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Emerging market spread compression [[electronic resource] ] : is it real or is it liquidity? / / prepared by Kristian Hartelius, Kenichiro Kashiwase, and Laura E. Kodres
| Emerging market spread compression [[electronic resource] ] : is it real or is it liquidity? / / prepared by Kristian Hartelius, Kenichiro Kashiwase, and Laura E. Kodres |
| Autore | Hartelius Kristian |
| Pubbl/distr/stampa | Washington, D.C., : International Monetary Fund, Monetary and Capital Markets Dept., 2008 |
| Descrizione fisica | 1 online resource (38 p.) |
| Altri autori (Persone) |
KashiwaseKenichiro
KodresLaura E |
| Collana | IMF working paper |
| Soggetto topico |
Bonds - Developing countries - Econometric models
Liquidity (Economics) - Econometric models Credit ratings - Developing countries - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-2352-9
1-4527-6624-X 1-282-44773-4 1-4519-1325-7 9786613820969 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Data; A. Variables; Emerging Market Bond Spreads; Tables; 1. Availability of EMBI and EMBI Global; Credit Ratings and Outlooks; Fed Funds Futures; Figures; 1. Changes in Sovereign Credit Ratings and Outlook: January 1991~February 2007; Volatility in the Fed Funds Futures Market; Volatility Index of S&P 500 (VIX); 2. Volatility of Fed Funds Futures Market and Emerging Market Bond Spread; B. Total Credit Rating-Outlook Index (CROI); Log Linearity Between the Spreads and Ratings; 3. VIX and Emerging Market Bond Spread
Construction of the Total Credit Rating-Outlook Index (CROI)4. Average vis-à-vis Estimated Bond Spreads on Long-Term Sovereign Credit Ratings; 2. Total Credit Rating-Outlook Index (CROI); III. Results; A. Basic Model; 5. Aggregate Fundamentals: Total Credit Rating-Outlook Index (CROI) vis-à-vis Long-Term Credit-Rating Index (LTCR); 3. Basic Model Results: CROI vs. LTCR, December 1991~February 2007; B. Extended Model with Volatility; 4. Extended Model Results: CROI vs. LTCR, January 1991~February 1997; C. Graphical Interpretation of the Models 6. Actual vs. Estimated Spreads Extended Model with CROI as FundamentalsD. Contributions to EMBI Spreads; 5. Determinants of Change in the EMBIG Spread, December 2002-February 2007; IV. Conclusions; Appendix; Appendix 1.A: A Procedure of Constructing the CROI; Appendix Figure; 1. Actual and Estimated Spreads: Extended Model with CROI as Fundamentals; References |
| Record Nr. | UNINA-9910464840003321 |
Hartelius Kristian
|
||
| Washington, D.C., : International Monetary Fund, Monetary and Capital Markets Dept., 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Emerging Market Spread Compression : : Is it Real or is it Liquidity? / / Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase
| Emerging Market Spread Compression : : Is it Real or is it Liquidity? / / Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase |
| Autore | Kodres Laura |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (38 p.) |
| Altri autori (Persone) |
HarteliusKristian
KashiwaseKenichiro |
| Collana | IMF Working Papers |
| Soggetto topico |
Bonds - Developing countries - Econometric models
Liquidity (Economics) - Econometric models Credit ratings - Developing countries - Econometric models Banks and Banking Finance: General Investments: Futures Money and Monetary Policy General Financial Markets: General (includes Measurement and Data) Monetary Policy, Central Banking, and the Supply of Money and Credit: General Interest Rates: Determination, Term Structure, and Effects Pension Funds Non-bank Financial Institutions Financial Instruments Institutional Investors Finance Monetary economics Emerging and frontier financial markets Credit ratings Yield curve Securities markets Futures Financial services industry Interest rates Capital market Derivative securities |
| ISBN |
1-4623-2352-9
1-4527-6624-X 1-282-44773-4 1-4519-1325-7 9786613820969 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Data; A. Variables; Emerging Market Bond Spreads; Tables; 1. Availability of EMBI and EMBI Global; Credit Ratings and Outlooks; Fed Funds Futures; Figures; 1. Changes in Sovereign Credit Ratings and Outlook: January 1991~February 2007; Volatility in the Fed Funds Futures Market; Volatility Index of S&P 500 (VIX); 2. Volatility of Fed Funds Futures Market and Emerging Market Bond Spread; B. Total Credit Rating-Outlook Index (CROI); Log Linearity Between the Spreads and Ratings; 3. VIX and Emerging Market Bond Spread
