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Chile; Institutions and Policies Underpinning Stability and Growth

Kalter, Eliot; Phillips, Steven; Singh, Manmohan; … - International Monetary Fund (IMF) - 2004

This paper presents the primary institutions and economic policies that have led to Chileâ€™s remarkable record of stability and growth over the past twenty years. The core of this policy stance is the combination of fiscal discipline and an open trade policy regime, together with carefully...

Persistent link: https://www.econbiz.de/10005767351

How Important is Sovereign Risk in Determining Corporate Default Premia? the Case of South Africa

Peter, Marcel; Grandes, Martín - International Monetary Fund (IMF) - 2005

-currency-denominated corporate bonds. The main findings are: (i) sovereign risk appears to be the single most important determinant of corporate …

Persistent link: https://www.econbiz.de/10005599227

Financial Frictions, Investment, and Institutions

Yafeh, Yishay; Ueda, Kenichi; Claessens, Stijn - International Monetary Fund (IMF) - 2010

Financial frictions have been identified as key factors affecting economic fluctuations and growth. But, can institutional reforms reduce financial frictions? Based on a canonical investment model, we consider two potential channels: (i) financial transaction costs at the firm level; and (ii)...

Persistent link: https://www.econbiz.de/10008680276

A Primer for Risk Measurement of Bonded Debt From the Perspective of a Sovereign Debt Manager

Papaioannou, Michael G. - International Monetary Fund (IMF) - 2006

, convexity, M-square, skewness, kurtosis, and VaR statistics as measures of interest rate exposure; a VaR statistic as the … probability of default as the most promising measure of credit risk exposure; and an elasticity approach and a VaR statistic to …This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds …

Persistent link: https://www.econbiz.de/10005825661

Idiosyncratic and Systemic Risk in the European Corporate Sector; A CDO Perspective

Lu, Yinqiu; Chan-Lau, Jorge A. - International Monetary Fund (IMF) - 2006

Systemic risk remains a major concern to policymakers since widespread defaults in the corporate and financial sectors could pose substantial costs to society. Forward-looking measures and/or indicators of systemic default risk are thus needed to identify potential buildups of vulnerability in...

Persistent link: https://www.econbiz.de/10005263700

Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises

González-Hermosillo, Brenda; Martin, Vance; Dungey, Mardi - International Monetary Fund (IMF) - 2003

The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to...

Persistent link: https://www.econbiz.de/10005768985

On the Estimation of Term Structure Models and An Application to the United States

International Monetary Fund (IMF); International … - 2010

This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...

Persistent link: https://www.econbiz.de/10008727797

Habit Formation and Persistence in Individual Asset Portfolio Holdings; The Case of Italy

Muñoz, Sònia - International Monetary Fund (IMF) - 2006

This paper uses six waves of the Bank of Italy Survey of Households Income and Wealth to explore the dynamics of asset portfolio ownership. The household asset portfolio decision is a choice among discrete alternatives, and I model the problem in a multinomial framework. I focus on a...

Persistent link: https://www.econbiz.de/10005605275

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets

Chan-Lau, Jorge A.; Kim, Yoon Sook - International Monetary Fund (IMF) - 2004

This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for emerging market sovereign issuers. Findings suggest that CDS and bond spreads converge despite various pressures that arise in the market. In most countries,...

Persistent link: https://www.econbiz.de/10005605007

Wealth Effects in Europe; A Tale of Two Countries (Italy and the United Kingdom)

Muñoz, Sònia - International Monetary Fund (IMF) - 2006

This paper investigates the increasing exposure of European households to risky financial assets and the consequent impact on the economy. I analyze household data for Italy and the United Kingdom, countries that differ dramatically in their financial structure and capital markets. I estimate an...

Persistent link: https://www.econbiz.de/10005599313

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