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Brady Bonds and Default Probabilities

Brady Bonds and Default Probabilities »

Source: Brady Bonds and Default Probabilities

Volume/Issue: 1998/16

Series: IMF Working Papers

Author(s): Ivailo Izvorski

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 1998

ISBN: 9781451843378

Keywords: Brady bonds, default probabilities, sovereign riskiness, probabilities, bonds, probability, bond

This paper computes the default probabilities implicit in the prices of Brady bonds of seven developing countries and examines the factors that determine the high cross-correlation of the probability paths. The ter...

Sovereign Defaults

Sovereign Defaults »

Source: Sovereign Defaults : The Role of Volatility

Volume/Issue: 2002/149

Series: IMF Working Papers

Author(s): Bennett Sutton , and Luis Catão

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451856903

Keywords: Macroeconomic Volatility, capital inflows, capital markets, sovereign defaults, international borrowing, International Lending and Debt Problems,

While the relationship between volatility and credit risk is central to much of the literature on finance and banking, it has been largely neglected in empirical macro studies on sovereign defaults. This paper pres...

Investors' Risk Appetite and Global Financial Market Conditions

Investors' Risk Appetite and Global Financial Market Conditions »

Source: Investors' Risk Appetite and Global Financial Market Conditions

Volume/Issue: 2008/85

Series: IMF Working Papers

Author(s): Brenda Gonzalez-Hermosillo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2008

ISBN: 9781451869460

Keywords: volatility risk, default risk, risk appetite, financial markets, bond, global financial markets, bond spreads, financial market,

A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model ident...

How Costly Are Debt Crises?

How Costly Are Debt Crises? »

Source: How Costly Are Debt Crises?

Volume/Issue: 2011/280

Series: IMF Working Papers

Author(s): Davide Furceri , and Aleksandra Zdzienicka

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2011

ISBN: 9781463926618

Keywords: output losses, debt crises, sovereign defaults, debt crisis, currency crises, crisis episodes, currency crisis

The aim of this paper is to assess the short- and medium-term impact of debt crises on GDP. Using an unbalanced panel of 154 countries from 1970 to 2008, the paper shows that debt crises produce significant and lon...

Default Premium

Default Premium »

Source: Default Premium

Volume/Issue: 2015/167

Series: IMF Working Papers

Author(s): Luis Catão , and Rui Mano

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 21 July 2015

ISBN: 9781513523507

Keywords: Country Risk, Interest Rate Spread, Haircut, market, debt, default, interest, interest rate, International Lending and Debt Problems, General

We re-assess the view that sovereigns with a history of default are charged only a small and/or short-lived premium on the interest rate warranted by observed fundamentals. Our reassessment uses a metric of such a...

Credit Growth and Bank Soundness

Credit Growth and Bank Soundness »

Source: Credit Growth and Bank Soundness : Fast and Furious?

Volume/Issue: 2011/278

Series: IMF Working Papers

Author(s): Deniz Igan , and Marcelo Pinheiro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2011

ISBN: 9781463925956

Keywords: Credit growth, credit boom, distance to default, equation, statistics, net interest margin, bank credit, Financial Institutions and Services: Government Policy and Regulation, Socialist Institutions and Their Transitions: Financial Economics,

We examine the risks to bank soundness associated with credit booms in a large set of countries. Using bank-level data in 90 countries between 1995 and 2005, we analyze the relationship between credit growth and ba...

Volatility and the Debt-Intolerance Paradox

Volatility and the Debt-Intolerance Paradox »

Source: IMF Staff Papers, Volume 53, No. 2

Volume: 53

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 June 2006

ISBN: 9781589065178

Keywords: statistics, sovereign debt, probability, debt intolerance, equation, Analysis Of Variance, Bank Management, Banks And Banking. State Supervision, Cointegration, Compliance

Noteworthy among the six papers appearing in this latest issue of the IMF's peer-reviewed journal is another installment in the Special Data Section. Anthony Pellechio and John Cady from the IMF's Statistics Depart...

An Estimated Small Open Economy Model of the Financial Accelerator

An Estimated Small Open Economy Model of the Financial Accelerator »

Source: IMF Staff Papers, Volume 53, No. 2

Volume: 53

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 June 2006

ISBN: 9781589065178

Keywords: statistics, sovereign debt, probability, debt intolerance, equation, Analysis Of Variance, Bank Management, Banks And Banking. State Supervision, Cointegration, Compliance

Noteworthy among the six papers appearing in this latest issue of the IMF's peer-reviewed journal is another installment in the Special Data Section. Anthony Pellechio and John Cady from the IMF's Statistics Depart...

Relating the Knowledge Production Function to Total Factor Productivity: An Endogenous Growth Puzzle

Relating the Knowledge Production Function to Total Factor Productivity: An Endogenous Growth Puzzle »

Source: IMF Staff Papers, Volume 53, No. 2

Volume: 53

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 June 2006

ISBN: 9781589065178

Keywords: statistics, sovereign debt, probability, debt intolerance, equation, Analysis Of Variance, Bank Management, Banks And Banking. State Supervision, Cointegration, Compliance

Noteworthy among the six papers appearing in this latest issue of the IMF's peer-reviewed journal is another installment in the Special Data Section. Anthony Pellechio and John Cady from the IMF's Statistics Depart...

New Rates from New Weights

New Rates from New Weights »

Source: IMF Staff Papers, Volume 53, No. 2

Volume: 53

Series: IMF Staff Papers

Author(s): International Monetary Fund. Research Dept.

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 29 June 2006

ISBN: 9781589065178

Keywords: statistics, sovereign debt, probability, debt intolerance, equation, Analysis Of Variance, Bank Management, Banks And Banking. State Supervision, Cointegration, Compliance

Noteworthy among the six papers appearing in this latest issue of the IMF's peer-reviewed journal is another installment in the Special Data Section. Anthony Pellechio and John Cady from the IMF's Statistics Depart...