This paper develops a real options framework to analyze the behavior of stock returns in mergers and acquisitions. In this framework, the timing and terms of takeovers are endogenous and result from value-maximizing decisions. The implications of the model for abnormal announcement returns are...

This paper develops a default-risky bond pricing model, which assumes that the default intensity is driven by a Markov chain and which accounts for default and liquidity risk. A representation of the bond price dynamics, which separates three different types of risk, was obtained. Introducing...

In this paper, we extend the earlier results of Jeanblanc and Valchev (2003) in the single name case to the case of multiple defaults of the issuers in a concentrated industry or homo- geneous bond market. We provide solutions for the pairwise default correlations and credit spreads in an...

This paper presents a new method to detect informed trading activities in the options markets.An option trade is identified as informed when it is characterized by an unusual largeincrement in open interest and volume, induces large gains, and is not hedged in the stock market.For the period...

We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail...

This paper discusses the United Republic of Tanzania’s 2007 Article IV Consultation and First Review under the Policy Support Instrument. The report focuses on sustaining Tanzania’s recent strong economic performance, broad-based growth, and more rapid poverty reduction. This would...

This 2007 Article IV Consultation highlights that following an extended boom led by strong domestic demand, the slowdown in the United States has largely reflected a drag from residential investment as the housing market has weakened substantially. Unexpected weakness in business investment and...

The paper models export taxation of a primary commodity in a large country under two hypotheses about the structure of its export market. The first is perfect competition among exporters, where there is an indefinite number of buyers of the local product and at least a partial pass-through of...

This paper seeks to draw lessons from the IMF’s experience in handling financial crises around the globe over the past ten years that are relevant to the challenges faced by countries in Latin America, especially in the wake of the recent crisis in Argentina. Experience suggests that...

This paper addresses the challenges to prudential supervision in highly dollarized economies, where central banks and supervisors may be constrained in the use of standard money and financial policy tools. The study’s conclusions are the basis of an ongoing policy dialogue with IMF member...