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Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse
Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse
Autore Gonzalez-Hermosillo Brenda
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2009
Descrizione fisica 22 p. : ill
Altri autori (Persone) HesseHeiko
Collana IMF Working Papers
Soggetto topico Global Financial Crisis, 2008-2009
Financial crises - Econometric models
Risk management - Econometric models
Time-series analysis - Econometric models
Finance: General
Financial Risk Management
General Financial Markets: Government Policy and Regulation
Financial Crises
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
Finance
Economic & financial crises & disasters
Systemic risk
Financial crises
Stock markets
Currency markets
Interbank markets
Financial risk management
Stock exchanges
Foreign exchange market
International finance
ISBN 1-4623-8603-2
1-4527-8638-0
1-4518-7377-8
1-282-84431-8
9786612844317
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Record Nr. UNINA-9910788224403321
Gonzalez-Hermosillo Brenda  
Washington, D.C. : , : International Monetary Fund, , 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse
Global Market Conditions and Systemic Risk / / Brenda Gonzalez-Hermosillo, Heiko Hesse
Autore Gonzalez-Hermosillo Brenda
Edizione [1st ed.]
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2009
Descrizione fisica 22 p. : ill
Disciplina 337
Altri autori (Persone) HesseHeiko
Collana IMF Working Papers
Soggetto topico Global Financial Crisis, 2008-2009
Financial crises - Econometric models
Risk management - Econometric models
Time-series analysis - Econometric models
Finance: General
Financial Risk Management
General Financial Markets: Government Policy and Regulation
Financial Crises
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
Finance
Economic & financial crises & disasters
Systemic risk
Financial crises
Stock markets
Currency markets
Interbank markets
Financial risk management
Stock exchanges
Foreign exchange market
International finance
ISBN 1-4623-8603-2
1-4527-8638-0
1-4518-7377-8
1-282-84431-8
9786612844317
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Intro -- Contents -- I. Introduction -- II. Overview of Systemic Risk -- III. Global Market Conditions and Systemic Risk: A Qualitative View -- IV. Markov-Regime Switching Analysis -- A. Results During the Peak of the Crisis -- B. Results After Massive Government Programs in 2009 to Address the Global Crisis -- V. Conclusion -- Figures -- 1. Euro-Dollar Forex Swap -- 2. Markov-Switching ARCH Model of VIX -- 3. Markov-Switching ARCH Model of TED Spread -- 4. Euro-Dollar Forex Swap -- 5a. Markov-Switching ARCH Model of VIX -- 5b. Markov-Switching ARCH Model of VIX -- 6a. Markov-Switching ARCH Model of TED Spread -- 6b. Markov-Switching ARCH Model of TED Spread.
Record Nr. UNINA-9910829094403321
Gonzalez-Hermosillo Brenda  
Washington, D.C. : , : International Monetary Fund, , 2009
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Global Volatility and Forex Returns in East Asia / / Sanjay Kalra
Global Volatility and Forex Returns in East Asia / / Sanjay Kalra
Autore Kalra Sanjay
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2008
Descrizione fisica 1 online resource (33 p.)
