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Debt Crises and the Development of International Capital Markets

Debt Crises and the Development of International Capital Markets »

Source: Debt Crises and the Development of International Capital Markets

Volume/Issue: 2004/44

Series: IMF Working Papers

Author(s): Amadou Sy , and Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

ISBN: 9781451846447

Keywords: Bond spreads, debt crisis, bond, debt crises, sovereign bond, bonds, Financial Institutions and Services: General,

Crises on external sovereign debt are typically defined as defaults. Such a definition accurately captures debt-servicing difficulties in the 1980s, a period of numerous defaults on bank loans. However, defining de...

Emerging Market Bond Spreads and Sovereign Credit Ratings

Emerging Market Bond Spreads and Sovereign Credit Ratings »

Source: Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals

Volume/Issue: 2001/165

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451858051

Keywords: Bond spreads, monitoring, risk appetite, bond, bonds, emerging market bond, market bond, Financial Institutions and Services: General,

This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetri...

Financial Dollarization in Latin America1

Financial Dollarization in Latin America1 »

Source: Financial Dollarization in Latin America

Volume/Issue: 2006/7

Series: IMF Working Papers

Author(s): Robert Rennhack , and Masahiro Nozaki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

ISBN: 9781451862676

Keywords: foreign currency, exchange rate, inflation, exchange rate flexibility, real exchange rate, Monetary Policy, Central Banking, and the Supply of Money and Credit: General, Financial Institutions and Services: General,

This paper tests several explanations for financial dollarization (FD), with an emphasis on Latin America. The results provide evidence that FD is a rational response to inflation uncertainty. The paper builds on p...

Financial Dollarization in Latin America

Financial Dollarization in Latin America »

Volume/Issue: 2006/7

Series: IMF Working Papers

Author(s): Robert Rennhack , and Masahiro Nozaki

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

DOI: http://dx.doi.org/10.5089/9781451862676.001

ISBN: 9781451862676

Keywords: foreign currency, exchange rate, inflation, exchange rate flexibility, real exchange rate, Monetary Policy, Central Banking, and the Supply of Money and Credit: General, Financial Institutions and Services: General,

This paper tests several explanations for financial dollarization (FD), with an emphasis on Latin America. The results provide evidence that FD is a rational response to inflation uncertainty. The paper builds on p...

Debt Crises and the Development of International Capital Markets

Debt Crises and the Development of International Capital Markets »

Volume/Issue: 2004/44

Series: IMF Working Papers

Author(s): Amadou Sy , and Andrea Pescatori

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2004

DOI: http://dx.doi.org/10.5089/9781451846447.001

ISBN: 9781451846447

Keywords: Bond spreads, debt crisis, bond, debt crises, sovereign bond, bonds, Financial Institutions and Services: General,

Crises on external sovereign debt are typically defined as defaults. Such a definition accurately captures debt-servicing difficulties in the 1980s, a period of numerous defaults on bank loans. However, defining de...

Emerging Market Bond Spreads and Sovereign Credit Ratings
			: Reconciling Market Views with Economic Fundamentals

Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals »

Volume/Issue: 2001/165

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

DOI: http://dx.doi.org/10.5089/9781451858051.001

ISBN: 9781451858051

Keywords: Bond spreads, monitoring, risk appetite, bond, bonds, emerging market bond, market bond, Financial Institutions and Services: General,

This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetri...

Rating the Rating Agencies
			: Anticipating Currency Crises or Debt Crises?

Rating the Rating Agencies : Anticipating Currency Crises or Debt Crises? »

Volume/Issue: 2003/122

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

DOI: http://dx.doi.org/10.5089/9781451854510.001

ISBN: 9781451854510

Keywords: Crisis, distress, early-warning systems, probability of default, ratings, currency crises, currency crisis, debt crises, bond, sovereign default

In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipa...

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) »

Volume/Issue: 2006/134

Series: IMF Working Papers

Author(s): Kexue Liu , Jean Salvati , Renzo Avesani , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

DOI: http://dx.doi.org/10.5089/9781451863949.001

ISBN: 9781451863949

Keywords: portfolio credit risk, default probabilities, Poisson distribution, Bernoulli distribution, probabilities, credit risk, probability, equation, probability distribution, Financial Institutions and Services: General

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. Fi...

Rating the Rating Agencies

Rating the Rating Agencies »

Source: Rating the Rating Agencies : Anticipating Currency Crises or Debt Crises?

Volume/Issue: 2003/122

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2003

ISBN: 9781451854510

Keywords: Crisis, distress, early-warning systems, probability of default, ratings, currency crises, currency crisis, debt crises, bond, sovereign default

In contrast to the early-warning system literature, we find that currency and debt crises are not closely linked in emerging markets. We find that after 1994, credit ratings predict debt crises but fail to anticipa...

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) »

Source: Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

Volume/Issue: 2006/134

Series: IMF Working Papers

Author(s): Kexue Liu , Jean Salvati , Renzo Avesani , and Alin Mirestean

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

ISBN: 9781451863949

Keywords: portfolio credit risk, default probabilities, Poisson distribution, Bernoulli distribution, probabilities, credit risk, probability, equation, probability distribution, Financial Institutions and Services: General

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. Fi...