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[null,"1.","Record Nr.",null,"UNINA9910462056003321"]
[null,null,"Autore",null,"Alper C. Emre"]
[null,null,"Titolo",null,"Pricing of sovereign credit risk [[electronic resource] ] : evidence from advanced economies during the financial crisis / / C. Emre Alper, Lorenzo Forni and Marc Gerard"]
[null,null,"Pubbl/distr/stampa",null,"Washington, D.C., : International Monetary Fund, 2012"]
[null,null,"ISBN",null,"1-4639-6592-3"]
[{"$nulls":4},"1-4639-3377-0"]
[{"$nulls":4},"1-4639-3836-5"]
[null,null,"Descrizione fisica",null,"1 online resource (29 p.)"]
[null,null,"Collana",null,"IMF working paper"]
[null,null,"Soggetti",null,"Debts, External - Developed countries"]
[{"$nulls":4},"Country risk - Developed countries"]
[{"$nulls":4},"Global Financial Crisis, 2008-2009"]
[{"$nulls":4},"Electronic books."]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","Description based upon print version of record."]
[null,null,null,"Nota di bibliografia","Includes bibliographical references."]
[null,null,"Nota di contenuto",null,"Cover; Contents; I. Introduction; II. Dynamic Relationships between CDS and RAS Spreads; III. Determinants of CDS and RAS Spreads; IV. Concluding Remarks; Data Appendix; Figures; 1. CDS Gross Notional Outstanding Amounts as a Share of Total Public Debt: Selected Countries over the Period 2008-11; 2. CDS and RAS Spread Developments; 3. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Large Advanced Economies; 4. Expected one year ahead Primary Deficit and CDS/RAS Spreads - Selected; Tables; 1. Panel and Individual Unit Root Test Results on the Basis (CDS-RAS)"]
[{"$nulls":4},"2. Individual Cointegration Test and Error-correction Model Estimation Results for CDS and RAS Spreads3. CDS Spreads Regressions; 4. RAS Spreads Regressions; 5. CDS Spreads Regressions - Country Breakdown; 6. RAS Spreads Regressions--Country Breakdown; References"]
[null,null,null,"Sommario/riassunto","We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by examining two widely-used indicators: sovereign credit default swap (CDS) and relative asset swap (RAS) spreads. Cointegration analysis suggests the existence of an imperfect market arbitrage relationship between the cash (RAS) and the derivatives (CDS) markets, with price discovery taking place in the "]
[{"$nulls":4},"latter. Likewise, panel regressions aimed at uncovering the fundamental drivers of the two indicators show that the CDS market, although less liquid, has provided a better signal for"]
[null,"2.","Record Nr.",null,"UNINA9910967322803321"]
[null,null,"Autore",null,"Pramor Marcus"]
[null,null,"Titolo",null,"Common Volatility Trends in the Central and Eastern European Currencies and the Euro / / Marcus Pramor, Natalia Tamirisa"]
[null,null,"Pubbl/distr/stampa",null,"Washington, D.C. : , : International Monetary Fund, , 2006"]
[null,null,"ISBN",null,"9786613829900"]
[{"$nulls":4},"9781462339709"]
[{"$nulls":4},"1462339700"]
[{"$nulls":4},"9781451984309"]
[{"$nulls":4},"1451984308"]
[{"$nulls":4},"9781283517454"]
[{"$nulls":4},"1283517450"]
[{"$nulls":4},"9781451994018"]
[{"$nulls":4},"145199401X"]
[null,null,"Edizione",null,"[1st ed.]"]
[null,null,"Descrizione fisica",null,"1 online resource (31 p.)"]
[null,null,"Collana",null,"IMF Working Papers"]
[null,null,"Soggetti",null,"Foreign exchange rates - Econometric models - Europe"]
[{"$nulls":4},"Monetary policy - Europe"]
[{"$nulls":4},"Currencies"]
[{"$nulls":4},"Currency markets"]
[{"$nulls":4},"Currency"]
[{"$nulls":4},"Economic integration"]
[{"$nulls":4},"Exchange rates"]
[{"$nulls":4},"Exports and Imports"]
[{"$nulls":4},"Externalities"]
[{"$nulls":4},"Finance"]
[{"$nulls":4},"Finance: General"]
[{"$nulls":4},"Financial Aspects of Economic Integration"]
[{"$nulls":4},"Financial markets"]
[{"$nulls":4},"Financial sector policy and analysis"]
[{"$nulls":4},"Foreign exchange market"]
[{"$nulls":4},"Foreign Exchange"]
[{"$nulls":4},"Foreign exchange"]
[{"$nulls":4},"Government and the Monetary System"]
[{"$nulls":4},"International economics"]
[{"$nulls":4},"International finance"]
[{"$nulls":4},"International Financial Markets"]
[{"$nulls":4},"Macroeconomics"]
[{"$nulls":4},"Monetary economics"]
[{"$nulls":4},"Monetary Systems"]
[{"$nulls":4},"Monetary unions"]
[{"$nulls":4},"Money and Monetary Policy"]
[{"$nulls":4},"Money"]
[{"$nulls":4},"Payment Systems"]
[{"$nulls":4},"Regimes"]
[{"$nulls":4},"Spillovers"]
[{"$nulls":4},"Standards"]
[{"$nulls":4},"Czech Republic"]
[null,null,"Lingua di pubblicazione",null,"Inglese"]
[null,null,"Formato",null,"Materiale a stampa"]
[null,null,null,"Livello bibliografico","Monografia"]
[null,null,null,"Note generali","\"September 2006.\""]
[null,null,null,"Nota di bibliografia","Includes bibliographical references."]
[null,null,"Nota di contenuto",null,"\"\"Contents\"\"; \"\"I. INTRODUCTION\"\"; \"\"II. METHODOLOGY AND DATA\"\"; \"\"III. VOLATILITY DYNAMICS IN CENTRAL AND EASTERN EUROPEAN CURRENCY MARKETS\"\"; \"\"IV. CONCLUSIONS\"\"; \"\"References\"\""]
[null,null,null,"Sommario/riassunto","How much convergence has been achieved between Central and Eastern European (CEE) economies and the eurozone? We explore this question by comparing long-run volatility trends in CEE currencies and the euro. We find that these trends are closely correlated, pointing to convergence in the economic and financial structures of these economies. Nonetheless, the degree of commonality remains weaker than what had been found for major European currencies before the introduction of the euro. Spillovers of volatility across regional markets appear to have diminished over time, with the exception of the Hungarian forint, which remains a source of volatility shocks to regional currencies."]