Disciplina 332.456095
Collana IMF Working Papers
IMF working paper
Soggetto topico Foreign exchange rates - East Asia
Financial crises - East Asia
Finance: General
Foreign Exchange
Money and Monetary Policy
International Financial Markets
General Financial Markets: General (includes Measurement and Data)
Monetary Systems
Standards
Regimes
Government and the Monetary System
Payment Systems
Currency
Foreign exchange
Finance
Monetary economics
Exchange rates
Currency markets
Stock markets
Currencies
Foreign exchange market
Stock exchanges
Money
ISBN 1-4623-6386-5
1-4527-5412-8
9786612841590
1-282-84159-9
1-4518-7066-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Contents; I. Introduction; II. Methodology and Data; III. GARCH Models of East Asian Daily Forex Returns; IV. Empirical Results; A. Sensitivity of Forex Returns to Mature Equity Market Volatility; B. Conditional and Unconditional Volatility of Forex Returns:; C. Subsamples; V. Robustness; VI. Conclusions; Figures; 1. VIX and VDAX Indices; 2. Exchange Rates; 3. Daily Forex Returns; 4. Daily Squared Forex Returns; 5. FIX_AR(2)-GARCH(1,1) Models: Residuals; 6. VIX AR(2)-GARCH(1,1) Models: Squared Residuals; 7. Daily Conditional and Unconditional Volatilities: 2001-07
8. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-03Q29. Daily Conditional and Unconditional Volatilities: VIX Models, 2003Q3-07; 10. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-07; Tables; 1. Daily Foreign Exchange Return: Summary Statistics; 2. VIX and VDAX Indices: Summary Statistics; 3. Exchange Rates and Volatility Indices: Augmented Dickey-Fuller Test Statistics; 4. VAR Lag Order Selection Criteria; 5. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-07; 6. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-03Q2
7. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2003Q3-078. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-07; 9. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-03Q2; 10. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2003Q3-0; References
Record Nr. UNINA-9910788346303321
Kalra Sanjay  
Washington, D.C. : , : International Monetary Fund, , 2008
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Global Volatility and Forex Returns in East Asia / / Sanjay Kalra
Global Volatility and Forex Returns in East Asia / / Sanjay Kalra
Autore Kalra Sanjay
Edizione [1st ed.]
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2008
Descrizione fisica 1 online resource (33 p.)
Disciplina 332.456095
Collana IMF Working Papers
IMF working paper
Soggetto topico Foreign exchange rates - East Asia
Financial crises - East Asia
Finance: General
Foreign Exchange
Money and Monetary Policy
International Financial Markets
General Financial Markets: General (includes Measurement and Data)
Monetary Systems
Standards
Regimes
Government and the Monetary System
Payment Systems
Currency
Foreign exchange
Finance
Monetary economics
Exchange rates
Currency markets
Stock markets
Currencies
Foreign exchange market
Stock exchanges
Money
ISBN 1-4623-6386-5
1-4527-5412-8
9786612841590
1-282-84159-9
1-4518-7066-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Contents; I. Introduction; II. Methodology and Data; III. GARCH Models of East Asian Daily Forex Returns; IV. Empirical Results; A. Sensitivity of Forex Returns to Mature Equity Market Volatility; B. Conditional and Unconditional Volatility of Forex Returns:; C. Subsamples; V. Robustness; VI. Conclusions; Figures; 1. VIX and VDAX Indices; 2. Exchange Rates; 3. Daily Forex Returns; 4. Daily Squared Forex Returns; 5. FIX_AR(2)-GARCH(1,1) Models: Residuals; 6. VIX AR(2)-GARCH(1,1) Models: Squared Residuals; 7. Daily Conditional and Unconditional Volatilities: 2001-07
8. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-03Q29. Daily Conditional and Unconditional Volatilities: VIX Models, 2003Q3-07; 10. Daily Conditional and Unconditional Volatilities: VIX Models, 2001-07; Tables; 1. Daily Foreign Exchange Return: Summary Statistics; 2. VIX and VDAX Indices: Summary Statistics; 3. Exchange Rates and Volatility Indices: Augmented Dickey-Fuller Test Statistics; 4. VAR Lag Order Selection Criteria; 5. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-07; 6. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2001-03Q2
7. Forex Returns and VIX AR(2)-GARCH(1,1) Models, 2003Q3-078. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-07; 9. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2001-03Q2; 10. Forex Returns and VDAX AR(2)-GARCH(1,1) Models, 2003Q3-0; References
Record Nr. UNINA-9910826444903321
Kalra Sanjay  
Washington, D.C. : , : International Monetary Fund, , 2008
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Indonesia : : Staff Report for the 2013 Article IV Consultation
Indonesia : : Staff Report for the 2013 Article IV Consultation
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2013
Descrizione fisica 1 online resource (101 p.)
