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Introduction to Applied Stress Testing
Cihák, Martin - International Monetary Fund (IMF) - 2007
credit risk, interest rate and exchange rate risks, liquidity risk and contagion risk, and are guided in the design of stress …
Persistent link: https://www.econbiz.de/10005248151
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Global Liquidity, Risk Premiums and Growth Opportunities
Nicoló, Gianni De; Ivaschenko, Iryna V. - International Monetary Fund (IMF) - 2009
This paper constructs new indicators of liquidity for equity, bond and money markets in major advanced and emerging … evidence of an historical increase in market liquidity since the early 1990s, in part as a result of advances in international … financial integration, but markets have been increasingly exposed to global systemic liquidity shocks. Second, liquidity …
Persistent link: https://www.econbiz.de/10005826494
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The Development of Local Debt Markets in Asia
Goswami, Mangal; Sharma, Sunil - International Monetary Fund (IMF) - 2011
development has been limited by hurdles confronting borrowers and lenders, current and potential liquidity providers, and …
Persistent link: https://www.econbiz.de/10009151210
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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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The Jordanian Stock Market; Should You Invest in it for Risk Diversification or Performance?
Petri, Martin; Saadi-Sedik, Tahsin - International Monetary Fund (IMF) - 2006
We analyze the performance of the Amman Stock Exchange (ASE) and its integration with other markets. Using cointegration techniques, we find that the ASE and other Arab stock markets are cointegrated, which implies little long-run risk diversification. However, there is no cointegrating...
Persistent link: https://www.econbiz.de/10005263988
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Capital Market Integration; Progress Ahead of the East African Community Monetary Union
Yabara, Masafumi - International Monetary Fund (IMF) - 2012
Capital markets in the East African Community (EAC) face common challenges of low capitalization and liquidity, but to …
Persistent link: https://www.econbiz.de/10009650621
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The Russian Default and the Contagion to Brazil
Baig, Taimur; Goldfajn, Ilan - International Monetary Fund (IMF) - 2000
not support the hypothesis that it was the liquidity crisis in mature markets, and not the Russian crisis, that timed the …
Persistent link: https://www.econbiz.de/10005825760
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Volatility Spillovers and Contagion From Mature to Emerging Stock Markets
Caporale, Guglielmo Maria; Schulze-Ghattas, Marianne; … - International Monetary Fund (IMF) - 2008
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41...
Persistent link: https://www.econbiz.de/10005825961
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Country and Industry Dynamics in Stock Returns
Catão, Luis; Timmermann, Allan - International Monetary Fund (IMF) - 2003
A perennial question in international finance is to what extent stock returns are influenced by country-location, as opposed to industry-affiliation, factors. This paper develops a novel methodology to measure these effects, in which portfolios mimicking "pure" country and industry factors are...
Persistent link: https://www.econbiz.de/10005825967