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Business and Economics > Investments: Stocks

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Cover IMF Working Papers
Capital Flow Data – A Guide for Empirical Analysis and Real-time Tracking
Mr. Robin Koepke
and
Simon Paetzold
This paper provides an analytical overview of the most widely used capital flow datasets. The paper is written as a guide for academics who embark on empirical research projects and for policymakers who need timely information on capital flow developments to inform their decisions. We address common misconceptions about capital flow data and discuss differences between high-frequency proxies for portfolio flows. In a nowcasting “horse race” we show that high-frequency proxies have significant predictive content for portfolio flows from the balance of payments (BoP). We also construct a new dataset for academic use, consisting of monthly portfolio flows broadly consistent with BoP data.
Keywords:
WP; flow data; portfolio flow; debt flow; flow proxy; IMF balance of payments statistic; portfolio flows; fund flows; balance of payments; coincident indicators; IIF data; IMF balance of payments data; Capital flows; Stocks; Balance of payments statistics; Flow of funds; Emerging and frontier financial markets; Africa; Global
Cover IMF Working Papers
What Slice of the Pie? The Corporate Bond Market Boom in Emerging Economies
Ms. Diana B Ayala Pena
,
Milan Nedeljkovic
, and
Christian Saborowski
This paper studies the determinants of shifts in debt composition among EM non-financial corporates. We show that institutions and macro fundamentals create an enabling environment for bond market development. During the recent boom episode, however, global cyclical factors accounted for most of the variation of bond shares in total corporate debt. The sensitivity to global factors appears to vary with relative bond market size—which we interpret to be associated with liquidity and easy entry and exit—rather than local fundamentals. Foreign bank linkages help explain why bond markets increasingly substituted for banks in channeling liquidity to EMs. Our results highlight the risk of capital flow reversal in EMs that benefited from the upturn in the global financial cycle mostly due to their liquid markets rather than strong fundamentals.
Keywords:
WP; bond market development; bond market market concentration; global bond market boom; debt stock; development benefit; disadvantages bond market investor; Bond markets; Capital flows; Emerging Markets; NFC debt; bond market boom; bond market access; Securities markets; Bonds; Bank credit; Stocks; Loans; Global; Asia and Pacific
Cover IMF Staff Country Reports
South Africa: Selected Issues
International Monetary Fund
South Africa’s macroeconomic policies face a complicated task of balancing between supporting domestic demand and maintaining stability. The Selected Issues paper for South Africa discusses economic development and policies. Although the opening output gap and declining employment do call for countercyclical fiscal and monetary policy easing, policymakers should also be mindful of the effects of such policies on external and internal macroeconomic stability. The combined package of monetary and fiscal policies has considerable effects on growth and employment.
Keywords:
ISCR; CR; interest rate; inflation; fiscal policy; monetary policy; inflation expectation; default probability; equity flow; solvency risk; exchange rate expectation; Central bank policy rate; Stocks; Emerging and frontier financial markets; Exchange rates; Africa; Global
Cover Policy Papers
Quota and Voice Reform - Stocktaking and Further Considerations, Statistical Appendices I and II, Statement by the Managing Director, and Summing Up of the Board Meeting
International Monetary Fund
At its Spring Meeting, the IMFC reiterated the importance of implementing the program of quota and voice reforms in line with the timetable set out by the Board of Governors in Singapore. The Committee welcomed the initial informal Board discussions on a new quota formula and stressed the importance of agreeing on a new formula, which should be simple and transparent and should capture members’ relative positions in the world economy. It noted that this reform would result in higher shares for dynamic economies, many of which are emerging market economies, whose weight and role in the global economy have increased. The Committee also stressed the importance of enhancing the voice and participation of low-income countries, a key issue for which is an increase in basic votes, at a minimum preserving the voting share of low-income countries. The Committee called on the Executive Board to continue its work on the reform package as a matter of priority.
Keywords:
PP; IMF document; PPP GDP; document; GDP; GDP blend; quota share; voice reform process; Purchasing power parity; Market exchange rates; International banking; Exchange rates; Gold; Global; Africa; Middle East; Western Hemisphere; Asia and Pacific
Cover IMF Working Papers
How Private Creditors Fared in Emerging Debt Markets, 1970-2000
Mr. Jeromin Zettelmeyer
,
Ms. Beatrice Weder
, and
Mr. Christoph A Klingen
We estimate ex post returns to emerging market debt by combining secondary-market prices with observed flows based on World Bank data. From 1970-2000, returns averaged 9 percent per annum, about the same as returns on a ten-year U.S. treasury bond. This reflects the combined effect of the 1980s debt crisis and much higher returns during 1989-2000. Annual returns since 1986 have been less volatile than emerging market equity returns but more volatile than returns on U.S. corporate or high-yield bonds. However, unlike returns on these bonds, emerging market debt returns do not seem significantly correlated with U.S. or world stock markets.