Disciplina 332.936
Collana IMF Staff Country Reports
Soggetto topico Business
Debt
Finance, Personal
Banks and Banking
Exports and Imports
Finance: General
Foreign Exchange
Public Finance
Statistics
Banks
Depository Institutions
Micro Finance Institutions
Mortgages
International Lending and Debt Problems
International Financial Markets
General Financial Markets: Government Policy and Regulation
Debt Management
Sovereign Debt
Energy: Demand and Supply
Prices
Finance
International economics
Banking
Currency
Foreign exchange
Macroeconomics
Public finance & taxation
Energy industries & utilities
External debt
Currency markets
Energy subsidies
Financial markets
Expenditure
Public debt
Banks and banking
Debts, External
Foreign exchange market
Financial services industry
Debts, Public
ISBN 1-4755-3679-8
1-4755-9736-3
1-4755-9737-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; CONTENTS; GLOSSARY; BACKGROUND AND CONTEXT; BOXES; 1. Recent Policy Measures (Through September 2013); RECENT DEVELOPMENTS, OUTLOOK, AND RISKS; A. Recent Developments and the Near-Term Outlook; B. Risks and Prospects; C. External Position and Debt Sustainability; 2. External Assessment; POLICY ISSUES; A. Monetary and Exchange Rate Policies; 3. Trends in Foreign Exchange Market Development and Functioning; B. Fiscal Policy; C. Financial and Corporate Sector Issues; 4. Corporate External Financing; 5. Financial Market Deepening; D. Medium-Term Policy Priorities
6. Structural Transformation and Labor Market IssuesSTAFF APPRAISAL; FIGURES; 1. Overview; 2. Recent Market Developments; 3. Emerging Markets: Recent Developments; 4. Real Sector Developments; 5. External Sector Developments; 6. Monetary and Interest Rate Developments; 7. Fiscal Developments; 8. Financial and Corporate Sector Soundness Indicators; TABLES; 1. Selected Economic Indicators, 2008-14; 2. Balance of Payments, 2008-14; 3. Selected Vulnerability Indicators, 2008-13; 4. Medium-Term Macroeconomic Framework, 2010-18; 5. Monetary Survey, 2009-August 2013
6. Summary of Central Government Operations, 2009-147. Summary of General Government Operations, 2005-12; 8. Financial Soundness Indicators, 2008-June 2013; APPENDICES; 1. Risk Assessment Matrix; 2. External Vulnerabilities in Perspective; 3. Debt Sustainability; 4. Ensuring a Sustainable Medium-Term Fiscal Framework; 5. Banking Sector Stability; 6. Labor Market Policies and Economic Growth; CONTENTS; FUND RELATIONS; WORLD BANK-IMF COLLABORATION; RELATIONS WITH THE ASIAN DEVELOPMENT BANK; STATISTICAL ISSUES
Record Nr. UNINA-9910790716203321
Washington, D.C. : , : International Monetary Fund, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Indonesia : : Staff Report for the 2013 Article IV Consultation
Indonesia : : Staff Report for the 2013 Article IV Consultation
Edizione [1st ed.]
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2013
Descrizione fisica 1 online resource (101 p.)
Disciplina 332.936
Collana IMF Staff Country Reports
Soggetto topico Business
Debt
Finance, Personal
Banks and Banking
Exports and Imports
Finance: General
Foreign Exchange
Public Finance
Statistics
Banks
Depository Institutions
Micro Finance Institutions
Mortgages
International Lending and Debt Problems
International Financial Markets
General Financial Markets: Government Policy and Regulation
Debt Management
Sovereign Debt
Energy: Demand and Supply
Prices
Finance
International economics
Banking
Currency
Foreign exchange
Macroeconomics
Public finance & taxation
Energy industries & utilities
External debt
Currency markets
Energy subsidies
Financial markets
Expenditure
Public debt
Banks and banking
Debts, External
Foreign exchange market
Financial services industry
Debts, Public
ISBN 1-4755-3679-8
1-4755-9736-3
1-4755-9737-1