Construction of the Total Credit Rating-Outlook Index (CROI)4. Average vis-à-vis Estimated Bond Spreads on Long-Term Sovereign Credit Ratings; 2. Total Credit Rating-Outlook Index (CROI); III. Results; A. Basic Model; 5. Aggregate Fundamentals: Total Credit Rating-Outlook Index (CROI) vis-à-vis Long-Term Credit-Rating Index (LTCR); 3. Basic Model Results: CROI vs. LTCR, December 1991~February 2007; B. Extended Model with Volatility; 4. Extended Model Results: CROI vs. LTCR, January 1991~February 1997; C. Graphical Interpretation of the Models 6. Actual vs. Estimated Spreads Extended Model with CROI as FundamentalsD. Contributions to EMBI Spreads; 5. Determinants of Change in the EMBIG Spread, December 2002-February 2007; IV. Conclusions; Appendix; Appendix 1.A: A Procedure of Constructing the CROI; Appendix Figure; 1. Actual and Estimated Spreads: Extended Model with CROI as Fundamentals; References |
| Record Nr. | UNINA-9910788523003321 |
|
Kodres Laura
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Emerging Market Spread Compression : : Is it Real or is it Liquidity? / / Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase
| Emerging Market Spread Compression : : Is it Real or is it Liquidity? / / Laura Kodres, Kristian Hartelius, Kenichiro Kashiwase |
| Autore | Kodres Laura |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (38 p.) |
| Disciplina | 338.2357 |
| Altri autori (Persone) |
HarteliusKristian
KashiwaseKenichiro |
| Collana | IMF Working Papers |
| Soggetto topico |
Bonds - Developing countries - Econometric models
Liquidity (Economics) - Econometric models Credit ratings - Developing countries - Econometric models Banks and Banking Capital market Credit ratings Derivative securities Emerging and frontier financial markets Finance Finance: General Financial Instruments Financial services industry Futures General Financial Markets: General (includes Measurement and Data) Institutional Investors Interest rates Interest Rates: Determination, Term Structure, and Effects Investments: Futures Monetary economics Monetary Policy, Central Banking, and the Supply of Money and Credit: General Money and Monetary Policy Non-bank Financial Institutions Pension Funds Securities markets Yield curve |
| ISBN |
9786613820969
9781462323524 1462323529 9781452766249 145276624X 9781282447738 1282447734 9781451913255 1451913257 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Contents; I. Introduction; II. Data; A. Variables; Emerging Market Bond Spreads; Tables; 1. Availability of EMBI and EMBI Global; Credit Ratings and Outlooks; Fed Funds Futures; Figures; 1. Changes in Sovereign Credit Ratings and Outlook: January 1991~February 2007; Volatility in the Fed Funds Futures Market; Volatility Index of S&P 500 (VIX); 2. Volatility of Fed Funds Futures Market and Emerging Market Bond Spread; B. Total Credit Rating-Outlook Index (CROI); Log Linearity Between the Spreads and Ratings; 3. VIX and Emerging Market Bond Spread
Construction of the Total Credit Rating-Outlook Index (CROI)4. Average vis-à-vis Estimated Bond Spreads on Long-Term Sovereign Credit Ratings; 2. Total Credit Rating-Outlook Index (CROI); III. Results; A. Basic Model; 5. Aggregate Fundamentals: Total Credit Rating-Outlook Index (CROI) vis-à-vis Long-Term Credit-Rating Index (LTCR); 3. Basic Model Results: CROI vs. LTCR, December 1991~February 2007; B. Extended Model with Volatility; 4. Extended Model Results: CROI vs. LTCR, January 1991~February 1997; C. Graphical Interpretation of the Models 6. Actual vs. Estimated Spreads Extended Model with CROI as FundamentalsD. Contributions to EMBI Spreads; 5. Determinants of Change in the EMBIG Spread, December 2002-February 2007; IV. Conclusions; Appendix; Appendix 1.A: A Procedure of Constructing the CROI; Appendix Figure; 1. Actual and Estimated Spreads: Extended Model with CROI as Fundamentals; References |
| Record Nr. | UNINA-9910959813703321 |
|
Kodres Laura
|
||
| Washington, D.C. : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Excess liquidity and effectiveness of monetary policy [[electronic resource] ] : evidence from Sub-Saharan Africa / / prepared by Magnus Saxegaard
| Excess liquidity and effectiveness of monetary policy [[electronic resource] ] : evidence from Sub-Saharan Africa / / prepared by Magnus Saxegaard |
| Autore | Saxegaard Magnus |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, African Dept., 2006 |
| Descrizione fisica | 1 online resource (52 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Monetary policy - Africa, Sub-Saharan - Econometric models
Liquidity (Economics) - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-3669-8
1-4527-8344-6 1-283-51394-3 1-4519-0909-8 9786613826398 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. SOME STYLIZED FACTS ON RESERVE REQUIREMENTS AND EXCESS LIQUIDITY IN AFRICAN COUNTRIES""; ""III. MEASUREMENT OF EXCESS LIQUIDITY""; ""IV. EXCESS BANK LIQUIDITY AND MONETARY POLICY TRANSMISSION MECHANISM""; ""V. SUMMARY AND POLICY IMPLICATIONS""; ""References"" |
