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Pricing and Hedging of Contingent Credit Lines.
Neftci, Salih N - 2006
Intro -- Contents -- I. Introduction -- II. Market Practice -- III. Modeling a CCL -- IV. Replicating Portfolio -- V. Pricing -- A. Method 1 -- B. Method 2 -- VI. Hedging Issues -- VII. Concluding Remarks -- References.
Persistent link: https://www.econbiz.de/10012691053
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Real Exchange Rate Volatility and the Price of Nontradables in Sudden-Stop-Prone Economies.
Mendoza, Enrique G - 2006
Intro -- Contents -- I. INTRODUCTION -- II. VARIANCE ANALYSIS OF THE PESO-DOLLAR REAL EXCHANGE RATE -- III. SUDDEN STOPS AND NONTRADABLES-DRIVEN REAL EXCHANGE RATE VOLATILITY -- IV. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691128
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Broad Money Demand and Asset Substitution in China
Wu, Ge - 2009
Recent changes to China's financial system, in particular ongoing interest rate liberalization, gradual movement toward a more flexible exchange rate regime, and rapid development of capital markets, have changed substantially the environment in which monetary policy operates. In light of these...
Persistent link: https://www.econbiz.de/10012677797
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Cointegrated TFP Processes and International Business Cycles
Tuesta, Vicente - 2009
A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the ""rest of the world,"" is characterized by a vector error...
Persistent link: https://www.econbiz.de/10012677880
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Long-Run and Short-Run Determinants of Sovereign Bond Yields in Advanced Economies.
Poghosyan, Tigran - 2012
cointegration techniques. The application of cointegration methodology allows distinguishing between long-run (debt-to-GDP ratio …
Persistent link: https://www.econbiz.de/10012690164
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Do Unit Value Export, Import, and Terms of Trade Indices Represent or Misrepresent Price Indices?
Silver, Mick - International Monetary Fund (IMF) - 2007
price indices in the measurement of inflation transmission, terms of trade (effects), and to deflate import and export value … price surveys. This paper provides evidence of substantial bias in their representation of such price changes. Their …, and argues for a move to establishment-based price surveys. …
Persistent link: https://www.econbiz.de/10005248193
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Imf Drawing Programs; Participation Determinants and Forecasting
Cerutti, Eugenio - International Monetary Fund (IMF) - 2007
This paper studies the factors that have influenced countries' participation in IMF drawing programs. IMF drawing programs are defined as the period of a Stand-By Arrangement or an Extended Fund Facilities program during which a country borrows from the Fund. Since this definition excludes...
Persistent link: https://www.econbiz.de/10005248203
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Contagion, Monsoons, and Domestic Turmoil in Indonesia; A Case Study in the Asian Currency Crisis
Saxena, Sweta Chaman; Cerra, Valerie - International Monetary Fund (IMF) - 2000
This paper investigates whether Indonesia’s recent currency crisis was due to domestic fundamentals, common external shocks (“monsoons”), or contagion from neighboring countries. Markov-switching models attribute speculative pressure on Indonesia’s currency to domestic political and...
Persistent link: https://www.econbiz.de/10005248271
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The Monetary Model Strikes Back; Evidence From the World
Cerra, Valerie; Saxena, Sweta Chaman - International Monetary Fund (IMF) - 2008
from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We …
Persistent link: https://www.econbiz.de/10005263651
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Common and Idiosyncratic Components in Real Output; Further International Evidence
Simone, Francisco Nadal-De - International Monetary Fund (IMF) - 2002
This paper uses the classical (level) definition of business cycles to analyze the characteristics-duration, amplitude, steepness, and cumulative output movements-of the real GDP series of France, Germany, Italy, the rest of the euro area, and the United States. An index of concordance and its...
Persistent link: https://www.econbiz.de/10005263734