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Operative Principles of Islamic Derivatives; Towards a Coherent Theory

Sole, Juan; Jobst, Andreas - International Monetary Fund (IMF) - 2012

Derivatives are few and far between in countries where the compatibility of financial transactions with Islamic law requires the development of shari'ah-compliant structures. Islamic finance is governed by the shari'ah, which bans speculation and gambling, and stipulates that income must be...

Persistent link: https://www.econbiz.de/10009654161

Assessing the Risks to the Japanese Government Bond (JGB) Market

Lam, Raphael W.; Tokuoka, Kiichi - International Monetary Fund (IMF) - 2011

Despite the rise in public debt, Japanese Government Bond (JGB) yields have remained low and stable, supported by steady inflows from the household and corporate sectors, high domestic ownership of JGBs, and safe-haven flows from heightened sovereign risks in Europe. Over time, however, the...

Persistent link: https://www.econbiz.de/10009401187

Do Commodity Futures Help Forecast Spot Prices?

Reichsfeld, David A; Roache, Shaun K. - International Monetary Fund (IMF) - 2011

We assess the spot price forecasting performance of 10 commodity futures at various horizons up to two years and test whether this performance is affected by market conditions. We reject efficient markets based on in-sample tests but, out-of-sample, we find that the forecast from the futures...

Persistent link: https://www.econbiz.de/10009369445

Monetary Independence in Emerging Markets; Does the Exchange Rate Regime Make a Difference?

Philippon, Thomas; Zettelmeyer, Jeromin; Borensztein, … - International Monetary Fund (IMF) - 2001

This paper compares the impact of shocks to U.S. interest rates and emerging market bond spreads on domestic interest rates and exchange rates across several emerging market economies with different exchange rate regimes. Consistent with conventional priors, the results indicate that interest...

Persistent link: https://www.econbiz.de/10005825800

Financial Implications of the Shrinking Supply of U.S. Treasury Securities

Schinasi, Garry J.; Smith, T. Todd; Kramer, Charles … - International Monetary Fund (IMF) - 2001

securities and created the possibility that government securities could disappear in some countries. The possibility that this ….S. dollar and the widespread perception that U.S. treasury securities have the lowest total financial risk (the combination of … securities and links them to the important roles that government securities, in particular U.S. treasury securities, have come to …

Persistent link: https://www.econbiz.de/10005826085

Czech Koruna and Polish Zloty; Spot and Currency Option Volatility Patterns

Morales, Armando Méndez - International Monetary Fund (IMF) - 2001

Exchange rate flexibility has facilitated an impressively fast insertion of the Czech koruna and the Polish zloty into the global currency market. However, exchange rate volatility patterns differ: Lower volatility is observed for the koruna against the euro relative to the U.S. dollar, while...

Persistent link: https://www.econbiz.de/10005826189

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

Market Predictability of ECB Monetary Policy Decisions; A Comparative Examination

Ross, Kevin - International Monetary Fund (IMF) - 2002

Many surveys of the ECB's monetary framework emphasize the inability of financial markets to correctly predict monetary policy decisions. At the same time, these surveys of financial market participants have given relatively high marks to the United States Federal Reserve and the Bank of England...

Persistent link: https://www.econbiz.de/10005826296

The Impact of Macroeconomic Announcementson Emerging Market Bonds

Andritzky, Jochen R.; Bannister, Geoffrey J.; Tamirisa, … - International Monetary Fund (IMF) - 2005

This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements...

Persistent link: https://www.econbiz.de/10005768842

Is there a Novelty Premiumon New Financial Instruments? the Argentine Experience with Gdp-Indexed Warrants

Ricci, Luca Antonio; Chamon, Marcos; Costa, Alejo - International Monetary Fund (IMF) - 2008

This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast...

Persistent link: https://www.econbiz.de/10005769334