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Business and Economics > Investments: Stocks

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Cover IMF Working Papers
A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers
Mr. Richard Varghese
and
Ms. Yuanyan S Zhang
ECB President Draghi’s Jackson Hole speech in August 2014 arguably marked a new phase of unconventional monetary policies (UMPs) in the euro area. This paper examines the market impact and tranmission channels of this new wave of UMPs using a modified event study framework. They are found to have a more prominent impact on inflation expectations and exchange rates compared to the earlier UMP announcements. The impact on bank equity, however, is less significant in part due to narrowing profit margin in a low interest rate environment; and the marginal effect on sovereign spread compression has diminished. By extracting components of monetary policy shocks from the yield curve, we find that the traditional signaling channel of the monetary policy transmission continued to play an important role, but the portfolio rebalancing channel became more important in the new phase. Spillovers to non-euro area EU countries (the Czech Republic, Denmark, Poland, and Sweden) are transmitted mainly through the portfolio rebalancing channel, largely affecting sovereign yields and exchange rates.
Keywords:
WP; monetary policy; market; factor; market factor; Yield Curve; Quantitative Easing; Event Study; QE announcement; signal factor; monetary policy surprise; monetary policy announcement; inflation expectation; bank equity; Bond yields; Unconventional monetary policies; Sovereign bonds; Stocks
Cover IMF Working Papers
European Union Enlargement and Equity Markets in Accession Countries
Richard Podpiera
and
Tomás Dvorák
The announcement of the European Union enlargement coincided with a dramatic rise in stock prices in accession countries. This paper investigates the hypothesis that the rise in stock prices was a result of the repricing of systematic risk due to the integration of accession countries into the world market. We found that firm-level stock price changes are positively related to the difference between a firm's local and world market betas. This result is robust to controlling for changes in expected earnings, country effects, and other controls, although the magnitude of the effect is not very large. The differences between local and world betas explain nearly 22 percent of the stock price increase.
Keywords:
WP; market premium; market beta; price increase; systematic risk; market integration; asset pricing; international financial integration; EU enlargement; world market; EU accession countries firm; Asset prices; Inflation; Stock markets; Market capitalization; Stocks; Eastern Europe; Global
Cover IMF Working Papers
Foreign Direct Investment in Southeastern Europe: How (and How Much) Can Policies Help?
Ms. Elina Ribakova
,
Mr. Balázs Horváth
,
Mr. Dimitri G Demekas
, and
Mr. Yi Wu
Gravity factors explain a large part of Foreign Direct Investment (FDI) inflows in Southeastern Europe-a region not comprehensively covered before in econometric studies-but hostcountry policies also matter. Key are policies that affect relative unit labor costs, the corporate tax burden, infrastructure, and the trade regime. This paper develops the concept of potential FDI for each country, and uses its deviation from actual levels to estimate what policies can realistically be expected to achieve in terms of additional FDI. It also finds evidence that above a certain threshold, the importance of some policies for attracting FDI is distinctly different.
Keywords:
WP; FDI flow; aggregate FDI panel regression; FDI stock; source country; cross-section regression
Cover IMF Working Papers
The Role of Financial Institutions in the Transition to a Market Economy
Mr. Michael G. Spencer
and
Mr. H. J. Blommestein
Financial institutions intermediate between savers and investors and contribute to corporate governance. Equity and bond markets in the former centrally planned economies are not yet in a position adequately to provide these services. It is not yet clear that investment funds will provide the necessary financing and corporate management. Therefore the first priority for financial sector reforms must be to establish a healthy commercial banking sector. Banks are the most promising source of financing, provide payment services which are crucial to both the real and financial sectors and, by monitoring the use of loaned funds, will be the primary source of corporate governance during the transformation to a market economy.
Keywords:
WP; investment funds; secondary market; commercial bank; central bank; banking system; capital base; savings bank; state enterprise; public offering; risk capital; capital structure; Stock markets; Commercial banks; Securities markets; Securities; Stocks; Eastern Europe; Central and Eastern Europe
Cover IMF Working Papers
Assessing Eastern Europe's Capital Needs
Mr. Anthony R. Boote
The paper aims at assessing the capital needs of Eastern Europe in catching up to EC standards of living using the framework of a CES (constant elasticity of substitution) production function model. This function, parameterized on the EC, is assumed to apply with certain inefficiency factors in Eastern Europe in 1992. Quantitative results, given the heroic set of assumptions required, are bounded by large ranges. The approach provides a framework for assessing the factors which will determine the future capital needs in Eastern Europe and underscores the crucial role of efficiency gains in this process.
Keywords:
WP; rate of return; capital; EC level; EC catch up; EC standards of living; labor ratio; EC average; EC efficiency level; EC production function; Stocks; Purchasing power parity; Income; Exchange rates; Eastern Europe
Cover IMF Working Papers
Proposals for Privatization in Eastern Europe
Mr. Eduardo Borensztein
This paper discusses several proposals for a wholesale privatization of public enterprises in Eastern Europe. These proposals include the distribution of ”vouchers” to private citizens as well as the use of mutual funds, privatization companies and other forms of financial intermediaries. The paper analyzes the implications for economic efficiency of the different forms of ownership and control that would emerge from the proposals as well as their main macroeconomic consequences.
Keywords:
WP; privatized enterprise; enterprise management; supervision system; privatization company; control problem; joint stock; Privatization; Nonbank financial institutions; Public enterprises; Mutual funds; Stocks; Eastern Europe