Volume/Issue: 2008/133
Series: IMF Working Papers
Author(s):
Noureddine Krichene
Publisher: INTERNATIONAL MONETARY FUND
Publication Date:
01
May
2008
ISBN: 9781451869927
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...
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
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...
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
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...
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
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,...
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
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...
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
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...
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
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...
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
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...
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
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...
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
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,...