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Western Hemisphere > Argentina

You are looking at 1 - 10 of 11 items for :

  • Type: Journal Issue x
  • Liquidity; Economics x
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Cover IMF Working Papers
The Premia on State-Contingent Sovereign Debt Instruments
Ms. Deniz O Igan
,
Mr. Taehoon Kim
, and
Antoine Levy
State-contingent debt instruments such as GDP-linked warrants have garnered attention as a potential tool to help debt-stressed economies smooth repayments over business cycles, yet very few studies of the empirical properties of these instruments exist. This paper develops a general f ramework to estimate the time-varying risk premium of a state-contingent sovereign debt instrument. Our estimation framework applied to GDP-linked warrants issued by Argentina, Greece, and Ukraine reveals three stylized facts: (i) the risk premium in state-contingent instruments is high and persistent; (ii) the risk premium exhibits a pro-cyclical pattern; and (iii) the liquidity premium is higher and more volatile than that for plain-vanilla government bonds issued by the same sovereign. We then present a model in which investors fear ambiguity and that can account for the cyclical properties of the risk premium.
Keywords:
State-contingent debt instruments; GDP-linked warrants; Risk premia; Procyclicality; liquidity premium; GDP-linked warrant; estimation framework; SCDI premium; Sovereign bonds; Securities; Bonds; Liquidity; Debt restructuring; Global
Cover IMF Research Perspectives
IMF Research Perspectives: Spring/Summer 2021
International Monetary Fund. Research Dept.
IMF Research Perspectives: Spring/Summer 2021
Keywords:
IMF research perspective; government spending multiplier; R&D effort; IMF CSF; central bank financing; COVID-19; Bank credit; Fiscal stance; Global; Sub-Saharan Africa; Europe; Africa
Cover IMF Working Papers
Global Liquidity: Availability of Funds for Safe and Risky Assets
Mr. Akito Matsumoto
What is global liquidity and how does it affect an economy? The paper addresses that question by looking at liquidity from two different perspectives: global liquidity as availability of funds in safe and risky asset markets. This distinction between safe and risky asset markets is important due to market segmentation, which called for unconventional monetary policy to restore a function of risky asset markets. To analyze the effect of global liquidity, I construct proxy variables and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk premium. Using the data from four major Latin American countries, I find that these two aspects of global liquidity have similar effects on economic performance in emerging market economies except for their effect on inflation.
Keywords:
WP; liquidity shock; emerging economy; global liquidity; inflation targeting; risk premium; world risk-free rate; unconventional monetary policy; Latin America; liquidity condition; liquidity measure; liquidity injection; International liquidity; Liquidity management; Return on investment; Exchange rates; Liquidity; Global
Cover Policy Papers
Consideration of a New Liquidity Instrument for Market Access Countries
International Monetary Fund
The objective of this paper is to consider key issues in the design of a new liquidity instrument for market access countries. It reviews the motivations and challenges of creating such an instrument and lays out options and issues related to four key design elements. Recognizing the need to consider the relationship between these elements, the paper sets out an example of how they might be combined in a lending instrument – called here the Reserve Augmentation Line, or RAL. It also discusses risks.
Keywords:
PP; fund financing; fund liquidity; capital account; commitment fee; financing instrument; Medium-Term Strategy; RAL framework; liquidity support; follow-on RAL; financing framework; liquidity instrument; RAL policy; Fund instrument; B. fund liquidity; The Fund's commitment fee structure; Liquidity; Capital account crisis; Balance of payments need; Moral hazard; Emerging and frontier financial markets; Global
Cover Policy Papers
Fund-Supported Programs and Crisis Prevention
International Monetary Fund
This paper examines the theoretical foundations for, and empirical evidence of, Fund support in preventing capital account crises. At a theoretical level, Fund supported programs can lower the crisis probability in two ways. First, such programs provide the member with additional external reserves, making a run for the exit by private creditors less likely. Second, such programs induce and signal better economic policies, though this needs to be supported by conditionality.
