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An Assessment of Estimates of Term Structure Models for the United States
Medeiros, Carlos I.; He, Ying - International Monetary Fund (IMF) - 2011
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then...
Persistent link: https://www.econbiz.de/10009369442
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On the Estimation of Term Structure Models and An Application to the United States
International Monetary Fund (IMF); International … - 2010
structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff …
Persistent link: https://www.econbiz.de/10008727797
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The Efficiency of the Japanese Equity Market
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....
Persistent link: https://www.econbiz.de/10005825859
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Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications
Santos, Andre; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006
Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for firms with currency mismatches in their asset/liability structure. The proposed...
Persistent link: https://www.econbiz.de/10005826571
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Bankruptcy and Firm Dynamics; The Case of the Missing Firms
Rodríguez-Delgado, Jose Daniel - International Monetary Fund (IMF) - 2010
Financial frictions have been documented as an important determinant of firm dynamics. In this paper I model bankruptcy procedures, liquidation in particular, as an institutional feature that affects both sides of financial transactions. I construct a model of firm dynamics that generate...
Persistent link: https://www.econbiz.de/10008519503
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Regional Financial Integration in the Caribbean; Evidence From Financial and Macroeconomic Data
Kwon, Goohoon; Espinoza, Raphael A. - International Monetary Fund (IMF) - 2009
This paper assesses the extent of regional financial integration in the Caribbean Community (CARICOM) by analyzing equity prices in the region and rigidity of external financing constraints. The results are presented in a cross-regional perspective. The Caribbean stock markets are not as well...
Persistent link: https://www.econbiz.de/10008528700
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Quantitative Properties of Sovereign Default Models; Solution Methods Matter
Martinez, Leonardo; Sapriza, Horacio; Hatchondo, Juan Carlos - International Monetary Fund (IMF) - 2010
for parameterizations that feature a high sensitivity of the bond price to the borrowing level for the borrowing levels … of the model, instead of iterating separately on the value and bond price functions and (ii) concentrating grid points in … asset levels at which the bond price is more sensitive to the borrowing level and in levels that are observed more often in …
Persistent link: https://www.econbiz.de/10008533233
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Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices
Krichene, Noureddine - International Monetary Fund (IMF) - 2004
Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...
Persistent link: https://www.econbiz.de/10005605330
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On Brazil’s Term Structure; Stylized Facts and Analysis of Macroeconomic Interactions
Cabral, Rodrigo; Munclinger, Richard; Alves, Luiz; … - International Monetary Fund (IMF) - 2011
This paper characterizes the term structure of Treasury bond yields for Brazil, and estimates a Nelson-Siegel Model to …
Persistent link: https://www.econbiz.de/10009147330
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A New Framework to Estimate the Risk-Neutral Probability Density Functions Embedded in Options Prices
Cheng, Kevin C. - International Monetary Fund (IMF) - 2010
Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions (RNPs) for various asset classes. The contributions are twofold: first, on the technical side, the paper...
Persistent link: https://www.econbiz.de/10008646431