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Charles Kramer

International Monetary Fund, Institute for Capacity Development, Department Member

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Address: Washington, District of Columbia, United States

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Papers

Asian Equity Markets: Growth, Opportunities, and Challenges

Macroeconomic Seasonality and the January Effect

The Journal of Finance, 1994

THE EMPIRICAL SIGNIFICANCE OF January for stock returns continues to puzzle financial economists.... more

Nonlinearity and Endogeneity in Macro-Asset Pricing

Stud Nonlinear Dynam Econometrics, 1997

Macroeconomic uncertainty and asset markets : perspectives on the size and January anomalies /

Thesis (Ph. D.)--University of Virginia, 1993. Includes bibliographical references (leaves 179-186).

FEERs and Uncertainty: Confidence Intervals for the Fundamental Equilibrium Exchange Rate of the Canadian Dollar

IMF Working Papers, 1996

Abstract: Models of Fundamental Equilibrium Exchange Rates (FEERs) impose internal and external b... more

Stock-Market Equilibrium and the Dividend Yield

IMF Working Papers, 1996

Global Liquidity and Asset Prices: Measurement, Implications, and Spillovers

IMF Working Papers, 1999

ABSTRACT Much recent commentary suggests that global liquidity has influenced financial condition... more ABSTRACT Much recent commentary suggests that global liquidity has influenced financial conditions in the major international markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth) in the Group of Seven industrial countries to explore the international dimension of the relationship between liquidity and asset returns. Evidence suggests that an increase in G-7 liquidity is consistent with a decline in G-7 real interest rates and an increase in G-7 real stock returns. There is also evidence of liquidity spillovers across countries.

Nonlinearity and Endogeneity in Macro-Asset Pricing

Studies in Nonlinear Dynamics & Econometrics, 1997

A Post-Reflation Monetary Framework for Japan

IMF Working Papers, 2005

Modern Banking and OTC Derivatives Markets: The Transformation of Global Finance and its Implications for Systemic Risk

Occasional Papers, 2001

Challenges to Monetary Policy From Financial Globalization: The Case of India

IMF Working Papers, 2008

Reform of the Canada Pension Plan: Analytical Considerations

IMF Working Papers, 1997

Page 1. IMF Working Paper © 1997 International Monetary Fund This is a Working Paper and the auth... more

Financial Implications of the Shrinking Supply of U.S. Treasury Securities

SSRN Electronic Journal, 2000

-2 Contents Page I. Introduction and Summary 4 II. Historical Development of Government Securitie... more

Asian equity markets: growth, opportunities, and challenges

Macroeconomics and Finance in Emerging Market Economies, 2008

Noise trading, transaction costs, and the relationship of stock returns and trading volume

International Review of Economics & Finance, 1999

The Mexican Crisis and the Behavior of Country-Fund Discounts: Renewing the Puzzle of Closed-End Fund Pricing

International Journal of Theoretical and Applied Finance, 1998

Many studies have attempted to reconcile the behavior of closed-end fund prices with notions abou... more

Macroeconomic fluctuations and equilibrium discount factors

International Advances in Economic Research, 1997

Collapsing exchange rate regimes: Another linear example

Journal of International Economics, 1996

Economic models of speculative attacks and the drachma crisis of May 1994

Open Economies Review, 1996

Speculative attacks on fixed or 'fixed but adjustable' exchange rate regimes seem to ha... more

Asian Equity Markets: Growth, Opportunities, and Challenges

Macroeconomic Seasonality and the January Effect

The Journal of Finance, 1994

THE EMPIRICAL SIGNIFICANCE OF January for stock returns continues to puzzle financial economists.... more

Nonlinearity and Endogeneity in Macro-Asset Pricing

Stud Nonlinear Dynam Econometrics, 1997

Macroeconomic uncertainty and asset markets : perspectives on the size and January anomalies /

Thesis (Ph. D.)--University of Virginia, 1993. Includes bibliographical references (leaves 179-186).

FEERs and Uncertainty: Confidence Intervals for the Fundamental Equilibrium Exchange Rate of the Canadian Dollar

IMF Working Papers, 1996

Abstract: Models of Fundamental Equilibrium Exchange Rates (FEERs) impose internal and external b... more

Stock-Market Equilibrium and the Dividend Yield

IMF Working Papers, 1996

Global Liquidity and Asset Prices: Measurement, Implications, and Spillovers

IMF Working Papers, 1999

ABSTRACT Much recent commentary suggests that global liquidity has influenced financial condition... more ABSTRACT Much recent commentary suggests that global liquidity has influenced financial conditions in the major international markets to an important degree, and that excess liquidity in one financial center can influence financial conditions elsewhere. Little formal research has addressed these issues, however. In this paper, we use three indexes of liquidity (money growth) in the Group of Seven industrial countries to explore the international dimension of the relationship between liquidity and asset returns. Evidence suggests that an increase in G-7 liquidity is consistent with a decline in G-7 real interest rates and an increase in G-7 real stock returns. There is also evidence of liquidity spillovers across countries.

Nonlinearity and Endogeneity in Macro-Asset Pricing

Studies in Nonlinear Dynamics & Econometrics, 1997

A Post-Reflation Monetary Framework for Japan

IMF Working Papers, 2005

Modern Banking and OTC Derivatives Markets: The Transformation of Global Finance and its Implications for Systemic Risk

Occasional Papers, 2001

Challenges to Monetary Policy From Financial Globalization: The Case of India

IMF Working Papers, 2008

Reform of the Canada Pension Plan: Analytical Considerations

IMF Working Papers, 1997

Page 1. IMF Working Paper © 1997 International Monetary Fund This is a Working Paper and the auth... more

Financial Implications of the Shrinking Supply of U.S. Treasury Securities

SSRN Electronic Journal, 2000

-2 Contents Page I. Introduction and Summary 4 II. Historical Development of Government Securitie... more

Asian equity markets: growth, opportunities, and challenges

Macroeconomics and Finance in Emerging Market Economies, 2008

Noise trading, transaction costs, and the relationship of stock returns and trading volume

International Review of Economics & Finance, 1999

The Mexican Crisis and the Behavior of Country-Fund Discounts: Renewing the Puzzle of Closed-End Fund Pricing

International Journal of Theoretical and Applied Finance, 1998

Many studies have attempted to reconcile the behavior of closed-end fund prices with notions abou... more

Macroeconomic fluctuations and equilibrium discount factors

International Advances in Economic Research, 1997

Collapsing exchange rate regimes: Another linear example

Journal of International Economics, 1996

Economic models of speculative attacks and the drachma crisis of May 1994

Open Economies Review, 1996

Speculative attacks on fixed or 'fixed but adjustable' exchange rate regimes seem to ha... more