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Imperfect Information and Saving in a Small Open Economy

Roitman, Agustin - 2011

Emerging markets are more volatile and face different types of shocks, in size and nature, compared to their developed counterparts. Accurate identification of the stochastic properties of shocks is difficult. We show evidence suggesting that uncertainty about the underlying stochastic process...

Persistent link: https://www.econbiz.de/10014402067

Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate

Souto, Marcos - 2007

appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

Persistent link: https://www.econbiz.de/10014399716

The stabilizing role of net foreign asset returns

Adler, Gustavo; Garcia-Macia, Daniel - 2018

With the rapid growth of countries' foreign asset and liability positions over the last two decades, financial returns on those positions ('NFA returns') have become material drivers of current accounts and net stock positions. This paper documents the relative importance of NFA return versus...

Persistent link: https://www.econbiz.de/10011848254

Portfolio Diversification, Leverage, and Financial Contagion

Smith, T. Todd - 1999

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

Persistent link: https://www.econbiz.de/10014400415

Imperfect information and saving in a small open economy

Daude, Christian; Roitman, Agustin - 2011

Persistent link: https://www.econbiz.de/10009486211

A Volatility and Persistence-Based Core Inflation

2015 - da Silva Filho, Tito N�cias Teixeira ; Marcos Rodrigues Figueiredo, Francisco ed

volatility and (the lack of) persistence implies that when one excludes volatile items relevant information is likely to be … volatility and persistence. The evidence shows that such measures far outperform those based on either volatility or persistence …

Persistent link: https://www.econbiz.de/10014411919

Winner-Loser Reversals in National Stock Market Indices : Can they Be Explained?

Richards, Anthony J. - 1997

This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk...

Persistent link: https://www.econbiz.de/10014403316

Foreign Exchange Market Volatility in Eu Accession Countries in the Run-Up to Euro Adoption : Weathering Uncharted Waters

Székely, István P. - 2004

The paper analyzes foreign exchange market volatility in four Central European EU accession countries in 2001-2003. By … using a Markov regime-switching model, it identifies two regimes representing high- and low-volatility periods. The … the Czech koruna-Slovak koruna) in the high-volatility period. The paper concludes by discussing the policy implications …

Persistent link: https://www.econbiz.de/10014404125

Pooling fiscal risk in the ECCU : quantitative assessment of savings with a regional stabilization fund

Guerson, Alejandro - 2021

This paper quantifies the savings obtained from risk pooling with a Regional Stabilization Fund (RSF) for the Eastern Caribbean Currency Union. A Monte Carlo experiment is used to estimate the size of a RSF conditional on probabilities of depletion under specific saving-withdrawal rules. Results...

Persistent link: https://www.econbiz.de/10012605596

How to Evaluate Gdp-Linked Warrants : Price and Repayment Capacity

Miyajima, Ken - 2006

Following a brief review of the recent history of GDP-linked instruments, this paper proposes a set of tools to examine the quantitative properties of GDP-linked warrants. It argues that trigger conditions should be clearly identifiable and payment amounts easily calculable. Based on a design...

Persistent link: https://www.econbiz.de/10014400393