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Persistent Gaps, Volatility Types, and Default Traps

Persistent Gaps, Volatility Types, and Default Traps »

Source: Persistent Gaps, Volatility Types, and Default Traps

Volume/Issue: 2007/148

Series: IMF Working Papers

Author(s): Ana Fostel , Sandeep Kapur , and Luis Catão

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

ISBN: 9781451867121

Keywords: Sovereign Debt, Default, Country Spreads, Output Volatility and Persistence, bond, bonds, sovereign bond, bondholders, Sovereign Debt. Default,

We show that cross-country differences in the underlying volatility and persistence of macroeconomic shocks help explain two historical regularities in sovereign borrowing: the existence of "vicious" circles of bor...

Leading Indicators of Fiscal Distress

Leading Indicators of Fiscal Distress »

Source: Leading Indicators of Fiscal Distress

Volume/Issue: 2016/28

Series: IMF Working Papers

Author(s): Martin Bruns , and Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 February 2016

ISBN: 9781475594799

Keywords: fiscal distress, extreme bound analysis, debt, currency, inflation, emerging economies, default, Studies of Particular Policy Episodes, General Outlook and Conditions, Forecasting and Simulation

Early warning systems (EWS) are widely used for assessing countries’ vulnerability to fiscal distress. Most EWS employ a specific set of only fiscal leading indicators predetermined by the researchers, which casts...

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default »

Source: Optimal Maturity Structure of Sovereign Debt in Situation of Near Default

Volume/Issue: 2014/168

Series: IMF Working Papers

Author(s): Gabriel Desgranges , and Celine Rochon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2014

ISBN: 9781498379779

Keywords: Long Term Debt, Maturity Structure, Optimal Default, Sovereign Debt Crisis, Uncertainty, debt portfolio, debt burden, sovereign debt, hedging, financial institutions

We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fisca...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Source: Default, Credit Growth, and Asset Prices

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

ISBN: 9781451864830

Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...

Persistent Gaps, Volatility Types, and Default Traps

Persistent Gaps, Volatility Types, and Default Traps »

Volume/Issue: 2007/148

Series: IMF Working Papers

Author(s): Ana Fostel , Sandeep Kapur , and Luis Catão

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

DOI: http://dx.doi.org/10.5089/9781451867121.001

ISBN: 9781451867121

Keywords: Sovereign Debt, Default, Country Spreads, Output Volatility and Persistence, bond, bonds, sovereign bond, bondholders, Sovereign Debt. Default,

We show that cross-country differences in the underlying volatility and persistence of macroeconomic shocks help explain two historical regularities in sovereign borrowing: the existence of "vicious" circles of bor...

Leading Indicators of Fiscal Distress

Leading Indicators of Fiscal Distress »

Volume/Issue: 2016/28

Series: IMF Working Papers

Author(s): Martin Bruns , and Tigran Poghosyan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 February 2016

DOI: http://dx.doi.org/10.5089/9781475594799.001

ISBN: 9781475594799

Keywords: fiscal distress, extreme bound analysis, debt, currency, inflation, emerging economies, default, Studies of Particular Policy Episodes, General Outlook and Conditions, Forecasting and Simulation

Early warning systems (EWS) are widely used for assessing countries’ vulnerability to fiscal distress. Most EWS employ a specific set of only fiscal leading indicators predetermined by the researchers, which casts...

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default

Optimal Maturity Structure of Sovereign Debt in Situation of Near Default »

Volume/Issue: 2014/168

Series: IMF Working Papers

Author(s): Gabriel Desgranges , and Celine Rochon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 12 September 2014

DOI: http://dx.doi.org/10.5089/9781498379779.001

ISBN: 9781498379779

Keywords: Long Term Debt, Maturity Structure, Optimal Default, Sovereign Debt Crisis, Uncertainty, debt portfolio, debt burden, sovereign debt, hedging, financial institutions

We study the relationship between default and the maturity structure of the debt portfolio of a Sovereign, under uncertainty. The Sovereign faces a trade-off between a future costly default and a high current fisca...

Default, Credit Growth, and Asset Prices

Default, Credit Growth, and Asset Prices »

Volume/Issue: 2006/223

Series: IMF Working Papers

Author(s): C. Goodhart , Miguel Segoviano Basurto , and Boris Hofmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2006

DOI: http://dx.doi.org/10.5089/9781451864830.001

ISBN: 9781451864830

Keywords: Probability of default, macroeconomic shocks, financial surveillance, banking, bank lending, probability, Econometric Modeling: General, Prices, Business Fluctuations, and Cycles: Forecasting and Simulation

This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the frag...