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Currency Mismatches and Corporate Default Risk

Currency Mismatches and Corporate Default Risk »

Source: Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications

Volume/Issue: 2006/269

Series: IMF Working Papers

Author(s): Andre Santos , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865295

Keywords: Default risk, currency mismatch, econometric estimation, financial surveillance, probability, equation, diffusion model, bond, calibration,

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for f...

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...

Fiscal Policy and Financial Markets

Fiscal Policy and Financial Markets »

Source: Fiscal Policy and Financial Markets

Volume/Issue: 2006/16

Series: IMF Working Papers

Author(s): Bernardin Akitoby , and Thomas Stratmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

ISBN: 9781451862768

Keywords: spreads, bond, bonds, fiscal adjustment, fiscal adjustments, Fiscal Policies and Behavior of Economic Agents: Other,

This paper introduces fiscal policy in a model of sovereign risk spreads ("spreads"). Using panel data from emerging market countries, we find that reductions in public expenditure are a more powerful tool for redu...

I. A Economia Mundial e as Perspectivas para os Estados Unidos e o Canadá

I. A Economia Mundial e as Perspectivas para os Estados Unidos e o Canadá »

Source: Perspectivas Econômicas, November 2007 : As Américas

Series: Regional Economic Outlook

Author(s): International Monetary Fund. Western Hemisphere Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 November 2007

Language: Portuguese

ISBN: 9781589066960

Keywords: inflation, commodity prices, capital inflows, financial sector, bond, expenditure, financial institutions, bank credit, expenditures, financial markets

Perspectivas mundiais A economia mundial continua a crescer com vigor, embora a recente turbulência nos mercados financeiros tenha reduzido as perspectivas de crescimento para 2008 e...

II. Perspectivas para a América Latina e o Caribe

II. Perspectivas para a América Latina e o Caribe »

Source: Perspectivas Econômicas, November 2007 : As Américas

Series: Regional Economic Outlook

Author(s): International Monetary Fund. Western Hemisphere Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 November 2007

Language: Portuguese

ISBN: 9781589066960

Keywords: inflation, commodity prices, capital inflows, financial sector, bond, expenditure, financial institutions, bank credit, expenditures, financial markets

Principais fatos e perspectivas A região tem conseguido superar as turbulências recentes do mercado, e as perspectivas econômicas para 2007–08 continuam, em geral, ba...

III. É Resistente a Expansão Econômica da América Latina?

III. É Resistente a Expansão Econômica da América Latina? »

Source: Perspectivas Econômicas, November 2007 : As Américas

Series: Regional Economic Outlook

Author(s): International Monetary Fund. Western Hemisphere Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 14 November 2007

Language: Portuguese

ISBN: 9781589066960

Keywords: inflation, commodity prices, capital inflows, financial sector, bond, expenditure, financial institutions, bank credit, expenditures, financial markets

Um dos fatos marcantes na história econômica da América Latina é a freqüência com que o processo de crescimento, após iniciar-se, sofre reveses. Os episódios de expansão normalmente são de curta duração e cu...

Currency Mismatches and Corporate Default Risk
			: Modeling, Measurement, and Surveillance Applications

Currency Mismatches and Corporate Default Risk : Modeling, Measurement, and Surveillance Applications »

Volume/Issue: 2006/269

Series: IMF Working Papers

Author(s): Andre Santos , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

DOI: http://dx.doi.org/10.5089/9781451865295.001

ISBN: 9781451865295

Keywords: Default risk, currency mismatch, econometric estimation, financial surveillance, probability, equation, diffusion model, bond, calibration,

Currency mismatches in corporate balance sheets have been singled out as an important factor underlying the severity of recent financial crises. We propose several structural models for measuring default risk for f...

Exchange Rate Policy and Sovereign Bond Spreads in Developing Countries

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

DOI: http://dx.doi.org/10.5089/9781451874822.001

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...

Fiscal Policy and Financial Markets

Fiscal Policy and Financial Markets »

Volume/Issue: 2006/16

Series: IMF Working Papers

Author(s): Bernardin Akitoby , and Thomas Stratmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

DOI: http://dx.doi.org/10.5089/9781451862768.001

ISBN: 9781451862768

Keywords: spreads, bond, bonds, fiscal adjustment, fiscal adjustments, Fiscal Policies and Behavior of Economic Agents: Other,

This paper introduces fiscal policy in a model of sovereign risk spreads ("spreads"). Using panel data from emerging market countries, we find that reductions in public expenditure are a more powerful tool for redu...

On the Determinants of First-Time Sovereign Bond Issues

On the Determinants of First-Time Sovereign Bond Issues »

Volume/Issue: 2003/184

Series: IMF Working Papers

Author(s): David Grigorian

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2003

DOI: http://dx.doi.org/10.5089/9781451859386.001

ISBN: 9781451859386

Keywords: sovereign bonds, first-time market access, bond, bonds, bond issues, international capital markets, sovereign bond, International Lending and Debt Problems,

In recent years, the number of countries which have borrowed in international capital markets by issuing sovereign bonds has increased substantially. For these countries, capital market access meant a de facto ackn...