Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants / / Luca Ricci, Marcos Chamon, Alejo Costa

• Autore: Ricci Luca
• Pubblicazione: Washington, D.C. : , : International Monetary Fund, , 2008
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (42 p.)
• Disciplina: 332.63232
• Soggetto topico: Inflation-indexed bonds - Argentina - Econometric models; Banks and Banking; Foreign Exchange; Inflation; Investments: General; Money and Monetary Policy; Monetary Systems; Standards; Regimes; Government and the Monetary System; Payment Systems; Price Level; Deflation; General Financial Markets: General (includes Measurement and Data); Interest Rates: Determination, Term Structure, and Effects; Monetary economics; Macroeconomics; Investment & securities; Finance; Currency; Foreign exchange; Currencies; Securities; Discount rates; Exchange rates; Money; Prices; Financial instruments; Discount
• Soggetto geografico: Argentina
• Altri autori: ChamonMarcos CostaAlejo
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: 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 Changes ; 5. 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 ; C. 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 ; 15 Expected Theoretical Values for the Warrants Over TimeVII. Conclusions; Appendices; 1. Investors' Survey; 2. Discounting Cash Flows; References
• Sommario/riassunto: This 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.
• Titolo autorizzato: Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants
• ISBN: 1-4623-0333-1; 1-4527-7633-4; 1-282-84063-0; 1-4518-6969-X; 9786612840630
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910812627103321
• Lo trovi qui: Univ. Federico II
• Serie: IMF Working Papers; Working Paper ; ; No. 2008/109