Keywords:
WP; secondary market; debt crisis; emerging market debt; debt flow; debt stock; sovereign debt; crises; returns capital flows; debt price; flow series; debt restructuring operation; Emerging and frontier financial markets; Securities markets; Stock markets; Stocks; Asia and Pacific
Cover IMF Survey
IMF Survey, Volume 32, Issue 08
International Monetary Fund. External Relations Dept.
Speaking at the Thirty-Third Washington Conference of the Council of the Americas on April 29, IMF Managing Director Horst Köhler expressed optimism about Latin America’s growth prospects. Despite difficult economic times, he said, the people have indicated no desire to return to past authoritarian regimes, and several countries have recently reaffirmed their commitment to a market-based system. A summary of Köhle’s address, delivered at the U.S. Department of State, follows.
Keywords:
SV; IMF Concludes; IMF Approves; market; IMF's website; indicators seek; financial systems department; draft guide; IMF publication service; industry factor; Stock markets; Financial inclusion; Income; Poverty reduction; Stocks; Global; Africa; Sub-Saharan Africa; West Africa; Europe
Cover IMF Working Papers
Financial Liberalization and Real Investment: Evidence From Turkish Firms
Ms. Cemile Sancak
There is increasing emphasis on the importance of efficient financial markets for sustained real investment and economic growth, yet limited empirical research on the effects of the deregulation of financial markets on the firm's investment decisions. The purpose of this paper is to model the impact of financial reforms on borrowing constraints faced by firms and to test the impact of financial reforms on the investment decisions of firms in Turkey. To do so, the paper builds a dynamic investment model, where financial variables and real investment are linked through the net present value of the firm. The derived investment model is employed to test whether Turkey's efforts at financial liberalization in 1980 were able to relax the borrowing constraints faced by Turkish firms. A dynamic panel data methodology is used on a panel data set of 1036 Turkish firms over the 1983-86 period. In addition, time-series analysis is employed on Turkish aggregate data over the 1971-91 period.
Keywords:
WP; credit rationing; capital market
Cover IMF Working Papers
Bank Rating Changes and Bank Stock Returns—Puzzling Evidence from the Emerging Markets
Mr. Anthony J. Richards
and
Mr. David Deddouche
This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies. The data suggest that downgrades on average have followed periods of negative cumulative abnormal returns for banks, although upgrades have not followed periods of positive returns. More important, stock prices either do not respond to rating changes or respond in the opposite direction to what would be expected if announcements conveyed value-relevant information. The paper concludes that there are limits to the extent that supervisors in emerging markets can rely on market participants to monitor the safety and soundness of banks.
Keywords:
WP; ratings change; abnormal return; bank return data; market return; Event Study; Rating Changes; Bank Stock Prices; stock return data; announcement-window return; return measure; Emerging and frontier financial markets; Stock markets; Stocks; Asset prices; Bond ratings; Asia and Pacific
Cover IMF Working Papers
The Mexican Financial Crisis: A Test of the Resilience of the Markets for Developing Country Securities
Mr. Shogo Ishii
and
Mr. David Andrew
This paper reviews developments in private capital flows to developing countries since the Mexican financial crisis in December 1994. The paper points out that a strong recovery in these flows masks some significant changes in their characteristics, particularly in the type of borrowers back toward sovereigns and the currency denomination of new issues shifted away from U.S. dollars. Terms of new bond issues became significantly less favorable than before the Mexican crisis. One of the most striking developments was the sharp increase in bond placements by developing countries in deutsche mark and yen. It is shown that relatively favorable credit ratings assigned by Japanese rating agencies facilitated some developing countries to tap the yen bond market.
Keywords:
WP; developing country; yield; borrower; securities; right; U.S. dollar; secondary market; deutsche mark; developing country borrower; dollar-denominated issue; Bonds; International bonds; Stock markets; Stocks; International capital markets; Western Hemisphere; Africa; Asia and Pacific; Middle East; Europe
Cover IMF Working Papers
Informational Efficiency in Developing Equity Markets
Mr. C. John McDermott
and
Mr. Paul Cashin
The issue of informational efficiency in the evolution of asset prices is examined using data on equity markets in Jordan, Turkey and Pakistan over the period 1986–93. The analysis is carried out in two steps. The parameters of agents’ dynamic consumption and investment decisions are first estimated, and then the implied equity market price, based on market fundamentals, is compared with the actual evolution of equity market prices. While the informational efficiency of each of the three markets is found to be deficient, the causes of market inefficiency are varied. For Jordan it appears that a large negative shock to economic activity in the late 1980s caused agents to discount market fundamentals. For Turkey and Pakistan it is likely that institutional and legal rigidities in equity and banking markets resulted in these markets being illiquid, although this lack of market depth did reduce in severity for Turkey over the sample period, as liberalization of financial markets occurred.
Keywords:
WP; informational efficiency; utility function; market fundamentals; banking market; asset market liberalization; rate of return; market efficiency; market movement; financial market regulation; market information; Stock markets; Stocks; Asset prices; Consumption; Estimation techniques; Global; Middle East