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Do Currency Fundamentals Matter for Currency Speculators?
Nozaki, Masahiro - International Monetary Fund (IMF) - 2010
The answer seems affirmative. We compare currency carry trades with an investment strategy based on currency fundamentals: taking a long (short) position in undervalued (overvalued) currencies. Carry trades have high risk-adjusted returns, but are subject to "crash risk." In contrast, the...
Persistent link: https://www.econbiz.de/10008519510
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Sweden; Financial Sector Assessment Program Update: Technical Note on Contingent Claims Analysis Approach to Measure Risk and Stress Test the Swedish Banking Sector
International Monetary Fund (IMF); International … - 2011
This paper describes the application of contingent claims analysis (CCA) and systemic CCA to the top four commercial banks in Sweden. The balance sheet stress tests for four major banks were complemented with tests based on the CCA framework, a risk-adjusted balance sheet relating bank asset...
Persistent link: https://www.econbiz.de/10011245016
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Czech Koruna and Polish Zloty Currency Options; Information Contnent and Eu-Accession Implications
Morales, Armando Méndez - International Monetary Fund (IMF) - 2000
Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to … GARCH model shows a positive impact of the introduction of the Euro on exchange rate volatility for the Polish zloty …
Persistent link: https://www.econbiz.de/10005248136
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A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns
Negro, Marco Del; Brooks, Robin - International Monetary Fund (IMF) - 2005
consisting of stocks with low exposures to country shocks achieve substantial variance reduction relative to the global market …
Persistent link: https://www.econbiz.de/10005263928
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Measuring Contagion with a Bayesian Time-Varying Coefficient Model
Rebucci, Alessandro; Ciccarelli, Matteo - International Monetary Fund (IMF) - 2003
We propose using a Bayesian time-varying coefficient model estimated with Markov chain-Monte Carlo methods to measure contagion empirically. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...
Persistent link: https://www.econbiz.de/10005263948
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Market Volatility As a Financial Soundness Indicator; An Application to Israel
Morales, Armando Méndez; Schumacher, Liliana - International Monetary Fund (IMF) - 2003
substantial decline once volatility is measured against the minimum variance for the same returns on assets. Using a conventional …Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have … been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility …
Persistent link: https://www.econbiz.de/10005264007
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Factor Model for Stress-Testing with a Contingent Claims Model of the Chilean Banking System
Gray, Dale F.; Walsh, James P - International Monetary Fund (IMF) - 2008
This paper derives risk indicators for the major Chilean banks based on contingent claims analysis, an extension of Black-Scholes-Merton option-pricing theory. These risk indicators are clearly tied to macroeconomic and financial developments in Chile and outside, but bank responses are highly...
Persistent link: https://www.econbiz.de/10005264053
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Why is Micro Evidenceon the Effects of Uncertainty Not Replicated in Macro Data?
Lombardi, Domenico; Bond, Stephen - International Monetary Fund (IMF) - 2005
This study investigates the relationship between uncertainty and investment using U.K. data at different levels of aggregation. Motivated by a comparative econometric analysis using a firm-level panel and aggregate time-series data, we analyze the implications of aggregating nonlinear...
Persistent link: https://www.econbiz.de/10005264173
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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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A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager
Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006
, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the …
Persistent link: https://www.econbiz.de/10005825661