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Measuring off-Balance-Sheet Leverage
Breuer, Peter - International Monetary Fund (IMF) - 2000
The simultaneous unwinding of leveraged positions can trigger financial market turbulence. Although balance-sheet measures of leverage are available, it is useful to construct a measure of leverage that incorporates both on- and off-balance-sheet activities. This paper provides measures of...
Persistent link: https://www.econbiz.de/10005263810
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Distance-To-Default in Banking; A Bridge too Far?
Sy, Amadou N. R.; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006
and asset volatility. We also use the framework to illustrate pre-default regulatory actions in Japan in 2001-03. …
Persistent link: https://www.econbiz.de/10005825824
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A Taxonomy of Automated Trade Execution Systems
Domowitz, Ian - International Monetary Fund (IMF) - 1992
A taxonomy of existing and planned automated trade execution systems in financial markets is provided. Over 50 automated market structures in 16 countries are analyzed. The classification scheme is organized around the principle that such markets consist of an algorithm that performs a trade...
Persistent link: https://www.econbiz.de/10005826264
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International Reserves; Precautionary vs. Mercantilist Views, Theory, and Evidence
Aizenman, Joshua; Lee, Jaewoo - International Monetary Fund (IMF) - 2005
This paper compares the importance of precautionary and mercantilist motives in the hoarding of international reserves by developing countries. Overall, empirical results support precautionary motives; in particular, a more liberal capital account regime increases international reserves....
Persistent link: https://www.econbiz.de/10005826505
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Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N.; Santos, Andre - International Monetary Fund (IMF) - 2003
This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by...
Persistent link: https://www.econbiz.de/10005826508
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Vulnerabilities in Emerging Southeastern Europe; How Much Cause for Concern?
International Monetary Fund (IMF); International … - 2007
While large inflows of capital into Southeastern Europe (SEE) have raised incomes, this has increased vulnerability to financial risks, which, if realized, can lead to costly adjustments. Traditional vulnerability indicators in SEE have reached levels that in other countries have not been...
Persistent link: https://www.econbiz.de/10005768987
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The Effect of Capital Controlson Foreign Direct Investment Decisions Under Country Risk with Intangible Assets
Elo, Kinga Z. - International Monetary Fund (IMF) - 2007
volatility and volume statistics. We estimate a standard cross-sectional model that provides strong support for our theoretical …
Persistent link: https://www.econbiz.de/10005769054
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Foreign Participation in Emerging Markets’ Local Currency Bond Markets
Peiris, Shanaka J. - International Monetary Fund (IMF) - 2010
and volatility in a group of emerging markets from 2000-2009. The results of a panel data analysis of 10 emerging markets …-term government yields. Moreover, greater foreign participation does not necessarily result in increased volatility in bond yields in … emerging markets and, in fact, could even dampen volatility in some instances. …
Persistent link: https://www.econbiz.de/10008470377
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The Contingent Claims Approach to Corporate Vulnerability Analysis; Estimating Default Risk and Economy-Wide Risk Transfer
Xiao, Yingbin; Gray, Dale F.; Lim, Cheng Hoon; Gapen, … - International Monetary Fund (IMF) - 2004
In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The...
Persistent link: https://www.econbiz.de/10005599251
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Pricing Growth-Indexed Bonds
Mauro, Paolo; Chamon, Marcos - International Monetary Fund (IMF) - 2005
Growth-indexed bonds have been suggested as a way of reducing the procyclicality of emerging-market countries' fiscal policies and the likelihood of costly debt crises. Investor attitude surveys suggest that pricing difficulties are seen as a considerable obstacle. In an effort to reduce such...
Persistent link: https://www.econbiz.de/10005599424