| Record Nr. | UNINA-9910464822003321 |
|
Saxegaard Magnus
|
||
| [Washington, D.C.], : International Monetary Fund, African Dept., 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Excess Liquidity and Effectiveness of Monetary Policy : : Evidence from Sub-Saharan Africa / / Magnus Saxegaard
| Excess Liquidity and Effectiveness of Monetary Policy : : Evidence from Sub-Saharan Africa / / Magnus Saxegaard |
| Autore | Saxegaard Magnus |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (52 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Monetary policy - Africa, Sub-Saharan - Econometric models
Liquidity (Economics) - Econometric models Banks and Banking Finance: General Money and Monetary Policy Portfolio Choice Investment Decisions Banks Depository Institutions Micro Finance Institutions Mortgages Monetary Policy Finance Banking Monetary economics Excess liquidity Commercial banks Reserve requirements Monetary transmission mechanism Liquidity Economics Banks and banking Monetary policy |
| ISBN |
1-4623-3669-8
1-4527-8344-6 1-283-51394-3 1-4519-0909-8 9786613826398 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. SOME STYLIZED FACTS ON RESERVE REQUIREMENTS AND EXCESS LIQUIDITY IN AFRICAN COUNTRIES""; ""III. MEASUREMENT OF EXCESS LIQUIDITY""; ""IV. EXCESS BANK LIQUIDITY AND MONETARY POLICY TRANSMISSION MECHANISM""; ""V. SUMMARY AND POLICY IMPLICATIONS""; ""References"" |
| Record Nr. | UNINA-9910788413503321 |
|
Saxegaard Magnus
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Excess Liquidity and Effectiveness of Monetary Policy : : Evidence from Sub-Saharan Africa / / Magnus Saxegaard
| Excess Liquidity and Effectiveness of Monetary Policy : : Evidence from Sub-Saharan Africa / / Magnus Saxegaard |
| Autore | Saxegaard Magnus |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (52 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Monetary policy - Africa, Sub-Saharan - Econometric models
Liquidity (Economics) - Econometric models Banking Banks and Banking Banks and banking Banks Commercial banks Depository Institutions Economics Excess liquidity Finance Finance: General Investment Decisions Liquidity Micro Finance Institutions Monetary economics Monetary Policy Monetary policy Monetary transmission mechanism Money and Monetary Policy Mortgages Portfolio Choice Reserve requirements |
| ISBN |
9786613826398
9781462336692 1462336698 9781452783444 1452783446 9781283513944 1283513943 9781451909098 1451909098 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. SOME STYLIZED FACTS ON RESERVE REQUIREMENTS AND EXCESS LIQUIDITY IN AFRICAN COUNTRIES""; ""III. MEASUREMENT OF EXCESS LIQUIDITY""; ""IV. EXCESS BANK LIQUIDITY AND MONETARY POLICY TRANSMISSION MECHANISM""; ""V. SUMMARY AND POLICY IMPLICATIONS""; ""References"" |
| Record Nr. | UNINA-9910968749703321 |
|
Saxegaard Magnus
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager [[electronic resource] /] / [prepared by] Michael Papaioannou
| A primer for risk measurement of bonded debt from the perspective of a sovereign debt manager [[electronic resource] /] / [prepared by] Michael Papaioannou |
| Autore | Papaioannou Michael G |
| Pubbl/distr/stampa | [Washington, D.C.], : International Monetary Fund, c2006 |
| Descrizione fisica | 1 online resource (49 p.) |
| Collana | IMF working paper |
| Soggetto topico |
Risk - Econometric models
Interest rates - Econometric models Credit - Econometric models Liquidity (Economics) - Econometric models Government securities - Econometric models Debts, Public - Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-1246-2
1-4527-1987-X 1-282-44811-0 9786613821300 1-4519-9197-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. MEASUREMENT OF MARKET RISK""; ""III. MEASUREMENT OF CREDIT RISK""; ""IV. MEASUREMENT OF LIQUIDITY RISK""; ""V. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A SECURITY WITH N RISK FACTORS""; ""VI. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A PORTFOLIO WITH N RISK FACTORS""; ""VII. EPILOGUE""; ""YIELD DEFINITIONS""; ""THE VALUE-AT-RISK (VAR) METHODOLOGY""; ""REFERENCES"" |
| Record Nr. | UNINA-9910464586603321 |
|
Papaioannou Michael G
|
||
| [Washington, D.C.], : International Monetary Fund, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager / / Michael Papaioannou
| A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager / / Michael Papaioannou |
| Autore | Papaioannou Michael |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (49 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk - Econometric models
