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Policy Responses to Capital Flows in Emerging Markets

Pradhan, Mahmood; Balakrishnan, Ravi; Baqir, Reza; … - International Monetary Fund (IMF) - 2011

Staff Discussion Notes showcase the latest policy-related analysis and research being developed by individual IMF staff and are published to elicit comment and to further debate. These papers are generally brief and written in nontechnical language, and so are aimed at a broad audience...

Persistent link: https://www.econbiz.de/10010790479

The Contingent Claims Approach to Corporate Vulnerability Analysis; Estimating Default Risk and Economy-Wide Risk Transfer

Xiao, Yingbin; Gray, Dale F.; Lim, Cheng Hoon; Gapen, … - International Monetary Fund (IMF) - 2004

In this paper, we examine the ability of the contingent claims approach (CCA) to identify corporate sector and economy-wide vulnerabilities. We apply the Moody's MfRisk model, which uses aggregated CCA principles, to assess vulnerabilities retroactively in two historical country cases. The...

Persistent link: https://www.econbiz.de/10005599251

Financial Instruments to Hedge Commodity Price Risk for Developing Countries

Lu, Yinqiu; Neftci, Salih N. - International Monetary Fund (IMF) - 2008

Many developing economies are heavily exposed to commodity markets, leaving them vulnerable to the vagaries of international commodity prices. This paper examines the use of commodity options-including plain vanilla, risk reversal, and barrier options-to hedge such risk. It then proposes the use...

Persistent link: https://www.econbiz.de/10005604862

Measuring off-Balance-Sheet Leverage

Breuer, Peter - International Monetary Fund (IMF) - 2000

-balance-sheet activities. This paper provides measures of leverage implicit in derivative contracts by decomposing the contracts into cash …

Persistent link: https://www.econbiz.de/10005263810

Taxing Financial Transactions; Issues and Evidence

Matheson, Thornton - International Monetary Fund (IMF) - 2011

In reaction to the recent financial crisis, increased attention has recently been given to financial transaction taxes (FTTs) as a means of (1) raising revenue for a variety of possible purposes and/or (2) helping to curb financial market excesses. This paper reviews existing theory and evidence...

Persistent link: https://www.econbiz.de/10008876594

Managing Capital Inflows; What Tools to Use?

Ostry, Jonathan David; Ghosh, Atish R.; Habermeier, … - International Monetary Fund (IMF) - 2011

Persistent link: https://www.econbiz.de/10011245886

The Impact of Index Futures on Spot Market Volatility in China

Xie, Shiqing; Huang, Jiajun - In: Emerging Markets Finance and Trade 50 (2014) 1S, pp. 167-177

investigate the impact of index futures trading on the volatility of the spot market in China. Our three main findings are as … follows: (1) the launch of index futures does not decrease the volatility of the spot market; (2) there is a decrease in …

Persistent link: https://www.econbiz.de/10010775203

Stock Futures Introduction & Its Impact on Indian Spot Market

Bhattacharyya, Surajit; Saxena, Arunima - Volkswirtschaftliche Fakultät, … - 2008

-run volatility in the spot market increases; Paudyal et al. (2005). Harris (1989) finds that increased volatility in the spot market …, listed on NSE for the period August 2005 to May 2008. Using Hoadley Options, volatility modeled by GARCH (1, 1) is estimated …. Considering both volume and volatility, mixed evidences are witnessed. Futures introduction has some stabilizing effect on large …

Persistent link: https://www.econbiz.de/10008561159

Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market

Alverola, Ricardo - In: Lecturas de Economía (2007) 66, pp. 251-276

Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a …

Persistent link: https://www.econbiz.de/10005464641

Volatility Estimation and Stock Price Prediction in the Nigerian Stock Market

Mayowa Gabriel, AJAO; Mary Ugochukwu, WEMAMBU - In: International Journal of Financial Research 3 (2012) 1, pp. 2-14

This study aimed at understanding the Nigerian Stock Market with regards to volatility and prediction, to this effect … volatility. The study found the presence of volatility in all the four stock prices used, while stock price volatility was then …, only two companies¡¯ stock prices were predicted by volatility in their stock prices, while past stock prices predicted …

Persistent link: https://www.econbiz.de/10011267758