06490oam 22012974 450 991078824560332120230721045640.01-4623-0333-11-4527-7633-41-282-84063-01-4518-6969-X9786612840630(CKB)3170000000054996(EBL)1607827(SSID)ssj0000944159(PQKBManifestationID)11485779(PQKBTitleCode)TC0000944159(PQKBWorkID)11000831(PQKB)11568290(OCoLC)815738561(MiAaPQ)EBC1607827(IMF)WPIEE2008109(EXLCZ)99317000000005499620020129d2008 uf 0engur|n|---|||||txtccrIs There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants /Luca Ricci, Marcos Chamon, Alejo CostaWashington, D.C. :International Monetary Fund,2008.1 online resource (42 p.)IMF Working PapersIMF working paper ;WP/08/109Description based upon print version of record.1-4519-1423-7 Includes bibliographical references.Contents; I. Introduction; II. The Argentine GDP-Warrants; Tables; 1. Main Economic Indicators; Figures; 1. GDP Warrants - Currency Distribution; 2. Base Level GDP and GDP Growth; 2. GPD-Linked Unit: Outstanding Value, Units of Currency and Payments; III. Market Response; IV. Theoretical Value; 3. GDP Warrants - Market Price; A. Discount Rate; B. GDP; C. Inflation and the Exchange Rate; V. Main Baseline Results for the US GDP Warrant; 3. Baseline Assumptions; 4. US GDP Warrant Theoretical Values Using Random Sampling from 1981-2007 Residuals; A. Main Factors Behind Valuation Changes5. US GDP Warrant Premiums Using Random Sampling from 1980-2007 ResidualsB. Comparisons with Investment Bank Valuations; 6. Factors Explaining Price Changes; 7. US GDP Warrant Theoretical Value Under Average Investment Bank Assumptions and Market Prices; 8. US GDP Warrant Premiums Using Average Investment Bank Assumptions; 9. US GDP Warrant Residual Premium Under Different Scenarios; VI. Other Valuation Exercises; A. Theoretical Values for the Arg GDP Warrant; 10. Arg GDP Warrant Using Random Sampling from 1981-2007 Residuals; B. Theoretical Values for the Euro GDP WarrantC. The Effect of Exchange Rates and Inflation11. Arg GDP Warrant Premiums Using Random Sampling from 1981-2007 Residuals; 12. Euro GDP Warrant Premiums Using Random Sampling from 1981-2007 Residuals; 13. Arg GDP Warrant Theoretical Values Robustness With Respect to Inflation; D. The Effect of Growth; 4. Sensitivity on 2007/2008 Baseline Growth +/- 1.5%; 5. Sensitivity on Convergence Year; E. The Effect of Uncertainty; F. Expected Value for the Remaining Maturity; 14a. Expected Cash Flows; 14b. Distribution of Expected Effective Maturity15 Expected Theoretical Values for the Warrants Over TimeVII. Conclusions; Appendices; 1. Investors' Survey; 2. Discounting Cash Flows; ReferencesThis paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions. The results show that the residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007. This suggests that financial innovation may be associated with premia, which decay reasonably fast.IMF Working Papers; Working Paper ;No. 2008/109Inflation-indexed bondsArgentinaEconometric modelsBanks and BankingimfForeign ExchangeimfInflationimfInvestments: GeneralimfMoney and Monetary PolicyimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfPrice LevelimfDeflationimfGeneral Financial Markets: General (includes Measurement and Data)imfInterest Rates: Determination, Term Structure, and EffectsimfMonetary economicsimfMacroeconomicsimfInvestment & securitiesimfFinanceimfCurrencyimfForeign exchangeimfCurrenciesimfSecuritiesimfDiscount ratesimfExchange ratesimfMoneyimfPricesimfFinancial instrumentsimfDiscountimfArgentinaimfInflation-indexed bondsEconometric models.Banks and BankingForeign ExchangeInflationInvestments: GeneralMoney and Monetary PolicyMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsPrice LevelDeflationGeneral Financial Markets: General (includes Measurement and Data)Interest Rates: Determination, Term Structure, and EffectsMonetary economicsMacroeconomicsInvestment & securitiesFinanceCurrencyForeign exchangeCurrenciesSecuritiesDiscount ratesExchange ratesMoneyPricesFinancial instrumentsDiscount332.63232Ricci Luca1449348Chamon Marcos1090692Costa Alejo1464022DcWaIMFBOOK9910788245603321Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants3673565UNINA