This paper presents some conventional and new measures of market, credit, and liquidity risks for government bonds. These measures are analyzed from the perspective of a sovereign's debt manager. In particular, it examines duration, convexity, M-square, skewness, kurtosis, and VaR statistics as...

In managing their foreign exchange exposure, international investors, including central banks, often compare actual portfolios with hypothetical portfolios that have been calculated using certain assumptions regarding the statistical properties of interest rates and exchange rates. One of these...

During the last decade, a number of new financial instruments and derivative products related to the Greek drachma have emerged in local as well as international capital markets. The paper analyzes the characteristics of these financial instruments which are traded in organized exchanges and...

This paper examines whether decisions about the appropriate exchange rate regime in six Central American countries were based on longer-run economic fundamentals or on the confluence of historical and political circumstances. To uncover any actual relationship both across countries and across...

The recent round of debt relief has restored debt sustainability in many low-income countries (LICs). This, along with a continued search for yield and desire for portfolio diversification by investors, has increased the range of viable financing options, including international bonds, for many...

Measuring and managing exchange rate risk exposure is important for reducing a firm's vulnerabilities from major exchange rate movements, which could adversely affect profit margins and the value of assets. This paper reviews the traditional types of exchange rate risk faced by firms, namely...

In managing their foreign exchange exposure, international investors, including central banks, often compare actual portfolios with hypothetical portfolios that have been calculated using certain assumptions regarding the statistical properties of interest rates and exchange rates. One of these...

In evaluating their foreign exchange exposure, international investors often compare actual portfolios with those calculated under the assumption that the variability of returns on various currency assets is time invariant. This paper uses autoregressive conditional heteroskedastic (ARCH) models...

This study examines convergence in aggregate labor productivity levels, using data on the 67 provinces of Turkey over the period 1975-1990. Markov chains, a nonparametric approach, are applied to characterize the long run tendency of labor productivity. Evidence shows polarization: the...