LEADER 04417nam 2200649 450 001 9910464005803321 005 20170815101927.0 010 $a1-4623-0333-1 010 $a1-4527-7633-4 010 $a1-282-84063-0 010 $a1-4518-6969-X 010 $a9786612840630 035 $a(CKB)3170000000054996 035 $a(EBL)1607827 035 $a(SSID)ssj0000944159 035 $a(PQKBManifestationID)11485779 035 $a(PQKBTitleCode)TC0000944159 035 $a(PQKBWorkID)11000831 035 $a(PQKB)11568290 035 $a(OCoLC)815738561 035 $a(MiAaPQ)EBC1607827 035 $a(EXLCZ)993170000000054996 100 $a20140225h20082008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aIs there a novelty premium on new financial instruments? $ethe Argentine experience with GDP-indexed warrants /$fAlejo Costa, Marcos Chamon, and Luca Antonio Ricci 210 1$a[Washington, District of Columbia] :$cInternational Monetary Fund,$d2008. 210 4$dİ2008 215 $a1 online resource (42 p.) 225 1 $aIMF Working Papers 225 0$aIMF working paper ;$vWP/08/109 300 $aDescription based upon print version of record. 311 $a1-4519-1423-7 320 $aIncludes bibliographical references. 327 $aContents; 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 Changes 327 $a5. 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 Warrant 327 $aC. 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 Maturity 327 $a15 Expected Theoretical Values for the Warrants Over TimeVII. Conclusions; Appendices; 1. Investors' Survey; 2. Discounting Cash Flows; References 330 $aThis paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions. The results show that the residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007. This suggests that financial innovation may be associated with premia, which decay reasonably fast. 410 0$aIMF Working Papers 606 $aInflation-indexed bonds$zArgentina$xEconometric models 608 $aElectronic books. 615 0$aInflation-indexed bonds$xEconometric models. 676 $a332.63232 700 $aCosta$b Alejo$0862005 701 $aChamon$b Marcos$0862006 701 $aRicci$b Luca Antonio$0862007 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910464005803321 996 $aIs there a novelty premium on new financial instruments$91924029 997 $aUNINA