Keywords:
PP; fund financing; fund; financing; fund-supported program; crisis; crisis prevention; capital account crisis; fund resource; market pressure; Capital account crisis; Crisis prevention; International reserves; Liquidity; Fiscal stance; Africa
Cover IMF Working Papers
Managing Systemic Liquidity Risk in Financially Dollarized Economies
Mr. Eduardo Levy Yeyati
,
Mr. Alain Ize
, and
Miguel A. Kiguel
This paper evaluates ways to protect highly dollarized banking systems from systemic liquidity runs (such as the ones that took place recently in Argentina, Uruguay, and Paraguay). In view of the limitations of available (private or official) insurance schemes, and the distortions introduced by central bank lending of last resort (LOLR), the authors favor decentralized liquid foreign asset requirements on dollar deposits, supplemented by a scheme of "circuit breakers." The latter combines the use of limited dollar liquidity to ensure the convertibility of transactional deposits with a mechanism that automatically limits the convertibility of dollar term deposits once triggered by a predetermined decline in banks' liquidity.
Keywords:
WP; dollar LOLR; liquidity holding; LOLR facility; dollar deposit; dollar liquidity; liquidation cost; Dollarization; Systemic Liquidity; Banking Crises; bank resolution system; dollar bank; bank liquidation cost; peso bank; bank resolution mechanism; liquidity levels bank; Liquidity; Commercial banks; Lender of last resort; Insurance; Correspondent banking; Europe; Africa
Cover IMF Working Papers
Toward a Framework for Systemic Liquidity Policy
J. Kimball Hobbs
,
Ms. Claudia H Dziobek
, and
Mr. Dewitt D Marston
International policy efforts to strengthen financial systems have highlighted the role of liquidity. This paper explores a framework to assess arrangements for market liquidity and lays out elements of systemic liquidity policy. Robust arrangements for liquidity provide confidence to market participants that liquidity can be mobilized on demand in a predictable and transparent manner. These are crucial to resilience and effective monetary operations. Arrangements include several prudential and institutional elements and national authorities have an important role in promoting their adoption. A survey of 14 countries and two in-depth studies of Mexico and Argentina are included for illustration.
Keywords:
WP; commercial bank; foreign currency; type of restructuring plan; balance sheet; bank assets; bank creditor; banking sector; lender of last resort; liquidity infrastructure; Financial architecture; liquidity management; creditor rights; microstructure; bank management capability; bank vulnerability; dispersion ratio; bank liability; excess reserves; bank experiences problem; Liquidity; Infrastructure; Currencies; Commercial banks
Cover IMF Working Papers
Emerging Markets Crisis: An Asset Markets Perspective
Arvind Krishnamurthy
and
Mr. Ricardo J. Caballero
The entire difference between a mild downturn and a devastating crisis is the occurrence of sharp fire sales of domestic assets and possibly foreign exchange and the ensuing collapse in the balance sheets of both the financial and nonfinancial sector. Why and how do such crises materialize? And why doesn’t the private sector take appropriate precautions to avoid the consequences of crises? In this paper we argue that the combination of weak international financial links and underdeveloped domestic financial markets offers a parsimonious account of these and related phenomena present in emerging markets.
Keywords:
WP; interest rate; mis-valuation of collateral; Capital flows; fire sales; financial constraints; contractual and corporate governance problems; balance sheets; wasted collateral; domestic and foreign spreads; excessive leverage; collateral underprovision; real depreciation; banks; distressed firm; international collateral; collateral constraint; market clearing; clearing condition; Collateral; Financial statements; Asset prices; Asset liquidity; Commercial banks; East Asia
Cover IMF Working Papers
Rational Liquidity Crises in the Sovereign Debt Market: In Search of a Theory
Ms. Enrica Detragiache
This paper studies under what circumstances creditworthy sovereign borrowers may be denied liquidity by rational creditors. It is shown that, when the creditor side of the market consists of many small investors there may be multiple rational expectations equilibria. In one equilibrium, creditors’ pessimistic expectations about the borrower’s creditworthiness become self-fulfilling, and the borrower experiences a liquidity crisis. Multiple equilibria can be avoided by marketing the loan appropriately or by developing a reputation for following good policies. Liquidity problems can also arise because of the temporary disruption of international bond markets due to events unrelated to the borrower’s circumstances. Policies responses are discussed.
Keywords:
WP; bond market; commercial paper; debtor country; loan contract; borrower issues bond; loan amount; self-fulfilling liquidity crises; Liquidity; Loans; Securities markets; Debt service
Cover IMF Working Papers
Discretionary Trading and Asset Price Volatility
Mr. Jahangir Aziz
The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and analytical topics, including balance of payments, monetary and fiscal issues, global liquidity, and national and international economic developments.
Keywords:
WP; equilibrium price; investor base; price of the asset; asset price volatility; investors trading; market participant; market clearing; covariance term; single-investor model; incumbent investor; Asset prices; Stock markets; Asset valuation; Liquidity; Securities markets; Asia and Pacific