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Caselli, Francesca; Faralli, Matilde; Manasse, Paolo; … - 2021

. Colombia is typically regarded as the only large Latin American country that did not default in the 1980s. Using archival … research and formal econometric estimates of Colombia's probability of default, we show that in the early 1980s Colombia … the short to medium run, Colombia benefitted from avoiding an explicit default. Specifically, we find that GDP growth in …

Persistent link: https://www.econbiz.de/10012796746

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping …

Persistent link: https://www.econbiz.de/10012613371

The COVID-19 impact on corporate leverage and financial fragility

Haque, Sharjil Muktafi; Varghese, Richard - 2021

-leveraged. We find default probability deteriorates most in large, over-leveraged firms and those that were stressed pre …-COVID. Additional stress tests predict value of these firms will be less than one standard deviation away from default if cash flows …

Persistent link: https://www.econbiz.de/10012796218

Optimal bank recovery

Goodhart, Charles A. E.; Segoviano, Miguel - 2015

Banks' living wills involve both recovery and resolution. Since it may not always be clear when recovery plans or actions should be triggered, there is a role for an objective metric to trigger recovery. We outline how such a metric could be constructed meeting criteria of (i) adequate loss...

Persistent link: https://www.econbiz.de/10011408292

LTV and DTI limits : going granular

Jácome, Luis Ignacio; Mitra, Srobona - 2015

There is increasing interest in loan-to-value (LTV) and debt-service-to-income (DTI) limits as many countries face a new round of rising house prices. Yet, very little is known on how these regulatory instruments work in practice. This paper contributes to fill this gap by looking closely at...

Persistent link: https://www.econbiz.de/10011447079

Systemic risk modeling : how theory can meet statistics

Espinoza, Raphael A.; Segoviano, Miguel A.; Ji, Yan - 2020

We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to interbank counterparty risk, common asset exposures/fire...

Persistent link: https://www.econbiz.de/10012251307

How Important are Debt and Growth Expectations for Interest Rates?

Rafiq, Sohrab - 2015

This paper uses a dataset on private-sector risk aversion as well as expectations of long-run growth and debt to explain trends in implied forward rates on government bonds in the G-7 countries. The results show, consistent with the literature, that a one-percent rise in the long-run projected...

Persistent link: https://www.econbiz.de/10014412125

Intervention, Interest Rates, and Charts : Three Essays in International Finance

Taylor, Mark P. - 1991

This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic

Persistent link: https://www.econbiz.de/10014395907

Interest Rate Targeting in a Small Open Economy : The Predetermined Exchange Rates Case

Calvo, Guillermo - 1990

An important hurdle in analyzing interest rate targeting is that standard models usually lead to price level or inflation rate indeterminacy. This paper develops a simple framework in which such problems do not arise because the bonds whose interest rate is controlled provide liquidity services....

Persistent link: https://www.econbiz.de/10014395997

Nominal Interest Rate Pegging Under Alternative Expectations Hypotheses

International Monetary Fund - 1988

Nominal interest rate pegging leads to instability in an IS-LM model with a vertical long-run Phillips curve and backward-looking inflation expectations. However, it does not lead to instability in several large multicountry econometric models, apparently primarily because these models have...

Persistent link: https://www.econbiz.de/10014396137