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; CONTENTS; GLOSSARY; BACKGROUND AND CONTEXT; BOXES; 1. Recent Policy Measures (Through September 2013); RECENT DEVELOPMENTS, OUTLOOK, AND RISKS; A. Recent Developments and the Near-Term Outlook; B. Risks and Prospects; C. External Position and Debt Sustainability; 2. External Assessment; POLICY ISSUES; A. Monetary and Exchange Rate Policies; 3. Trends in Foreign Exchange Market Development and Functioning; B. Fiscal Policy; C. Financial and Corporate Sector Issues; 4. Corporate External Financing; 5. Financial Market Deepening; D. Medium-Term Policy Priorities
6. Structural Transformation and Labor Market IssuesSTAFF APPRAISAL; FIGURES; 1. Overview; 2. Recent Market Developments; 3. Emerging Markets: Recent Developments; 4. Real Sector Developments; 5. External Sector Developments; 6. Monetary and Interest Rate Developments; 7. Fiscal Developments; 8. Financial and Corporate Sector Soundness Indicators; TABLES; 1. Selected Economic Indicators, 2008-14; 2. Balance of Payments, 2008-14; 3. Selected Vulnerability Indicators, 2008-13; 4. Medium-Term Macroeconomic Framework, 2010-18; 5. Monetary Survey, 2009-August 2013
6. Summary of Central Government Operations, 2009-147. Summary of General Government Operations, 2005-12; 8. Financial Soundness Indicators, 2008-June 2013; APPENDICES; 1. Risk Assessment Matrix; 2. External Vulnerabilities in Perspective; 3. Debt Sustainability; 4. Ensuring a Sustainable Medium-Term Fiscal Framework; 5. Banking Sector Stability; 6. Labor Market Policies and Economic Growth; CONTENTS; FUND RELATIONS; WORLD BANK-IMF COLLABORATION; RELATIONS WITH THE ASIAN DEVELOPMENT BANK; STATISTICAL ISSUES
Record Nr. UNINA-9910821105203321
Washington, D.C. : , : International Monetary Fund, , 2013
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Private Information, Capital Flows, and Exchange Rates / / Jacob Gyntelberg, Subhanij Tientip, Mico Loretan
Private Information, Capital Flows, and Exchange Rates / / Jacob Gyntelberg, Subhanij Tientip, Mico Loretan
Autore Gyntelberg Jacob
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2012
Descrizione fisica 1 online resource (29 p.)
Altri autori (Persone) TientipSubhanij
LoretanMico
Collana IMF Working Papers
IMF working paper
Soggetto topico Foreign exchange rates
Foreign exchange
Finance: General
Foreign Exchange
Time-Series Models
Dynamic Quantile Regressions
Dynamic Treatment Effect Models
Diffusion Processes
Central Banks and Their Policies
International Finance Forecasting and Simulation
Information and Market Efficiency
Event Studies
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
Finance
Currency
Stock markets
Securities markets
Currency markets
Exchange rates
Financial markets
Stock exchanges
Capital market
Foreign exchange market
ISBN 1-4755-1956-7
1-4755-4777-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Contents; I. Introduction; II. The Markets and the Data; A. Sample Period and Foreign Investor Definition; B. The Onshore FX Market; C. The Equity Market; D. The Bond Market; III. Private Information and FX Markets; Tables; 1. Autocorrelations in foreign investors' net daily order flow; IV. Empirical Results; 2. Variable mnemonics and descriptions; A. FX Order Flow Induced by Stock and Bond Market Transactions; 3. Influence of stock and bond market variables on FX flows; B. Order Flow Regression; 4. FX order flow regression
C. Longer-Run Impact of Portions of FX Order Flow on the Exchange Rate Figure; 1. Short and longer-term THB/USD exchange rate responses to FX order flow shocks; D. Possible Alternative Explanations; 1. Hedging Activity; 5. Determinants of FX swap order flow; 2. Carry Trade Activity; V. Concluding Remarks; References
Record Nr. UNINA-9910786474503321
Gyntelberg Jacob  
Washington, D.C. : , : International Monetary Fund, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Private Information, Capital Flows, and Exchange Rates / / Jacob Gyntelberg, Subhanij Tientip, Mico Loretan
Private Information, Capital Flows, and Exchange Rates / / Jacob Gyntelberg, Subhanij Tientip, Mico Loretan
Autore Gyntelberg Jacob
Edizione [1st ed.]
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2012
Descrizione fisica 1 online resource (29 p.)
