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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

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

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

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

United Kingdom; Stress Testing the Banking Sector Technical Note

International Monetary Fund (IMF); International … - 2011

In recent years, the IMF has released a growing number of reports and other documents covering economic and financial developments and trends in member countries. Each report, prepared by a staff team after discussions with government officials, is published at the option of the member country.

Persistent link: https://www.econbiz.de/10011243481

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

Australian Bank and Corporate Sector Vulnerabilities; An International Perspective

Takáts, Elöd; Tumbarello, Patrizia - International Monetary Fund (IMF) - 2009

This paper focuses on how the exposure to the corporate sector may impact the health of the Australian banking system. It also compares Australian banks with their international peers. Finally, it investigates banks' exposure to credit risk using the new Basel II Pillar 3 disclosure data. The...

Persistent link: https://www.econbiz.de/10008559282

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

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

Foreign Participation in Emerging Marketsâ€™ 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