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Using the Balance Sheet Approach in Surveillance; Framework, Data Sources, and Data Availability

Pellechio, Anthony J.; Mathisen, Johan - International Monetary Fund (IMF) - 2006

Recent improvements in statistical methodologies and data availability are facilitating detailed, high-frequency, timely macroeconomic balance sheet analysis. This paper provides practical instruction on how to design the framework to analyze vulnerabilities in a country as well as an overview...

Persistent link: https://www.econbiz.de/10005605198

Asset Mispricing Due to Cognitive Dissonance

Eckwert, Bernhard; Drees, Burkhard - International Monetary Fund (IMF) - 2005

The behavior of equity prices is analyzed in a general equilibrium model where agents have preferences not only over consumption but also (implicitly) over their beliefs. To alleviate cognitive dissonance, investors endogenously choose to ignore information that conflicts too much with their ex...

Persistent link: https://www.econbiz.de/10005605203

Defining Financial Stability

Schinasi, Garry J. - International Monetary Fund (IMF) - 2004

The main objective of this paper is to propose a definition of financial stability that has some practical and operational relevance. Financial stability is defined in terms of its ability to facilitate and enhance economic processes, manage risks, and absorb shocks. Moreover, financial...

Persistent link: https://www.econbiz.de/10005605285

Capital Market Development in a Small Country; The Case of Slovenia

Andritzky, Jochen R. - International Monetary Fund (IMF) - 2007

Small emerging economies, despite their significant growth, lack the scale to develop thriving capital markets from their local investor and issuer base that are able to deliver the benefits of a large, mature market. Slovenia is such an example. Despite the necessary infrastructure in place,...

Persistent link: https://www.econbiz.de/10005605308

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10005605330

Debt Maturity and the International Financial Architecture

Jeanne, Olivier - International Monetary Fund (IMF) - 2004

This paper presents a theory of the maturity of international sovereign debt and derives its implications for the reform of the international financial architecture. It presents a general equilibrium model in which the need to roll over external debt disciplines the policies of debtor countries...

Persistent link: https://www.econbiz.de/10005605335

Hedging Government Oil Price Risk

Daniel, James - International Monetary Fund (IMF) - 2001

Many governments are heavily exposed to oil price risk, especially those dependent on revenue derived from oil production. For these governments, dealing with large price movements is difficult and costly. Traditional approaches, such as stabilization funds, are inherently flawed. Oil risk...

Persistent link: https://www.econbiz.de/10005605340

The Tasks Ahead

International Monetary Fund (IMF); International … - 2008

This note, prepared ahead of the G20 Summit (November 15), builds upon the points laid out in the Managing Directorâ€™s letter to the Heads of State and Government (November 9). It lays out two tasks ahead for policy makers. Policies for now should cover:(i)implementing and coordinating...

Persistent link: https://www.econbiz.de/10005605385

The Pricing of Credit Default Swaps During Distress

Singh, Manmohan; Andritzky, Jochen R. - International Monetary Fund (IMF) - 2006

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are...

Persistent link: https://www.econbiz.de/10005605393

Revisiting the Derivative: Implications on the Rate of Change Analysis

Khumalo, Bhekuzulu - Volkswirtschaftliche Fakultät, … - 2009

The aim of this paper is to raise concerns with the mathematical concept of the derivative as we know it. It raises … easily understood. The paper looks at linear and polynomial functions to illustrate that the derivative is not as precise as … simple derivative. It is the nature of polynomial functions that lead to the derivative not to be accurate and this paper …

Persistent link: https://www.econbiz.de/10005621634