Disciplina 332.1;332.152
Altri autori (Persone) TientipSubhanij
LoretanMico
Collana IMF Working Papers
IMF working paper
Soggetto topico Foreign exchange rates
Foreign exchange
Finance: General
Foreign Exchange
Time-Series Models
Dynamic Quantile Regressions
Dynamic Treatment Effect Models
Diffusion Processes
Central Banks and Their Policies
International Finance Forecasting and Simulation
Information and Market Efficiency
Event Studies
General Financial Markets: General (includes Measurement and Data)
International Financial Markets
Finance
Currency
Stock markets
Securities markets
Currency markets
Exchange rates
Financial markets
Stock exchanges
Capital market
Foreign exchange market
ISBN 1-4755-1956-7
1-4755-4777-3
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto Cover; Contents; I. Introduction; II. The Markets and the Data; A. Sample Period and Foreign Investor Definition; B. The Onshore FX Market; C. The Equity Market; D. The Bond Market; III. Private Information and FX Markets; Tables; 1. Autocorrelations in foreign investors' net daily order flow; IV. Empirical Results; 2. Variable mnemonics and descriptions; A. FX Order Flow Induced by Stock and Bond Market Transactions; 3. Influence of stock and bond market variables on FX flows; B. Order Flow Regression; 4. FX order flow regression
C. Longer-Run Impact of Portions of FX Order Flow on the Exchange Rate Figure; 1. Short and longer-term THB/USD exchange rate responses to FX order flow shocks; D. Possible Alternative Explanations; 1. Hedging Activity; 5. Determinants of FX swap order flow; 2. Carry Trade Activity; V. Concluding Remarks; References
Record Nr. UNINA-9910826179103321
Gyntelberg Jacob  
Washington, D.C. : , : International Monetary Fund, , 2012
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
A Puzzle of Microstructure Market Maker Models / / Rafael Romeu
A Puzzle of Microstructure Market Maker Models / / Rafael Romeu
Autore Romeu Rafael
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2004
Descrizione fisica 1 online resource (24 p.)
Collana IMF Working Papers
Soggetto topico Foreign exchange rates - Econometric models
Foreign exchange market - Econometric models
Information theory in finance
Finance: General
Foreign Exchange
Money and Monetary Policy
Model Evaluation and Selection
International Financial Markets
Monetary Systems
Standards
Regimes
Government and the Monetary System
Payment Systems
Currency
Foreign exchange
Finance
Monetary economics
Exchange rates
Exchange rate modelling
Currency markets
Currencies
Purchasing power parity
Foreign exchange market
Money
ISBN 1-4623-3295-1
1-4527-2306-0
1-281-11651-3
9786613776440
1-4518-9056-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Contents""; ""I. Introduction""; ""II. Reconsidering the Lyons (1995) Result""; ""III. A Puzzle of Microstructure Market Maker Models""; ""IV. Conclusion""; ""References""
Record Nr. UNINA-9910788519903321
Romeu Rafael  
Washington, D.C. : , : International Monetary Fund, , 2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
A Puzzle of Microstructure Market Maker Models / / Rafael Romeu
A Puzzle of Microstructure Market Maker Models / / Rafael Romeu
Autore Romeu Rafael
Edizione [1st ed.]
Pubbl/distr/stampa Washington, D.C. : , : International Monetary Fund, , 2004
Descrizione fisica 1 online resource (24 p.)
Collana IMF Working Papers
Soggetto topico Foreign exchange rates - Econometric models
Foreign exchange market - Econometric models
Information theory in finance
Finance: General
Foreign Exchange
Money and Monetary Policy
Model Evaluation and Selection
International Financial Markets
Monetary Systems
Standards
Regimes
Government and the Monetary System
Payment Systems
Currency
Foreign exchange
Finance
Monetary economics
Exchange rates
Exchange rate modelling
Currency markets
Currencies
Purchasing power parity
Foreign exchange market
Money
ISBN 1-4623-3295-1
1-4527-2306-0
1-281-11651-3
9786613776440
1-4518-9056-7
Formato Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione eng
Nota di contenuto ""Contents""; ""I. Introduction""; ""II. Reconsidering the Lyons (1995) Result""; ""III. A Puzzle of Microstructure Market Maker Models""; ""IV. Conclusion""; ""References""
Record Nr. UNINA-9910821264403321
Romeu Rafael  
Washington, D.C. : , : International Monetary Fund, , 2004
Materiale a stampa
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui