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Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment »

Volume/Issue: 2020/53

Series: IMF Working Papers

Author(s): Ralph Chami , Thomas Cosimano , Celine Rochon , and Julieta Yung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2020

DOI: http://dx.doi.org/10.5089/9781513531861.001

ISBN: 9781513531861

Keywords: Interest rate increases, Discount rates, Risk premium, Financial markets, Financial instruments, Interest rate risk, non-linear stochastic discount factor, investment portfolio, term structure model, risk aversion distribution

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a mar...

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment*

Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment* »

Source: Riding the Yield Curve: Risk Taking Behavior in a Low Interest Rate Environment

Volume/Issue: 2020/53

Series: IMF Working Papers

Author(s): Ralph Chami , Thomas Cosimano , Celine Rochon , and Julieta Yung

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 March 2020

ISBN: 9781513531861

Keywords: Interest rate increases, Discount rates, Risk premium, Financial markets, Financial instruments, Interest rate risk, non-linear stochastic discount factor, investment portfolio, term structure model, risk aversion distribution

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a mar...

Article I. Purposes

Article I. Purposes »

Source: Articles of Agreement 2020

Series: Articles of Agreement

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2020

ISBN: 9781513521244

Keywords: Articles of Agreement, Amendments of Articles of Agreement, Special Drawing Rights, Provisioning, Balance of payments, Currencies, Exchange restrictions, currency, drawing rights, transactions

The purposes of the International Monetary Fund are: (i) To promote international monetary cooperation through a permanent institution which provides the machinery for c...

Article II. Membership

Article II. Membership »

Source: Articles of Agreement 2020

Series: Articles of Agreement

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2020

ISBN: 9781513521244

Keywords: Articles of Agreement, Amendments of Articles of Agreement, Special Drawing Rights, Provisioning, Balance of payments, Currencies, Exchange restrictions, currency, drawing rights, transactions

Section 1. Original members The original members of the Fund shall be those of the countries represented at the United Nations Monetary and Financial Conference whose governments acc...

Article III. Quotas and Subscriptions

Article III. Quotas and Subscriptions »

Source: Articles of Agreement 2020

Series: Articles of Agreement

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2020

ISBN: 9781513521244

Keywords: Articles of Agreement, Amendments of Articles of Agreement, Special Drawing Rights, Provisioning, Balance of payments, Currencies, Exchange restrictions, currency, drawing rights, transactions

Section 1. Quotas and payment of subscriptions Each member shall be assigned a quota expressed in special drawing rights. The quotas of the members represented at the United Nations...

Article IV. Obligations Regarding Exchange Arrangements

Article IV. Obligations Regarding Exchange Arrangements »

Source: Articles of Agreement 2020

Series: Articles of Agreement

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2020

ISBN: 9781513521244

Keywords: Articles of Agreement, Amendments of Articles of Agreement, Special Drawing Rights, Provisioning, Balance of payments, Currencies, Exchange restrictions, currency, drawing rights, transactions

Section 1. General obligations of members Recognizing that the essential purpose of the international monetary system is to provide a framework that facilitates the exchange of goods...

Article IX. Status, Immunities, and Privileges

Article IX. Status, Immunities, and Privileges »

Source: Articles of Agreement 2020

Series: Articles of Agreement

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2020

ISBN: 9781513521244

Keywords: Articles of Agreement, Amendments of Articles of Agreement, Special Drawing Rights, Provisioning, Balance of payments, Currencies, Exchange restrictions, currency, drawing rights, transactions

Section 1. Purposes of Article To enable the Fund to fulfill the functions with which it is entrusted, the status, immunities, and privileges set forth in this Article shall be accor...

Article V. Operations and Transactions of the Fund

Article V. Operations and Transactions of the Fund »

Source: Articles of Agreement 2020

Series: Articles of Agreement

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2020

ISBN: 9781513521244

Keywords: Articles of Agreement, Amendments of Articles of Agreement, Special Drawing Rights, Provisioning, Balance of payments, Currencies, Exchange restrictions, currency, drawing rights, transactions

Section 1. Agencies dealing with the Fund Each member shall deal with the Fund only through its Treasury, central bank, stabilization fund, or other similar fiscal agency, and the Fu...

Article VI. Capital Transfers

Article VI. Capital Transfers »

Source: Articles of Agreement 2020

Series: Articles of Agreement

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2020

ISBN: 9781513521244

Keywords: Articles of Agreement, Amendments of Articles of Agreement, Special Drawing Rights, Provisioning, Balance of payments, Currencies, Exchange restrictions, currency, drawing rights, transactions

Section 1. Use of the Fund’s general resources for capital transfers (a) A member may not use the Fund’s general resources to meet a large or sustained outflow of capital except as p...

Article VII. Replenishment and Scarce Currencies

Article VII. Replenishment and Scarce Currencies »

Source: Articles of Agreement 2020

Series: Articles of Agreement

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 11 March 2020

ISBN: 9781513521244

Keywords: Articles of Agreement, Amendments of Articles of Agreement, Special Drawing Rights, Provisioning, Balance of payments, Currencies, Exchange restrictions, currency, drawing rights, transactions

Section 1. Measures to replenish the Fund’s holdings of currencies The Fund may, if it deems such action appropriate to replenish its holdings of any member’s currency in the General...