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Recent Advances in Credit Risk Modeling
Gasha, Jose Giancarlo; Santos, Andre; Chan-Lau, Jorge A.; … - International Monetary Fund (IMF) - 2009
the reassessment of the default correlations using copulas, the pricing of credit index options, and the determination of …
Persistent link: https://www.econbiz.de/10008528651
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The Curious Case of the Yen as a Safe Haven Currency: A Forensic Analysis
Botman, Dennis P. J.; Filho, Irineu E. Carvalho; Lam, … - International Monetary Fund (IMF) - 2013
participants’ risk perceptions trigger derivatives trading, which in turn lead to changes in the spot exchange rate without capital …
Persistent link: https://www.econbiz.de/10010790363
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Sudden stops, time inconsistency, and the duration of sovereign debt
Hatchondo, Juan Carlos; Martinez, Leonardo - International Monetary Fund (IMF) - 2013
We study the sovereign debt duration chosen by the government in the context of a standard model of sovereign default …
Persistent link: https://www.econbiz.de/10010790324
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Optimal Maturity Structure of Sovereign Debt in Situation of Near Default
Desgranges, Gabriel; Rochon, Céline - International Monetary Fund (IMF) - 2014
We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under … uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fiscal effort. This results into a … uncertainty about future fundamentals is then a source of default through its effect on long term interest rates and the optimal …
Persistent link: https://www.econbiz.de/10010959469
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Crude Oil Prices; Trends and Forecast
Krichene, Noureddine - International Monetary Fund (IMF) - 2008
Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward consistently rising prices. Short-term forecasting would imply persistence of...
Persistent link: https://www.econbiz.de/10005825666
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Banks' Reserve Management, Transaction Costs, and the Timing of Federal Reserve Intervention
Bertola, Giuseppe; Bartolini, Leonardo; Prati, Alessandro - International Monetary Fund (IMF) - 2000
We use daily data on bank reserves and overnight interest rates to document a striking pattern in the high-frequency behavior of the U.S. market for federal funds: depository institutions tend to hold more reserves during the last few days of each “reserve maintenance period,” when the...
Persistent link: https://www.econbiz.de/10005825728
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Volatility and Jump Risk Premia in Emerging Market Bonds
Matovu, John - International Monetary Fund (IMF) - 2007
There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of...
Persistent link: https://www.econbiz.de/10005825819
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The Efficiency of the Japanese Equity Market
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....
Persistent link: https://www.econbiz.de/10005825859
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Recent Dynamics of Crude Oil Prices
Krichene, Noureddine - International Monetary Fund (IMF) - 2006
Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...
Persistent link: https://www.econbiz.de/10005826574
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Consensus Forecasts and Inefficient Information Aggregation
Crowe, Christopher W. - International Monetary Fund (IMF) - 2010
Consensus forecasts are inefficient, over-weighting older information already in the public domain at the expense of new private information, when individual forecasters have different information sets. Using a cross-country panel of growth forecasts and new methodological insights, this paper...
Persistent link: https://www.econbiz.de/10008646415