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Are Asset Price Guarantees Useful for Preventing Sudden Stops?A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff1

Are Asset Price Guarantees Useful for Preventing Sudden Stops?A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff1 »

Source: Are Asset Price Guarantees Useful for Preventing Sudden Stops?A Quantitative Investigation of the Globalization Hazard-Moral Hazard Tradeoff

Volume/Issue: 2006/73

Series: IMF Working Papers

Author(s): Enrique Mendoza , and Ceyhun Bora Durdu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

ISBN: 9781451863338

Keywords: Fisherian deflation, globalization hazard, price guarantees, bonds, trading costs, bond, Open Economy Macroeconomics, Financial Markets and the Macroeconomy, Fisherian Delfation,

An implication of the "globalization hazard" hypothesis is that sudden stops could be prevented by offering foreign investors price guarantees on emerging markets assets. These guarantees create a tradeoff, however...

An Assessment of Estimates of Term Structure Models for the United States

An Assessment of Estimates of Term Structure Models for the United States »

Source: An Assessment of Estimates of Term Structure Models for the United States

Volume/Issue: 2011/247

Series: IMF Working Papers

Author(s): Carlos Medeiros , and Ying He

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2011

ISBN: 9781463923266

Keywords: Term structure models, term structure of interest rates, yield curves, yields on U.S. Treasury securities, equation, bond, covariance, bonds, equations, Financial Markets and the Macroeconomy,

The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox,...

Brazil’s Capital Market

Brazil’s Capital Market »

Source: Brazil's Capital Market : Current Status and Issues for Further Development

Volume/Issue: 2012/224

Series: IMF Working Papers

Author(s): Joonkyu Park

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2012

ISBN: 9781475510256

Keywords: bonds, bond, bond market, government bonds, rate bonds, Financial Markets and the Macroeconomy, Financial Institutions and Services: Government Policy and Regulation, Long-term Financing, Bndes,

Capital market development in Brazil is a key policy issue going forward to foster savings, investment and absorptive capacity in a context of prospects for sizable capital flows in the medium term. During the last...

Capital Market Development in a Small Country

Capital Market Development in a Small Country »

Source: Capital Market Development in a Small Country : The Case of Slovenia

Volume/Issue: 2007/229

Series: IMF Working Papers

Author(s): Jochen Andritzky

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2007

ISBN: 9781451867930

Keywords: capital market, stock exchange, bonds, Financial Markets and the Macroeconomy,

Small emerging economies, despite their significant growth, lack the scale to develop thriving capital markets from their local investor and issuer base that are able to deliver the benefits of a large, mature mark...

Corporate Bond Risk and Real Activity

Corporate Bond Risk and Real Activity »

Source: Corporate Bond Risk and Real Activity : An Empirical Analysis of Yield Spreads and Their Systematic Components

Volume/Issue: 2001/158

Series: IMF Working Papers

Author(s): Iryna Ivaschenko , and Jorge Chan-Lau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451857580

Keywords: Investment grade bonds, corporate spreads, business cycle, GMM estimation, systematic risk, principal components analysis, regime-switching, Markov process, bonds, bond

This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk, predicts marginal changes in industrial production in the United States up to 12 months in the futur...

The Corporate Spread Curve and Industrial Production in the United States

The Corporate Spread Curve and Industrial Production in the United States »

Source: The Corporate Spread Curve and Industrial Production in the United States

Volume/Issue: 2002/8

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2002

ISBN: 9781451842524

Keywords: Investment grade bonds, corporate spreads, term structure, real activity, GMM estimation, bonds, bond, random walk, corporate bond, Prices

The term structure of domestic investment grade bond spreads - or corporate spread curve - contains useful information to predict future changes in industrial production, beyond the information already contained in...

Developing Asean5 Bond Markets

Developing Asean5 Bond Markets »

Source: Developing Asean5 Bond Markets : What Still Needs to Be Done?

Volume/Issue: 2011/135

Series: IMF Working Papers

Author(s): Simon Gray , Andreas Jobst , Joshua Felman , and Ana Carvajal

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2011

ISBN: 9781455259403

Keywords: Bond markets: Bond markets, ASEAN, market development, securities, corporate bonds, futures, derivative markets, interest rate, General Equilibrium and Disequilibrium: General, Financial Markets and the Macroeconomy

This paper examines a range of issues relating to bond markets in the ASEAN5 (Indonesia, Malaysia, Philippines, Singapore and Thailand) - physical infrastructure including trading, clearing and settlement; regulati...

Exploring the Role of Foreign Investors in Russia's Local Currency Government Bond (OFZ) Market

Exploring the Role of Foreign Investors in Russia's Local Currency Government Bond (OFZ) Market »

Source: Exploring the Role of Foreign Investors in Russia's Local Currency Government Bond (OFZ) Market

Volume/Issue: 2017/28

Series: IMF Working Papers

Author(s): Yinqiu Lu , and Dmitry Yakovlev

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 10 February 2017

ISBN: 9781475577587

Keywords: Europe, Bond markets, Bonds, Currencies, Russian Federation, Foreign investment, International financial markets, Supply and demand, local currency government bonds; Russia; financial market development, local currency government bonds

Local currency government bonds (OFZ bonds) are an important fixed-income instrument in Russia's financial markets. In this paper, based on granular data, we explore the development of the OFZ bond market with a fo...

Financial Implications of the Shrinking Supply of U.S. Treasury Securities1

Financial Implications of the Shrinking Supply of U.S. Treasury Securities1 »

Source: Financial Implications of the Shrinking Supply of U.S. Treasury Securities

Volume/Issue: 2001/61

Series: IMF Working Papers

Author(s): Garry Schinasi , T. Smith , and Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2001

ISBN: 9781451848175

Keywords: U.S. treasury securities, treasury securities, government securities, hedging, bonds, securities markets, Financial Markets and the Macroeconomy,

Recent improvements in fiscal positions in advanced countries have sharply curtailed the issuance of government securities and created the possibility that government securities could disappear in some countries. T...

Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis*

Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis* »

Source: Financial Innovation, the Discovery of Risk, and the U.S. Credit Crisis

Volume/Issue: 2010/164

Series: IMF Working Papers

Author(s): Enrique Mendoza , and Emine Boz

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2010

ISBN: 9781455201754

Keywords: credit crisis, financial innovation, imperfect information, learning, Fisherian deflation, probability, bond, probabilities, bonds, Open Economy Macroeconomics

Uncertainty about the riskiness of new financial products was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dy...