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Measuring and Analyzing Sovereign Risk with Contingent Claims

Measuring and Analyzing Sovereign Risk with Contingent Claims »

Source: Measuring and Analyzing Sovereign Risk with Contingent Claims

Volume/Issue: 2005/155

Series: IMF Working Papers

Author(s): Michael Gapen , Dale Gray , Cheng Lim , and Yingbin Xiao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

ISBN: 9781451861747

Keywords: contingent claims, probability, currency debt, foreign currency debt, domestic currency, correlation,

This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive...

Are Credit Default Swaps Spreads High in Emerging Markets

Are Credit Default Swaps Spreads High in Emerging Markets »

Source: Are Credit Default Swaps Spreads High in Emerging Markets : An Alternative Methodology for Proxying Recovery Value

Volume/Issue: 2003/242

Series: IMF Working Papers

Author(s): Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875836

Keywords: recovery value, credit default swaps, cheapest-to-deliver bonds, bonds, bond, probability, correlation, probability of default,

In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads are a leading indicator for sovereign risk than the EMBI+ sub-index for the country. However, it...

Imperfect Information and Saving in a Small Open Economy

Imperfect Information and Saving in a Small Open Economy »

Source: Imperfect Information and Saving in a Small Open Economy

Volume/Issue: 2011/60

Series: IMF Working Papers

Author(s): Agustin Roitman , and Christian Daude

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

ISBN: 9781455221042

Keywords: saving, uncertainty, Bayesian learning, Markov switching, autocorrelation, stochastic process, correlation, probabilities, statistics, Asymmetric and Private Information,

Emerging markets are more volatile and face different types of shocks, in size and nature, compared to their developed counterparts. Accurate identification of the stochastic properties of shocks is difficult. We s...

The Asset Allocation of Emerging Market Mutual Funds

The Asset Allocation of Emerging Market Mutual Funds »

Source: The Asset Allocation of Emerging Market Mutual Funds

Volume/Issue: 2001/111

Series: IMF Working Papers

Author(s): Piti Disyatat , and R. Gelos

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2001

ISBN: 9781451853476

Keywords: asset allocation, portfolio choice, contagion, statistic, risk aversion, optimization, correlation, covariance,

Benchmark following and portfolio rebalancing effects have often been cited when trying to explain international financial contagion phenomena. Using a dataset containing the country allocation of individual dedica...

Are Currency Crises Predictable? A Test

Are Currency Crises Predictable? A Test »

Source: Are Currency Crises Predictable? A Test

Volume/Issue: 1998/154

Series: IMF Working Papers

Author(s): Catherine Pattillo , and Andrew Berg

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1998

ISBN: 9781451857207

Keywords: Currency crises, vulnerability indicators, Asian crisis, balance of payments crises, crisis prediction, probability, probabilities, correlation, crisis index, predictions

This paper evaluates three models for predicting currency crises that were proposed before 1997. The idea is to answer the question: if we had been using these models in late 1996, how well armed would we have been...

Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries

Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries »

Source: Primary Surplus Behavior and Risks to Fiscal Sustainability in Emerging Market Countries : A "Fan-Chart" Approach

Volume/Issue: 2006/67

Series: IMF Working Papers

Author(s): Oya Celasun , Xavier Debrun , and Jonathan Ostry

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2006

ISBN: 9781451863277

Keywords: Public debt sustainability, fiscal reaction function, risk analysis, fan charts, public debt, equation, correlation, fiscal reaction, National Deficit Surplus, Simulation Methods,

This paper proposes a probabilistic approach to public debt sustainability analysis (DSA) using "fan charts." These depict the magnitude of risks-upside and downside-surrounding public debt projections as a result...

Regional Convergence in Latin America

Regional Convergence in Latin America »

Source: Regional Convergence in Latin America

Volume/Issue: 2006/125

Series: IMF Working Papers

Author(s): Bennett Sutton , Genevieve Lindow , Maria Isabel Serra , Gustavo Ramirez , and Maria Fernanda Pazmino

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2006

ISBN: 9781451863857

Keywords: growth, convergence, regional disparities, standard deviation, trade liberalization, conditional convergence, equation, correlation, Economywide Country Studies: Oceania, Regional Economic Activity: Growth

This paper presents empirical evidence on convergence of per capita output for regions within six large middle-income Latin American countries: Argentina, Brazil, Chile, Colombia, Mexico, and Peru. It explores the...

Measuring and Analyzing Sovereign Risk with Contingent Claims

Measuring and Analyzing Sovereign Risk with Contingent Claims »

Volume/Issue: 2005/155

Series: IMF Working Papers

Author(s): Michael Gapen , Dale Gray , Cheng Lim , and Yingbin Xiao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2005

DOI: http://dx.doi.org/10.5089/9781451861747.001

ISBN: 9781451861747

Keywords: contingent claims, probability, currency debt, foreign currency debt, domestic currency, correlation,

This paper develops a comprehensive new framework to measure and analyze sovereign risk. Since traditional macroeconomic vulnerability indicators and accounting-based measures do not address risk in a comprehensive...

Are Credit Default Swaps Spreads High in Emerging Markets
			: An Alternative Methodology for Proxying Recovery Value

Are Credit Default Swaps Spreads High in Emerging Markets : An Alternative Methodology for Proxying Recovery Value »

Volume/Issue: 2003/242

Series: IMF Working Papers

Author(s): Manmohan Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

DOI: http://dx.doi.org/10.5089/9781451875836.001

ISBN: 9781451875836

Keywords: recovery value, credit default swaps, cheapest-to-deliver bonds, bonds, bond, probability, correlation, probability of default,

In times of distress when a country loses access to markets, there is evidence that credit default swap (CDS) spreads are a leading indicator for sovereign risk than the EMBI+ sub-index for the country. However, it...

Imperfect Information and Saving in a Small Open Economy

Imperfect Information and Saving in a Small Open Economy »

Volume/Issue: 2011/60

Series: IMF Working Papers

Author(s): Agustin Roitman , and Christian Daude

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2011

DOI: http://dx.doi.org/10.5089/9781455221042.001

ISBN: 9781455221042

Keywords: saving, uncertainty, Bayesian learning, Markov switching, autocorrelation, stochastic process, correlation, probabilities, statistics, Asymmetric and Private Information,

Emerging markets are more volatile and face different types of shocks, in size and nature, compared to their developed counterparts. Accurate identification of the stochastic properties of shocks is difficult. We s...