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Terms of Trade Shocks in Africa; Are they Short-Lived or Long-Lived?
Cashin, Paul; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2000
This paper examines the persistence of shocks to the terms of trade, using annual data on 42 Sub-Saharan African countries between 1960-96. We find that the persistence of terms of trade shocks varies widely—for about half the countries such shocks are short-lived, while for one-third of the...
Persistent link: https://www.econbiz.de/10005826235
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Measuring off-Balance-Sheet Leverage
Breuer, Peter - International Monetary Fund (IMF) - 2000
-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …
Persistent link: https://www.econbiz.de/10005263810
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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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Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets
Neftci, Salih N.; Santos, Andre - International Monetary Fund (IMF) - 2003
interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall … gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …
Persistent link: https://www.econbiz.de/10005826508
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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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Securities Transaction Taxes and Financial Markets
Habermeier, Karl Friedrich; Kirilenko, Andrei - International Monetary Fund (IMF) - 2001
transaction taxes on financial markets in the context of four questions. How important is trading? What causes price volatility … equivalents as capital controls can have negative effects on price discovery, volatility, and liquidity and lead to a reduction in …
Persistent link: https://www.econbiz.de/10005599614
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Unconventional Monetary Policy and Asset Price Risk
Roache, Shaun K.; Rousset, Marina V - International Monetary Fund (IMF) - 2013
We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...
Persistent link: https://www.econbiz.de/10010790292
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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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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