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Risk Sharing and Financial Contagion in Asia; An Asset Price Perspective
Rungcharoenkitkul, Phurichai - International Monetary Fund (IMF) - 2011
This paper assesses financial integration in Asia in terms of risk-sharing benefit versus financial-contagion cost. We construct a new measure of risk sharing based on a term structure model, which allows identification of realized stochastic discount factors. Risk sharing is low in Asia, and...
Persistent link: https://www.econbiz.de/10009369441
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Short-Term Wholesale Funding and Systemic Risk; A Global Covar Approach
International Monetary Fund (IMF); International … - 2012
In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a...
Persistent link: https://www.econbiz.de/10009654153
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A Framework for Financial Market Development
Chami, Ralph; Sharma, Sunil; Fullenkamp, Connel - International Monetary Fund (IMF) - 2009
The paper proposes a framework for examining the process of financial market development. The framework, consistent with the functional view of financial system design, is anchored in studying the incentives facing the key players in financial markets-borrowers, lenders, liquidity providers, and...
Persistent link: https://www.econbiz.de/10008528687
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Unanticipated Shocks and Systemic Influences; The Impact of Contagion in Global Equity Markets in 1998
González-Hermosillo, Brenda; Martin, Vance; Fry, Renee; … - International Monetary Fund (IMF) - 2003
August to September 1998 has been characterized as one of the worst episodes of global financial distress in decades. This paper investigates the transmission of the Russian and the LTCM crises through global equity markets using a panel of 14 developing and industrial countries. The results...
Persistent link: https://www.econbiz.de/10005769188
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Stress Testing of Financial Systems; An Overview of Issues, Methodologies, and FSAP Experiences
Peria, Maria Soledad Martinez; Majnoni, Giovanni; … - International Monetary Fund (IMF) - 2001
The paper has three objectives. After a general introduction to some of the concepts and basic techniques of stress testing, the paper gives an overview of some of the conceptual issues involved in evaluating risks at the aggregated level of financial systems. Second, this study provides a basic...
Persistent link: https://www.econbiz.de/10005248173
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Currency Crisis and Contagion; Evidence From Exchange Rates and Sectoral Stock Indices of the Philippines and Thailand
Nagayasu, Jun - International Monetary Fund (IMF) - 2000
This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral...
Persistent link: https://www.econbiz.de/10005263754
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Taxing Financial Transactions; An Assessment of Administrative Feasibility
Brondolo, John - International Monetary Fund (IMF) - 2011
This paper considers how a tax on financial transactions could be applied to three broad and partially overlapping categories of financial instruments: (1) exchange-traded instruments; (2) over-the-counter instruments; and, (3) foreign exchange instruments. For each category, the paper examines...
Persistent link: https://www.econbiz.de/10009203525
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Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece
González-Hermosillo, Brenda; Johnson, Christian A - International Monetary Fund (IMF) - 2014
This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of … explaining each other’s volatility while Germany also plays an important role. It is found that extreme bad news led to …
Persistent link: https://www.econbiz.de/10011142190
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Centrality-based Capital Allocations
Alter, Adrian; Craig, Ben; Raupach, Peter - International Monetary Fund (IMF) - 2014
We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....
Persistent link: https://www.econbiz.de/10011106151
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Kuwait; 2003 Article IV Consultation-Staff Report; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for Kuwait
International Monetary Fund (IMF); International … - 2004
The staff report for the 2003 Article IV Consultation on Kuwait highlights the economic developments and policies. The macroeconomic position over the medium term under current oil price expectations and the maintenance of a cautious policy stance is projected to weaken, but is not expected to...
Persistent link: https://www.econbiz.de/10005824939