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Bosnia and Herzegovina: Third Review under the Stand-By Arrangement and Request for Waiver of Applicability of a Performance Criterion

Bosnia and Herzegovina: Third Review under the Stand-By Arrangement and Request for Waiver of Applicability of a Performance Criterion »

Source: Bosnia and Herzegovina : Third Review Under the Stand-By Arrangement and Request for Waiver of Applicability of a Performance Criterion-Staff Report and Press Release.

Volume/Issue: 2013/196

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. European Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 July 2013

ISBN: 9781484366370

Keywords: debt securities, capital spending, stock options, capital formation

This paper discusses Bosnia and Herzegovina's Third Review Under the Stand-By Arrangement and Request for Waiver of Applicability of a Performance Criterion. Financial sector indicators through end-March 2013 sugge...

IMF Executive Board Completes Third Review Under SBA with Bosnia and Herzegovina and Approves €38.9 Million Disbursement

IMF Executive Board Completes Third Review Under SBA with Bosnia and Herzegovina and Approves €38.9 Million Disbursement »

Source: Bosnia and Herzegovina : Third Review Under the Stand-By Arrangement and Request for Waiver of Applicability of a Performance Criterion-Staff Report and Press Release.

Volume/Issue: 2013/196

Series: IMF Staff Country Reports

Author(s): International Monetary Fund. European Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 July 2013

ISBN: 9781484366370

Keywords: debt securities, capital spending, stock options, capital formation

This paper discusses Bosnia and Herzegovina's Third Review Under the Stand-By Arrangement and Request for Waiver of Applicability of a Performance Criterion. Financial sector indicators through end-March 2013 sugge...

The Information Content of Prices in Derivative Security Markets

The Information Content of Prices in Derivative Security Markets »

Source: The Information Content of Prices in Derivative Security Markets

Volume/Issue: 1991/132

Series: IMF Working Papers

Author(s): Louis Scott

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 1991

ISBN: 9781451932553

Keywords: bond, bond futures, futures price, option pricing, stock price

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes inter...

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...

Corporate Investment in Emerging Markets

Corporate Investment in Emerging Markets »

Source: Corporate Investment in Emerging Markets : Financing vs. Real Options Channel

Volume/Issue: 2015/285

Series: IMF Working Papers

Author(s): Delong Li , Nicolas Magud , and Fabian Valencia

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 December 2015

ISBN: 9781513539935

Keywords: financial frictions, real options, uncertainty shocks, interest, interest rates, markets, cash flows, General, All Countries,

We examine how firm and country heterogeneity shape the response of corporate investment in emerging markets to changes in global interest rates and volatility. We test for the presence of (i) a financing channel o...

Uncertainty and the Employment Dynamics of Small and Large Businesses

Uncertainty and the Employment Dynamics of Small and Large Businesses »

Source: Uncertainty and the Employment Dynamics of Small and Large Businesses

Volume/Issue: 2015/4

Series: IMF Working Papers

Author(s): Vivek Ghosal , and Yang Ye

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 January 2015

ISBN: 9781475552515

Keywords: uncertainty, small businesses, real-options, financing-constraints, costs, gdp, forecasting, variables, investment, General

We examine the impact of uncertainty on employment dynamics. Alternative measures of uncertainty are constructed based on the survey of professional forecasters, and regressionbased forecasting models for GDP growt...

Insurance Value of International Reserves

Insurance Value of International Reserves »

Source: Insurance Value of International Reserves : An Option Pricing Approach

Volume/Issue: 2004/175

Series: IMF Working Papers

Author(s): Jaewoo Lee

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2004

ISBN: 9781451858785

Keywords: option, underlying asset, international reserves, reserve holding, external debt, currency crises, reserve holdings, Open Economy Macroeconomics,

A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides...

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies1

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies1 »

Source: Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies

Volume/Issue: 2003/1

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Armando Méndez Morales

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2003

ISBN: 9781451841657

Keywords: Currency options, efficient markets, GMM, statistic, exchange rate, forecasting, exchange rate volatility,

This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art t...

Central Bank Participation in Currency Options Markets

Central Bank Participation in Currency Options Markets »

Source: Central Bank Participation in Currency Options Markets

Volume/Issue: 1999/140

Series: IMF Working Papers

Author(s): Peter Breuer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1999

ISBN: 9781451856101

Keywords: central bank intervention, currency options, dynamic hedging, central bank, hedging, spot market, domestic currency

This paper analyzes whether and how central banks can use currency options to lower exchange rate volatility and maintain (implicit) target zones in foreign exchange markets. It argues that selling rather than buyi...