LEADER 06490oam 22012974 450 001 9910788245603321 005 20230721045640.0 010 $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(IMF)WPIEE2008109 035 $a(EXLCZ)993170000000054996 100 $a20020129d2008 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aIs There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants /$fLuca Ricci, Marcos Chamon, Alejo Costa 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2008. 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 3 $aThis paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions. The results show that the residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007. This suggests that financial innovation may be associated with premia, which decay reasonably fast. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2008/109 606 $aInflation-indexed bonds$zArgentina$xEconometric models 606 $aBanks and Banking$2imf 606 $aForeign Exchange$2imf 606 $aInflation$2imf 606 $aInvestments: General$2imf 606 $aMoney and Monetary Policy$2imf 606 $aMonetary Systems$2imf 606 $aStandards$2imf 606 $aRegimes$2imf 606 $aGovernment and the Monetary System$2imf 606 $aPayment Systems$2imf 606 $aPrice Level$2imf 606 $aDeflation$2imf 606 $aGeneral Financial Markets: General (includes Measurement and Data)$2imf 606 $aInterest Rates: Determination, Term Structure, and Effects$2imf 606 $aMonetary economics$2imf 606 $aMacroeconomics$2imf 606 $aInvestment & securities$2imf 606 $aFinance$2imf 606 $aCurrency$2imf 606 $aForeign exchange$2imf 606 $aCurrencies$2imf 606 $aSecurities$2imf 606 $aDiscount rates$2imf 606 $aExchange rates$2imf 606 $aMoney$2imf 606 $aPrices$2imf 606 $aFinancial instruments$2imf 606 $aDiscount$2imf 607 $aArgentina$2imf 615 0$aInflation-indexed bonds$xEconometric models. 615 7$aBanks and Banking 615 7$aForeign Exchange 615 7$aInflation 615 7$aInvestments: General 615 7$aMoney and Monetary Policy 615 7$aMonetary Systems 615 7$aStandards 615 7$aRegimes 615 7$aGovernment and the Monetary System 615 7$aPayment Systems 615 7$aPrice Level 615 7$aDeflation 615 7$aGeneral Financial Markets: General (includes Measurement and Data) 615 7$aInterest Rates: Determination, Term Structure, and Effects 615 7$aMonetary economics 615 7$aMacroeconomics 615 7$aInvestment & securities 615 7$aFinance 615 7$aCurrency 615 7$aForeign exchange 615 7$aCurrencies 615 7$aSecurities 615 7$aDiscount rates 615 7$aExchange rates 615 7$aMoney 615 7$aPrices 615 7$aFinancial instruments 615 7$aDiscount 676 $a332.63232 700 $aRicci$b Luca$01449348 701 $aChamon$b Marcos$01090692 701 $aCosta$b Alejo$01464022 801 0$bDcWaIMF 906 $aBOOK 912 $a9910788245603321 996 $aIs There a Novelty Premium on New Financial Instruments? 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