Interest rates - Econometric models Credit - Econometric models Liquidity (Economics) - Econometric models Government securities - Econometric models Debts, Public - Econometric models Banks and Banking Investments: Bonds Financing Policy Financial Risk and Risk Management Capital and Ownership Structure Value of Firms Goodwill General Financial Markets: General (includes Measurement and Data) Financial services law & regulation Investment & securities Bonds Credit risk Liquidity risk Market risk Exchange rate risk Financial risk management |
| ISBN |
1-4623-1246-2
1-4527-1987-X 1-282-44811-0 9786613821300 1-4519-9197-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. MEASUREMENT OF MARKET RISK""; ""III. MEASUREMENT OF CREDIT RISK""; ""IV. MEASUREMENT OF LIQUIDITY RISK""; ""V. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A SECURITY WITH N RISK FACTORS""; ""VI. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A PORTFOLIO WITH N RISK FACTORS""; ""VII. EPILOGUE""; ""YIELD DEFINITIONS""; ""THE VALUE-AT-RISK (VAR) METHODOLOGY""; ""REFERENCES"" |
| Record Nr. | UNINA-9910788524703321 |
|
Papaioannou Michael
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager / / Michael Papaioannou
| A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager / / Michael Papaioannou |
| Autore | Papaioannou Michael |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Washington, D.C. : , : International Monetary Fund, , 2006 |
| Descrizione fisica | 1 online resource (49 p.) |
| Collana | IMF Working Papers |
| Soggetto topico |
Risk - Econometric models
Interest rates - Econometric models Credit - Econometric models Liquidity (Economics) - Econometric models Government securities - Econometric models Debts, Public - Econometric models Banks and Banking Bonds Capital and Ownership Structure Credit risk Exchange rate risk Financial Risk and Risk Management Financial risk management Financial services law & regulation Financing Policy General Financial Markets: General (includes Measurement and Data) Goodwill Investment & securities Investments: Bonds Liquidity risk Market risk Value of Firms |
| ISBN |
9786613821300
9781462312467 1462312462 9781452719870 145271987X 9781282448117 1282448110 9781451991970 1451991975 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | ""Contents""; ""I. INTRODUCTION""; ""II. MEASUREMENT OF MARKET RISK""; ""III. MEASUREMENT OF CREDIT RISK""; ""IV. MEASUREMENT OF LIQUIDITY RISK""; ""V. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A SECURITY WITH N RISK FACTORS""; ""VI. AN INTEGRATED APPROACH TO RISK SENSITIVITY FOR A PORTFOLIO WITH N RISK FACTORS""; ""VII. EPILOGUE""; ""YIELD DEFINITIONS""; ""THE VALUE-AT-RISK (VAR) METHODOLOGY""; ""REFERENCES"" |
| Record Nr. | UNINA-9910969923403321 |
|
Papaioannou Michael
|
||
| Washington, D.C. : , : International Monetary Fund, , 2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Transmission of liquidity shocks : evidence from the 2007 subprime crisis / / Nathaniel Frank, Brenda González-Hermosillo, and Heiko Hesse
| Transmission of liquidity shocks : evidence from the 2007 subprime crisis / / Nathaniel Frank, Brenda González-Hermosillo, and Heiko Hesse |
| Autore | Frank Nathaniel |
| Pubbl/distr/stampa | [Washington, District of Columbia] : , : International Monetary Fund, , 2008 |
| Descrizione fisica | 1 online resource (23 p.) |
| Disciplina | 332 |
| Altri autori (Persone) |
González-HermosilloBrenda
HesseHeiko |
| Collana |
IMF Working Papers
IMF working paper |
| Soggetto topico |
Liquidity (Economics) - Econometric models
Subprime mortgage loans - United States - Econometric models Credit - United States - Econometric models Financial crises - United States |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-4623-9615-1
1-4527-3394-5 1-4518-7058-2 1-282-84151-3 9786612841514 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Contents; I. Introduction; II. Transmission of Spillovers during the Subprime Crisis; III. Data; IV. Methodology; V. Results; Figures; 1. Selected Conditional Correlations; 2. Conditional Correlations from Modified DCC Model; VI. Conclusion; References; Appendix Figures; 1. Aggregate Bank Credit Default Swap Rate and Selected Spreads; 2. On-the-Run/Off-the-Run Five-Year U.S. Treasury Bond Spread; 3. United States: Selected Spreads; 4. United States: S&P 500 Stock Market Returns and Credit Default Swap |
| Record Nr. | UNINA-9910463606203321 |
|
Frank Nathaniel
|
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| [Washington, District of Columbia] : , : International Monetary Fund, , 2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
