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Puttable and Extendible Bonds; Developing Interest Rate Derivatives for Emerging Markets

Neftci, Salih N.; Santos, Andre - International Monetary Fund (IMF) - 2003

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop …, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading … gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative …

Persistent link: https://www.econbiz.de/10005826508

Interest Rate Defenses of Currency Pegs

Sole, Juan - International Monetary Fund (IMF) - 2004

This paper studies a policy often used to defend a currency peg: raising short-term interest rates. The rationale for this policy is to stem demand for foreign reserves. Yet, this mechanism is absent from most monetary models. This paper develops a general equilibrium model with asset market...

Persistent link: https://www.econbiz.de/10005768997

Toward a Lender of First Resort

Cohen, Daniel; Portes, Richard - International Monetary Fund (IMF) - 2006

If interest rates (country spreads) rise, debt can rapidly be subject to a snowball effect, which becomes self-fulfilling with regard to the fundamentals themselves. This is a market imperfection, because we cannot be confident that the unaided market will choose the "good" over the "bad"...

Persistent link: https://www.econbiz.de/10005769315

Credit Risks and European Government Bond Markets: A Panel Data Econometric Analysis

Lemmen, Jan J.G.; Goodhart, Charles A.E. - In: Eastern Economic Journal 25 (1999) 1, pp. 77-107

risk of sovereign debt is assessed by comparing yields on benchmark government bonds with high-quality private risk …

Persistent link: https://www.econbiz.de/10005769791

Regional Financial Integration in the GCC

Espinoza, Raphael A.; Williams, Oral; Prasad, … - International Monetary Fund (IMF) - 2010

We investigate the extent of regional financial integration in the member countries of the Gulf Cooperation Council. The limited volume data available suggests that regional integration is non-negligible. Bahrain and Kuwait investments especially are oriented towards the region. The development...

Persistent link: https://www.econbiz.de/10008470389

Interdependencies Between the Capital Market and the Monetary Policy Decisions

Guni, Claudia - In: Studies and Scientific Researches. Economics Edition (2010) 15

The declared scope of this work is to highlight the main correlations between the monetary and the capital market, including identifying the adequate objective of monetary policy which might positively influence over the offer on the capital market. The main target of the monetary market...

Persistent link: https://www.econbiz.de/10008470725

Interest Rate Liberalization in China

International Monetary Fund (IMF); International … - 2009

What might interest rate liberalization do to intermediation and the cost of capital in China? China's most binding interest rate control is a ceiling on the deposit rate, although lending rates are also regulated. Through case studies and model-based simulations, we find that liberalization...

Persistent link: https://www.econbiz.de/10008528666

Canadian Residential Mortgage Markets; Boring But Effective?

Kiff, John - International Monetary Fund (IMF) - 2009

Klyuev (2008) concluded that the Canadian market for housing finance is highly advanced and sophisticated, but financing options were somewhat limited, particularly at terms longer than five years. This paper argues that the paucity of longer-term loans is caused by a five-year maturity cap on...

Persistent link: https://www.econbiz.de/10008528667

What Drives China's Interbank Market?

International Monetary Fund (IMF); International … - 2009

Interest rates in China comprise a mix of both market determined interest rates (interbank rates and bond yields), and regulated interest rates (lending and deposit rates), reflecting China's gradual process of interest rate liberalization. We argue, using a theoretical model and empirical...

Persistent link: https://www.econbiz.de/10008528670

Quantitative Properties of Sovereign Default Models; Solution Methods Matter

Martinez, Leonardo; Sapriza, Horacio; Hatchondo, Juan Carlos - International Monetary Fund (IMF) - 2010

We study the sovereign default model that has been used to account for the cyclical behavior of interest rates in emerging market economies. This model is often solved using the discrete state space technique with evenly spaced grid points. We show that this method necessitates a large number of...

Persistent link: https://www.econbiz.de/10008533233