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A General Equilibrium Model of Sovereign Default and Business Cycles*

A General Equilibrium Model of Sovereign Default and Business Cycles* »

Source: A General Equilibrium Model of Sovereign Default and Business Cycles

Volume/Issue: 2011/166

Series: IMF Working Papers

Author(s): Zhanwei Yue , and Enrique Mendoza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

ISBN: 9781462302222

Keywords: Sovereign default, country risk, imported inputs, intermediate goods, debt ratio,

Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital, while sovereign default models treat income fluctuations as an exogenous endowment process with ad...

The Costs of Sovereign Default

The Costs of Sovereign Default »

Source: The Costs of Sovereign Default

Volume/Issue: 2008/238

Series: IMF Working Papers

Author(s): Eduardo Borensztein , and Ugo Panizza

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2008

ISBN: 9781451870961

Keywords: Country Risk, banking, banking crises, banking crisis, sovereign default,

This paper evaluates empirically four types of cost that may result from an international sovereign default: reputational costs, international trade exclusion costs, costs to the domestic economy through the financ...

Contingent Liabilities from Banks

Contingent Liabilities from Banks »

Source: Contingent Liabilities from Banks : How to Track Them?

Volume/Issue: 2015/255

Series: IMF Working Papers

Author(s): Serkan Arslanalp , and Yin Liao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 December 2015

ISBN: 9781513568560

Keywords: bank, banks, banking, risk, Government Policy and Regulation, All Countries,

In this paper, we develop a methodology to assess potential losses to the government that could arise from bank failures. The approach is intended to be simple, parsimonious, and used in real time. It generates an...

Central Bank Governance and the Role of Nonfinancial Risk Management

Central Bank Governance and the Role of Nonfinancial Risk Management »

Source: Central Bank Governance and the Role of Nonfinancial Risk Management

Volume/Issue: 2016/34

Series: IMF Working Papers

Author(s): Ashraf Khan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 23 February 2016

ISBN: 9781498376051

Keywords: bank, banks, risk, central banks, governance, General, All Countries,, Central banks, Risk management, Central bank governance

This paper argues that nonfinancial risk management is an essential element of good governance of central banks. It provides a funnelled analysis, on the basis of selected literature, by (i) presenting an outline o...

Institutionalizing Countercyclical Investment

Institutionalizing Countercyclical Investment »

Source: Institutionalizing Countercyclical Investment

Volume/Issue: 2016/38

Series: IMF Working Papers

Author(s): Bradley Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 February 2016

ISBN: 9781513512495

Keywords: Asset Allocation, Asset Owners, Momentum, Risk Management, asset, investment, risk, returns, Asset Pricing, Government Policy and Regulation

Do portfolio shifts by the world’s largest asset owners respond procyclically to past returns, or countercyclically to valuations? And if countercyclical investment (with both market-stabilizing and return-generati...

Oman

Oman »

Source: Oman : Banking Sector Resilience

Volume/Issue: 2010/61

Series: IMF Working Papers

Author(s): Ananthakrishnan Prasad , and Pierluigi Bologna

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

ISBN: 9781451982060

Keywords: Banking System, Risks, Stress Test, Gulf Cooperation Council Countries, banking, capital adequacy, capital adequacy ratio,

This note assesses the impact of the global financial risks on Oman's banking system and highlights the remaining risks. It concludes that the liquidity and prudential measures introduced by the authorities mitigat...

The Rise in Comovement Across National Stock Markets

The Rise in Comovement Across National Stock Markets »

Source: The Rise in Comovement Across National Stock Markets : Market Integration or Global Bubble?

Volume/Issue: 2002/147

Series: IMF Working Papers

Author(s): Robin Brooks , and Marco Del Negro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451856743

Keywords: Diversification, risk, country effects, stock market, stock markets, equity markets, stock market bubble,

The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying...

Bank Solvency and Funding Cost

Bank Solvency and Funding Cost »

Source: Bank Solvency and Funding Cost

Volume/Issue: 2016/64

Series: IMF Working Papers

Author(s): Christoph Aymanns , Carlos Caceres , Christina Daniel , and Liliana Schumacher

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 March 2016

ISBN: 9781513591131

Keywords: Solvency, funding cost, bank fundamentals, bank, banks, interest, capital, risk, General, All Countries,

Understanding the interaction between bank solvency and funding cost is a crucial pre-requisite for stress-testing. In this paper we study the sensitivity of bank funding cost to solvency measures while controlling...

Systemic Risk, Aggregate Demand, and Commodity Prices

Systemic Risk, Aggregate Demand, and Commodity Prices »

Source: Systemic Risk, Aggregate Demand, and Commodity Prices

Volume/Issue: 2015/165

Series: IMF Working Papers

Author(s): Javier Gómez?Pineda , Dominique Guillaume , and Kadir Tanyeri

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 20 July 2015

ISBN: 9781513552545

Keywords: Financial linkages, Global imbalances Commodity prices, output, country risk, trade, Open Economy Macroeconomics, Forecasting and Simulation,

The paper presents a global model with systemic and country risks, as well as commodity prices.We show that systemic risk shocks have an important impact on world economic activity, with the busts in world output g...

Survey of Private Sector Trade Credit Developments

Survey of Private Sector Trade Credit Developments »

Source: Survey of Private Sector Trade Credit Developments

Volume/Issue: 2009/017

Series: Policy Papers

Author(s): International Monetary Fund

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 27 February 2009

ISBN: 9781498336239

Keywords: Banking sector, Credit risk, Cross country analysis, Data analysis, Developed countries, Emerging markets, International trade, Private sector, Risk management, Trade finance

In response to the dearth of information on trade finance, the Fund has undertaken a survey of major advanced country and emerging market banks. The results suggest that the cost of trade finance is rising globally...