising equity valuations, and strong labor markets—factors established in supporting business investment. Applying accelerator models and Bayesian Model Averaging, this paper discusses the extent to which U.S. business investment has been unusual. Results suggest that cautious expectations of future aggregate demand growth explain most of the weakness in investment, and that the oil and gas sector accounts for a considerable portion of the investment slump. Consequently, the behavior of U.S. business investment in recent years has not been unusual once these factors are taken into account. Also, there is very little evidence for uncertainty holding back investment, or that firms’ financial measures "crowded out" capital expenditure.
Keywords:
WP; business investment; firm; investment growth; private fixed investment; accelerator models; Bayesian Model Averaging; investment gap; growth outcome; accelerator model; investment activity; equipment investment; consumption deflator; Private investment; Oil prices; Stocks; Bank credit; Global financial crisis of 2008-2009; Global
Cover IMF Working Papers
Oil Prices and GCC Stock Markets: New Evidence from Smooth Transition Models
Nidhaleddine Ben Cheikh
,
Samy Ben Naceur
,
Mr. Oussama Kanaan
, and
Christophe Rault
Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price changes. We document the presence of stock market returns’ asymmetric reactions in some GCC countries, but not for others. In Kuwait’s case, negative oil price changes exert larger impacts on stock returns than positive oil price changes. When considering the asymmetry with respect to the magnitude of oil price variation, we find that Oman’s and Qatar’s stock markets are more sensitive to large oil price changes than to small ones. Our results highlight the importance of economic stabilization and reform policies that can potentially reduce the sensitivity of stock returns to oil price changes, especially with regard to the existence of asymmetric behavior.
Keywords:
WP; oil price change; GCC country; correlation coefficient; GCC stock markets; oil prices; smooth transition regression models; GCC stock price volatility; hedging strategy; Stock markets; Asset prices; Oil; Stocks; Global
Cover IMF Working Papers
Financial Sector Debt Bias
Ms. Oana Luca
and
Alexander F. Tieman
Most tax systems create a tax bias toward debt finance. Such debt bias increases leverage and may negatively affect financial stability. This paper models and estimates debt bias in the financial sector, and present novel estimates for investment banks and non-bank financial intermediaries such as finance and insurance companies. We find debt bias to be pervasive, explaining as much as 10 percent of total leverage for regular banks and 20 percent for investment banks, with the effects most pronounced before the global financial crisis. Going forward, debt bias is likely to once again gain prominence as a key driver of leverage decisions, underscoring the importance of policy reform at this juncture.
Keywords:
WP; oil price; interest rate; Oil prices; equity prices; dividends; economic growth; oil supply; global oil markets; international business cycle.; equity price; standard error band; term interest rate; price relationship; price fall; oil price shock; oil price coefficient; Oil; Oil production; Stocks; Long term interest rates; Global
Cover IMF Working Papers
Oil Prices and the Global Economy: Is It Different This Time Around?
Mr. Kamiar Mohaddes
and
M. Hashem Pesaran
The recent plunge in oil prices has brought into question the generally accepted view that lower oil prices are good for the United States and the global economy. In this paper, using a quarterly multi-country econometric model, we first show that a fall in oil prices tends relatively quickly to lower interest rates and inflation in most countries, and increase global real equity prices. The effects on real output are positive, although they take longer to materialize (around four quarters after the shock). We then re-examine the effects of low oil prices on the U.S. economy over different sub-periods using monthly observations on real oil prices, real equity prices and real dividends. We confirm the perverse positive relationship between oil and equity prices over the period since the 2008 financial crisis highlighted in the recent literature, but show that this relationship has been unstable when considered over the longer time period of 1946–2016. In contrast, we find a stable negative relationship between oil prices and real dividends which we argue is a better proxy for economic activity (as compared to equity prices). On the supply side, the effects of lower oil prices differ widely across the different oil producers, and could be perverse initially, as some of the major oil producers try to compensate their loss of revenues by raising production. Taking demand and supply adjustments to oil price changes as a whole, we conclude that oil markets equilibrate but rather slowly, with large episodic swings between low and high oil prices.
Keywords:
WP; oil price; Oil prices; equity prices; dividends; economic growth; oil supply; global oil markets; international business cycle; equity price; standard error band; price relationship; oil price shock; oil price coefficient; oil price variable; term interest rate; oil price volatility; price coefficient; real oil price; rate of change; Oil; Oil production; Stocks; Long term interest rates; Global
Cover IMF Working Papers
An Empirical Investigation of Oil-Macro-Financial Linkages in Saudi Arabia
Mr. Ken Miyajima
Oil-macro-financial linkages in Saudi Arabia are analyzed by applying panel econometric frameworks (multivariate and vector autoregression) to maceoeconomic and bank-level balance sheet data for 9 banks spanning 1999–2014. Lower growth of oil prices and non-oil private sector output leads to slower credit and deposit growth and higher nonperforming loan ratios, with feedback loops within bank balance sheets which in turn dampens economic activity. U.S. interest rates are not found to be a key determinant.
