06709oam 22013934 450 991095517160332120250426110042.097866128406309781462303335146230333197814527763301452776334978128284063812828406309781451869699145186969X(CKB)3170000000054996(EBL)1607827(SSID)ssj0000944159(PQKBManifestationID)11485779(PQKBTitleCode)TC0000944159(PQKBWorkID)11000831(PQKB)11568290(OCoLC)815738561(IMF)WPIEE2008109(MiAaPQ)EBC1607827(IMF)WPIEA2008109WPIEA2008109(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 Costa1st ed.Washington, 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.9781451914238 1451914237 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 BankingimfCurrenciesimfCurrencyimfDeflationimfDiscount ratesimfDiscountimfExchange ratesimfFinanceimfFinancial instrumentsimfForeign ExchangeimfForeign exchangeimfGeneral Financial Markets: General (includes Measurement and Data)imfGovernment and the Monetary SystemimfInflationimfInterest Rates: Determination, Term Structure, and EffectsimfInvestment & securitiesimfInvestments: GeneralimfMacroeconomicsimfMonetary economicsimfMonetary SystemsimfMoney and Monetary PolicyimfMoneyimfPayment SystemsimfPrice LevelimfPricesimfRegimesimfSecuritiesimfStandardsimfArgentinaimfInflation-indexed bondsEconometric models.Banks and BankingCurrenciesCurrencyDeflationDiscount ratesDiscountExchange ratesFinanceFinancial instrumentsForeign ExchangeForeign exchangeGeneral Financial Markets: General (includes Measurement and Data)Government and the Monetary SystemInflationInterest Rates: Determination, Term Structure, and EffectsInvestment & securitiesInvestments: GeneralMacroeconomicsMonetary economicsMonetary SystemsMoney and Monetary PolicyMoneyPayment SystemsPrice LevelPricesRegimesSecuritiesStandards332.63232Ricci Luca1449348Chamon Marcos1090692Costa Alejo1816391DcWaIMFBOOK9910955171603321Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants4372431UNINA