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Crude Oil Prices

Crude Oil Prices »

Source: Crude Oil Prices : Trends and Forecast

Volume/Issue: 2008/133

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2008

ISBN: 9781451869927

Keywords: Characteristic function, crude oil prices, density forecast, Esscher transform, Fourier transform, inverse problem, normal inverse Gaussian, option prices., oil prices, probability

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward c...

Puttable and Extendible Bonds

Puttable and Extendible Bonds »

Source: Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets

Volume/Issue: 2003/201

Series: IMF Working Papers

Author(s): Salih Neftci , and Andre Santos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

ISBN: 9781451874372

Keywords: Fixed income securities, option pricing theory, bonds, bond, bond prices, hedging, term bond,

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties im...

Incorporating Market Information into the Construction of the Fan Chart

Incorporating Market Information into the Construction of the Fan Chart »

Source: Incorporating Market Information into the Construction of the Fan Chart

Volume/Issue: 2009/178

Series: IMF Working Papers

Author(s): Prakash Kannan , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

ISBN: 9781451873252

Keywords: Fan Chart, Balance of Risks, Option Prices, Consensus Forecasts, risk factors, survey, skewness, normal distribution, equation,

This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the...

The Contingent Claims Approach to Corporate Vulnerability Analysis

The Contingent Claims Approach to Corporate Vulnerability Analysis »

Source: The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer

Volume/Issue: 2004/121

Series: IMF Working Papers

Author(s): Yingbin Xiao , Dale Gray , Cheng Lim , and Michael Gapen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

ISBN: 9781451854411

Keywords: Contingent claims approach, Corporate sector vulnerability, financial sector, option pricing, capital markets, hedging, international capital markets, Contigent claims approach,

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles,...

Optimal Oil Production and the World Supply of Oil

Optimal Oil Production and the World Supply of Oil »

Source: Optimal Oil Production and the World Supply of Oil

Volume/Issue: 2012/294

Series: IMF Working Papers

Author(s): Nikolay Aleksandrov , lajos Gyurko , and Raphael Espinoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 December 2012

ISBN: 9781616354831

Keywords: Real Options, Capacity Expansion, Equilibrium Price of Oil, oil revenues, oil prices, world supply, oil fields, General, Energy and the Macroeconomy,

We study the optimal oil extraction strategy and the value of an oil field using a multiple real option approach. The numerical method is flexible enough to solve a model with several state variables, to discuss th...

Wealth Effects and the New Economy

Wealth Effects and the New Economy »

Source: Wealth Effects and the New Economy

Volume/Issue: 2001/77

Series: IMF Working Papers

Author(s): Torsten Sloek , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2001

ISBN: 9781451849998

Keywords: Wealth effects, new economy, stock markets in the 1990s, stock market, stock market capitalization, stock options, stock prices, stock ownership, Macroeconomics: Consumption, Saving

This paper investigates if there is a different impact from changes in "new" and "old" economy stock valuations on private consumption. Estimating a reduced-form VAR for seven OECD countries for the 1990s, it is fo...

Crude Oil Prices
			: Trends and Forecast

Crude Oil Prices : Trends and Forecast »

Volume/Issue: 2008/133

Series: IMF Working Papers

Author(s): Noureddine Krichene

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2008

DOI: http://dx.doi.org/10.5089/9781451869927.001

ISBN: 9781451869927

Keywords: Characteristic function, crude oil prices, density forecast, Esscher transform, Fourier transform, inverse problem, normal inverse Gaussian, option prices., oil prices, probability

Following record low interest rates and fast depreciating U.S. dollar, crude oil prices became under rising pressure and seemed boundless. Oil price process parameters changed drastically in 2003M5-2007M10 toward c...

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

Puttable and Extendible Bonds : Developing Interest Rate Derivatives for Emerging Markets »

Volume/Issue: 2003/201

Series: IMF Working Papers

Author(s): Salih Neftci , and Andre Santos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2003

DOI: http://dx.doi.org/10.5089/9781451874372.001

ISBN: 9781451874372

Keywords: Fixed income securities, option pricing theory, bonds, bond, bond prices, hedging, term bond,

This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties im...

Incorporating Market Information into the Construction of the Fan Chart

Incorporating Market Information into the Construction of the Fan Chart »

Volume/Issue: 2009/178

Series: IMF Working Papers

Author(s): Prakash Kannan , and Selim Elekdag

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2009

DOI: http://dx.doi.org/10.5089/9781451873252.001

ISBN: 9781451873252

Keywords: Fan Chart, Balance of Risks, Option Prices, Consensus Forecasts, risk factors, survey, skewness, normal distribution, equation,

This paper develops a simple procedure for incorporating market-based information into the construction of fan charts. Using the International Monetary Fund (IMF)'s global growth forecast as a working example, the...

The Contingent Claims Approach to Corporate Vulnerability Analysis
			: Estimating Default Risk and Economy-Wide Risk Transfer

The Contingent Claims Approach to Corporate Vulnerability Analysis : Estimating Default Risk and Economy-Wide Risk Transfer »

Volume/Issue: 2004/121

Series: IMF Working Papers

Author(s): Yingbin Xiao , Dale Gray , Cheng Lim , and Michael Gapen

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2004

DOI: http://dx.doi.org/10.5089/9781451854411.001

ISBN: 9781451854411

Keywords: Contingent claims approach, Corporate sector vulnerability, financial sector, option pricing, capital markets, hedging, international capital markets, Contigent claims approach,

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles,...