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Asia and Pacific > Thailand

You are looking at 1 - 3 of 3 items for :

  • Type: Journal Issue x
  • Investments: Options x
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Cover IMF Working Papers
Insurance Value of International Reserves: An Option Pricing Approach
Mr. Jaewoo Lee
A quantitative framework is developed to bring forward the insurance motive of holding international reserves. The insurance value of reserves is quantified as the market price of an equivalent option that provides the same insurance coverage as the reserves. This quantitative framework is applied to calculating the cost of a regional insurance arrangement (e.g., an Asian Monetary Fund) and to analyzing one leg of an optimal reserve-holding decision.
Keywords:
WP; coverage ratio; put option; option price; interest rate; Reserves; insurance; option; underlying asset; insurance value; reserve coverage ratio rise; market value; coverage ratio decrease; reserve holding; Asset valuation; Asset prices; International reserves; Options; Asia and Pacific; Global
Cover World Economic and Financial Surveys
World Economic and Financial Surveys
International Capital Markets 1995
International Monetary Fund

Abstract

This paper presents the international financial markets aspects of the current turbulence in emerging markets. The ongoing international diversification of institutional portfolios, the return of flight capital, and the cyclical developments in industrial countries combined to generate a significant volume of capital flows into emerging markets in the developing world. In keeping with developments in global markets, these flows have increasingly been in the form of purchases of tradable bonds, equities, and money market instruments—securities that can readily be sold when sentiments change. The volume of financial wealth that can flee a developing country is now sufficiently large that it can overwhelm any attempt to maintain an exchange rate incompatible with fundamentals. Thus the possibility for investors—domestic and foreign—to exert discipline over policy has strengthened significantly. The resolution of sovereign debt-servicing difficulties has become more complicated with the changes in instruments and participants in international markets.

Keywords:
WEFS; x index; surveillance report; U.S. dollar; exchange market stress; market participant; foreign exchange market; foreign currency; interest rate; Capital inflows; Futures; Commercial banks; Emerging and frontier financial markets; Currencies; Western Hemisphere; Global; Asia and Pacific; Africa; Europe; interest rate increase; Brady bond; replacement value; Exchange rates
Cover Finance & Development
Finance & Development, December 1985
International Monetary Fund. External Relations Dept.
This paper elaborates the introduction of surveillance that gave the IMF broader responsibilities with respect to oversight of its members’ policies than existed under the par value system. The IMF’s purview has been broadened under the new system but, by the same token, its members are no longer obliged to seek its concurrence in changes in exchange rates. The continuing volatility of exchange rates, and their prolonged divergence from levels that appear to be sustainable over time, have been matters of growing concern.
Keywords:
FD; F&D; exchange rate; country; oil exporter; market; grain consumption; publication policy; foreign currency option; cereal production; Exchange rates; Options; Agricultural commodities; Food security; Government debt management; Sub-Saharan Africa; South Asia; Global; East Asia; Middle East