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Financial Spillovers to Chile

Financial Spillovers to Chile »

Source: Financial Spillovers to Chile

Volume/Issue: 2012/254

Series: IMF Working Papers

Author(s): Jiri Podpiera

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 October 2012

ISBN: 9781475552195

Keywords: Credit Spread, Interbank Market Spread, Financial Spillover, bond, interbank market, bond market, banking, banking sector, Asset Pricing,

This paper quantifies financial spillovers from global risk factors to banks' funding costs in Chile. It decomposes Chilean banks' bond and interbank spreads into domestic and external factors. The results suggest...

Capital Controls and the Cost of Debt

Capital Controls and the Cost of Debt »

Source: Capital Controls and the Cost of Debt

Volume/Issue: 2017/135

Series: IMF Working Papers

Author(s): Eugenia Andreasen , Martin Schindler , and Patricio Valenzuela

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 June 2017

ISBN: 9781484303313

Keywords: Capital account restrictions; Credit spreads; Financial instability; Financial openness, General, General, General, General

Using a panel data set for international corporate bonds and capital account restrictions in advanced and emerging economies, we show that restrictions on capital inflows produce a substantial and economically mean...

Credit Risk Spreads in Local and Foreign Currencies

Credit Risk Spreads in Local and Foreign Currencies »

Source: Credit Risk Spreads in Local and Foreign Currencies

Volume/Issue: 2009/110

Series: IMF Working Papers

Author(s): Zvi Wiener , and Dan Galai

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2009

ISBN: 9781451872576

Keywords: credit spread, currency mismatch, Merton&;amp;#x2019;s model, correlation, bond, present value, probability,

The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign curr...

Fiscal Consolidation and the Cost of Credit

Fiscal Consolidation and the Cost of Credit »

Source: Fiscal Consolidation and the Cost of Credit : Evidence from Syndicated Loans

Volume/Issue: 2013/36

Series: IMF Working Papers

Author(s): Senay Agca , and Deniz Igan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2013

ISBN: 9781475564440

Keywords: cost of credit, loan spreads, fiscal consolidations, spending cuts, fiscal policy, Firm, General,

We examine how the cost of corporate credit varies around fiscal consolidations aimed at reducing government debt. Using a new dataset on fiscal consolidations and syndicated corporate loan data, we find that loan...

Switzerland

New
Switzerland »

Source: Switzerland : Financial Sector Assessment Program; Technical Note-Insurance Stress Testing

Volume/Issue: 2019/186

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. Monetary and Capital Markets Department

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 26 June 2019

ISBN: 9781498321709

Keywords: Financial soundness indicators, Return on investment, Capital, Interest rates, Credit, non-life, solvency, insurer, credit spread, fixed-income

Financial Sector Assessment Program; Technical Note-Insurance Stress Testing...

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries »

Source: Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

Volume/Issue: 2004/210

Series: IMF Working Papers

Author(s): Zhanwei Yue , and Samir Jahjah

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2004

ISBN: 9781451874822

Keywords: Sovereign Credit Spreads, Overvaluation, Debt Crises, exchange rate, exchange rate misalignment, bond spreads, bond issue, International Monetary Arrangements and Institutions, International Lending and Debt Problems,

We test the hypothesis of a link between exchange rate policy and sovereign bonds. We analyze the effect of exchange rate policies on supply and credit spreads of sovereign bonds issued by developing countries. An...

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets1

Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets1 »

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

Volume/Issue: 2004/27

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Yoon Sook Kim

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2004

ISBN: 9781451844559

Keywords: Credit derivatives, bond spreads, price discovery, bond, cointegration, equity markets, General Financial Markets: General (includes Measurement and Data),

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 c...

The Pricing of Credit Default Swaps During Distress

The Pricing of Credit Default Swaps During Distress »

Source: The Pricing of Credit Default Swaps During Distress

Volume/Issue: 2006/254

Series: IMF Working Papers

Author(s): Manmohan Singh , and Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2006

ISBN: 9781451865141

Keywords: Credit default swaps, recovery value, default risk, bond, bonds, arbitrage, bond market, bond spreads, International Lending and Debt Problems,

Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose...

Contagion and Volatility with Imperfect Credit Markets

Contagion and Volatility with Imperfect Credit Markets »

Source: Contagion and Volatility with Imperfect Credit Markets

Volume/Issue: 1997/127

Series: IMF Working Papers

Author(s): Joshua Aizenman , and Pierre-Richard Agénor

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1997

ISBN: 9781451935967

Keywords: Credit market imperfections, volatility, interest rate spreads, capital markets, domestic banks, world capital markets, capital market, domestic producers

This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with two types of credit mar...

Is Transparency Good for You, and Can the IMF Help?1

Is Transparency Good for You, and Can the IMF Help?1 »

Source: Is Transparency Good for You, and Can the IMF Help?

Volume/Issue: 2003/132

Series: IMF Working Papers

Author(s): Yongseok Shin , and Rachel Glennerster

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451855401

Keywords: publication, institutions, sovereign spreads, SDDS, ROSC, GARCH, news effect, role of the IMF, credit ratings, borrowing costs

This paper finds that reforms introduced by the IMF to promote transparency have created more informed markets and reduced borrowing costs for those emerging market countries that volunteered for them. Using a quar...