Keywords:
WP; price; bank; private sector; NPL ratio; Macro-financial linkages; nonperforming loans; panel vector autoregression; oil price; price growth; Brent crude; bank npls; solvency risk; equity price; Oil prices; Credit; Financial statements; Stocks; Middle East; North Africa; East Africa; Eastern Europe; Global
Cover IMF Working Papers
Do Asset Price Drops Foreshadow Recessions?
Mr. John C Bluedorn
,
Mr. Jörg Decressin
, and
Mr. Marco Terrones
This paper examines the usefulness of asset prices in predicting recessions in the G-7 countries. It finds that asset price drops are significantly associated with the beginning of a recession in these countries. In particular, the marginal effect of an equity/house price drop on the likelihood of a new recession can be substantial. Equity price drops are, however, larger and are more frequent than house price drops, making them on average more helpful as recession predictors. These findings are robust to the inclusion of the term-spread, uncertainty, and oil prices. Lastly, there is no evidence of significant bias resulting from the rarity of recession starts.
Keywords:
WP; price growth; asset price; frequency distribution; growth model; term spread; Business cycles; Macroeconomic forecasting; Financial markets; Uncertainty; Oil Prices; Binary dependent variable models; lag terms; asset price collapse; house price change; price volatility; price movement; equity price drop; Asset prices; Housing prices; Stocks; Stock markets; Global
Cover IMF Working Papers
Macrofinancial Linkages of the Strategic Asset Allocation of Commodity-Based Sovereign Wealth Funds
Aaron Howard Clifford Brown
,
Mr. Michael G. Papaioannou
, and
Iva Petrova
This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic asset allocation (SAA) strategies with regard to the government budget, monetary policy, and exchange rate movements. Based on a simple Markowitz-model framework, which integrates the specific objectives and constraints facing an SWF and the country's specific characteristics and macroeconomic vulnerabilities (especially in relation to commodity prices and prospective defined liabilities), we derive an SAA. The asset-liability methodology that is applied in the selection of an SWF SAA also allows assessing whether (i) the SAA adequately takes into account the country-specific risks and vulnerabilities, and (ii) its objectives and macrofinancial constraints are consistent. Some analytical and practical issues in determining an SAA model are also discussed, along with key effects of a financial crisis.
Keywords:
WP; expected return; exchange rate; financial asset; Sovereign Wealth Funds; Strategic Asset Allocation; Macrofinancial Linkages; asset class; stabilization SWF; revenue gap; SWF asset portfolio; SWF asset performance; SWF asset investment; asset-liability management framework; SWF resource; commodity price; portfolio return; SWF assets; asset class correlation; Sovereign bonds; Currencies; Oil prices; Stocks; Exchange rates; Global
Cover IMF Working Papers
What Happens During Recessions, Crunches and Busts?
Mr. Marco Terrones
,
Mr. Ayhan Kose
, and
Mr. Stijn Claessens
We provide a comprehensive empirical characterization of the linkages between key macroeconomic and financial variables around business and financial cycles for 21 OECD countries over the period 1960–2007. In particular, we analyze the implications of 122 recessions, 112 (28) credit contraction (crunch) episodes, 114 (28) episodes of house price declines (busts), 234 (58) episodes of equity price declines (busts) and their various overlaps in these countries over the sample period. Our results indicate that interactions between macroeconomic and financial variables can play major roles in determining the severity and duration of recessions. Specifically, we find evidence that recessions associated with credit crunches and house price busts tend to be deeper and longer than other recessions. JEL Classification Numbers: E32; E44; E51; F42
Keywords:
WP; price bust; equity price; house price; recession episode; asset price; credit contraction
Cover Departmental Papers
Who's Driving Whom? Analyzing External and Intra-Regional Linkages in the Americas
Mr. Jeromin Zettelmeyer
,
Mr. Martin Mühleisen
, and
Mr. Shaun K. Roache
In a global economy beset by concerns over a growth recession, financial volatility, and rising inflation, countries in the Western Hemisphere have been among the few bright spots in recent years. This has not come as a surprise to those following the significant progress achieved by many countries in recent years, both in macroeconomic management and on the structural and institutional front. Hence, there can be little doubt, as this book argues, that economic and financial linkages between Latin America, the United States, and other important regions of the world economy have undergone profound change.
Keywords:
DPPP; DP; exchange rate; dividend yield; federal funds rate; real interest rate; commodity price; business cycle; sovereign bond; treasury bill; emerging market; monetary policy; nominal exchange rate; base period; bond issue; Inflation; Commodity prices; Stocks; Stock markets; Oil prices; Central America; Global; Caribbean; South America; North America