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Volatility and Jump Risk Premia in Emerging Market Bonds

Volatility and Jump Risk Premia in Emerging Market Bonds »

Source: Volatility and Jump Risk Premia in Emerging Market Bonds

Volume/Issue: 2007/172

Series: IMF Working Papers

Author(s): John Matovu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867367

Keywords: Volatility, Jumps, Risk Premia, bond, bond yields, polynomial, statistics, Jumps And Risk Premia,

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium fo...

Unemployment Surges in the EU: The Role of Risk Premium Shocks

Unemployment Surges in the EU: The Role of Risk Premium Shocks »

Source: Unemployment Surges in the EU: The Role of Risk Premium Shocks

Volume/Issue: 2019/56

Series: IMF Working Papers

Author(s): Bas Bakker , Marta Korczak , and Krzysztof Krogulski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 18 March 2019

ISBN: 9781484399637

Keywords: Risk premium, Market interest rates, Interest rates, Real interest rates, Unemployment, Risk premia, Euro area crisis, global economic and fincanial crisis, premia, euro area

In the last decade, over half of the EU countries in the euro area or with currencies pegged to the euro were hit by large risk premium shocks. Previous papers have focused on the impact of these shocks on demand....

Monetary Rules for Emerging Market Economies

Monetary Rules for Emerging Market Economies »

Source: Monetary Rules for Emerging Market Economies

Volume/Issue: 2002/34

Series: IMF Working Papers

Author(s): Alessandro Rebucci , and Fabio Ghironi

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2002

ISBN: 9781451845273

Keywords: monetary rules, risk premia, Contents, inflation, equations, inflation targeting, equation, Model Evaluation and Selection, Open Economy Macroeconomics,

We compare the performance of a currency board, inflation targeting, and dollarization in a small, open developing economy with a liberalized capital account. We focus on the transmission of shocks to currency and...

Serial Sovereign Defaults and Debt Restructurings

Serial Sovereign Defaults and Debt Restructurings »

Source: Serial Sovereign Defaults and Debt Restructurings

Volume/Issue: 2016/66

Series: IMF Working Papers

Author(s): Tamon Asonuma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 16 March 2016

ISBN: 9781513596648

Keywords: Serial Default, Sovereign Default, Past Credit History, Haircuts, Recovery rates, Risk Premia, debt, default, defaults, return

Emerging countries that have defaulted on their debt repayment obligations in the past are more likely to default again in the future than are non-defaulters even with the same external debt-to-GDP ratio. These cou...

State-Contingent Debt Instruments for Sovereigns

State-Contingent Debt Instruments for Sovereigns »

Source: State-Contingent Debt Instruments for Sovereigns

Volume/Issue: 2017/023

Series: Policy Papers

Author(s): International Monetary Fund. Asia and Pacific Dept;International Monetary Fund. Strategy, Policy, & Review Department;International Monetary Fund. Legal Dept.;International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2017

ISBN: 9781498346818

Keywords: Bonds, Financial instruments, Fiscal policy, Fiscal risk, Investment, Risk management, Sovereign debt, Multilateral development institutions, Economic conditions, Development

Background. The case for sovereign state-contingent debt instruments (SCDIs) as a countercyclical and risk-sharing tool has been around for some time and remains appealing; but take-up has been limited. Earlier sta...

IMF Discussed State - Contingent Debt Instruments

IMF Discussed State - Contingent Debt Instruments »

Source: State-Contingent Debt Instruments for Sovereigns

Volume/Issue: 2017/023

Series: Policy Papers

Author(s): International Monetary Fund. Asia and Pacific Dept;International Monetary Fund. Strategy, Policy, & Review Department;International Monetary Fund. Legal Dept.;International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2017

ISBN: 9781498346818

Keywords: Bonds, Financial instruments, Fiscal policy, Fiscal risk, Investment, Risk management, Sovereign debt, Multilateral development institutions, Economic conditions, Development

Background. The case for sovereign state-contingent debt instruments (SCDIs) as a countercyclical and risk-sharing tool has been around for some time and remains appealing; but take-up has been limited. Earlier sta...

Volatility and Jump Risk Premia in Emerging Market Bonds

Volatility and Jump Risk Premia in Emerging Market Bonds »

Volume/Issue: 2007/172

Series: IMF Working Papers

Author(s): John Matovu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

DOI: http://dx.doi.org/10.5089/9781451867367.001

ISBN: 9781451867367

Keywords: Volatility, Jumps, Risk Premia, bond, bond yields, polynomial, statistics, Jumps And Risk Premia,

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium fo...

Climate Disaster Risks - Empirics and a Multi-Phase Dynamic Model*

Climate Disaster Risks - Empirics and a Multi-Phase Dynamic Model* »

Source: Climate Disaster Risks - Empirics and a Multi-Phase Dynamic Model

Volume/Issue: 2019/145

Series: IMF Working Papers

Author(s): Stefan Mittnik , Willi Semmler , and Alexander Haider

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 July 2019

ISBN: 9781498320849

Keywords: Real sector, Economic growth, Interest costs, Interest rates on loans, Low income countries, climate economics, disaster risk, macro feedbacks, multi-phase macro model, monetary and financial policies

Recent research in financial economics has shown that rare large disasters have the potential to disrupt financial sectors via the destruction of capital stocks and jumps in risk premia. These disruptions often ent...

2012 Spillover Report

2012 Spillover Report »

Source: 2012 Spillover Report

Volume/Issue: 2012/079

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 September 2012

ISBN: 9781498340250

Keywords: China, Euro Area, Europe, External shocks, Financial risk, Japan, Spillovers, United Kingdom, United States, Economic conditions

Spillover reports examine the external effects of domestic policies in five systemic economies (S5), comprising China, the Euro Area, Japan, the United Kingdom, and the United States. The report aims to provide an...

2012 Spillover Report - Background Papers

2012 Spillover Report - Background Papers »

Source: 2012 Spillover Report - Background Papers

Volume/Issue: 2012/086

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 07 October 2012

ISBN: 9781498340243

Keywords: Asset prices, Background papers, Business cycles, Capital markets, China, Euro Area, Europe, External shocks, Financial risk, Japan

This note conducts a business cycle accounting analysis for systemic economies, with an emphasis on spillover effects from macroeconomic versus financial shocks. The systemic economies under consideration are China...