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Year of publication
Subject
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bond index 76 bond 71 financial markets 59 bonds 56 emerging market bond 47 market bond 47 bond market 41 financial stability 40 financial market 37 financial system 37 bond spreads 36 bond markets 35 international capital 35 sovereign bond 35 stock market 33 bond yields 32 international financial markets 30 sovereign bonds 30 corporate bonds 29 government bond 29 government bonds 29 financial sector 28 bond spread 27 financial institutions 27 international capital markets 27 equity markets 26 international financial statistics 26 Emerging markets 25 corporate bond 24 international finance 24 financial assets 21 international reserves 21 treasury bonds 21 Economic models 20 hedge 20 currency crises 19 emerging market bonds 19 global bond 19 international bond 19 bond prices 18
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Online availability
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Free 76 Undetermined 1
Type of publication
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Book / Working Paper 73 Article 4 Other 1
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2 review-article 1
Language
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English 46 Undetermined 32
Author
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Mody, Ashoka 5 Ong, Li L. 4 Zettelmeyer, Jeromin 4 Cihák, Martin 3 Eichengreen, Barry J. 3 Mauro, Paolo 3 Catão, Luis 2 Chan-Lau, Jorge A. 2 Das, Udaibir S. 2 Gelos, Gaston 2 González-Hermosillo, Brenda 2 Goswami, Mangal 2 Ivaschenko, Iryna V. 2 Jobst, Andreas 2 Kletzer, Kenneth 2 Lall, Subir 2 Luengnaruemitchai, Pipat 2 Sy, Amadou N. R. 2 Agca, Senay 1 Akitoby, Bernardin 1 Andritzky, Jochen R. 1 Arezki, Rabah 1 Artikis, George P. 1 Ausubel, Lawrence 1 Baldacci, Emanuele 1 Bannister, Geoffrey J. 1 Becker, Törbjörn I. 1 Benelli, Roberto 1 Borensztein, Eduardo 1 Bruckner, Markus 1 Bunda, Irina 1 Cady, John 1 Cavallo, Eduardo A. 1 Celasun, Oya 1 Chakravorti, Sujit 1 Chen, Steven Shu-Hsiu 1 Chung, Chien-Ping 1 Cohen, Daniel 1 Comelli, Fabio 1 Csonto, Balazs 1
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Institution
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International Monetary Fund (IMF) 73 International Monetary Fund 10
Published in...
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IMF Working Papers 62 IMF Staff Country Reports 9 IMF Occasional Papers 2 European Research Studies Journal 1 Journal of financial and quantitative analysis : JFQA 1 Managerial Finance 1 Romanian journal of economic forecasting 1
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Source
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RePEc 74 ECONIS (ZBW) 2 BASE 1 Other ZBW resources 1
Showing 1 - 50 of 78
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Synthetic options and implied volatility for the corporate bond market
Chen, Steven Shu-Hsiu; Doshi, Hitesh; Seo, Sang Byung - In: Journal of financial and quantitative analysis : JFQA 58 (2023) 3, pp. 1295-1325
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014309492
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Shocks from the sub-prime crisis to bond indices in the U.S., the EU and emerging markets via CDS indices
Fang, Hao; Shen, Chung-hua; Yau, Hwey-Yun; Chung, Chien-Ping - In: Romanian journal of economic forecasting 22 (2019) 3, pp. 5-24
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Country Transparency and the Global Transmission of Financial Shocks
Marques, Luís Brandão; Gelos, Gaston; Melgar, Natalia - International Monetary Fund (IMF) - 2013
This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers. We provide a simple model where, in the presence of ambiguity (uncertainty about the probability distribution of returns), prices in emerging...
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Determinants of Sovereign Bond Spreads in Emerging Markets; Local Fundamentals and Global Factors vs. Ever-Changing Misalignments
Csonto, Balazs; Ivaschenko, Iryna V. - International Monetary Fund (IMF) - 2013
We analyze the relationship between global and country-specific factors and emerging market debt spreads from three different angles. First, we aim to disentangle the effect of global and country-specific developments, and find that while both country-specific and global developments are...
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Mexico: Staff Report for the 2013 Article IV Consultation
International Monetary Fund (IMF); International … - 2013
This 2013 Article IV Consultation highlights that over the past year, Mexico has maintained macroeconomic policy continuity, while pursuing an ambitious agenda of growth-enhancing reforms. Reforms have already been approved to upgrade education, make labor markets more flexible, and foster...
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What’s in it for Me? A Primeron Differences between Islamic and Conventional Finance in Malaysia
Krasicka, Olga; Nowak, Sylwia - International Monetary Fund (IMF) - 2012
What attracts conventional investors to Islamic financial instruments? We answer this question by comparing Malaysian Islamic and conventional security prices and their response to macrofinancial factors. Our analysis suggests that Islamic and conventional bond and equity prices are driven by...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10011142164
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Emerging Market Sovereign Bond Spreads; Estimation and Back-testing
Comelli, Fabio - International Monetary Fund (IMF) - 2012
We estimate sovereign bond spreads of 28 emerging economies over the period January 1998-December 2011 and test the ability of the model in generating accurate in-sample predictions for emerging economies bond spreads. The impact and significance of country-specific and global explanatory...
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Fiscal Foresight and Information Flows
Walker, Todd B.; Leeper, Eric M.; Yang, Shu-Chun S. - International Monetary Fund (IMF) - 2012
News - or foresight - about future economic fundamentals can create rational expectations equilibria with non-fundamental representations that pose substantial challenges to econometric efforts to recover the structural shocks to which economic agents react. Using tax policies as a leading...
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Mexico; Staff Report for the 2012 Article IV Consultation
International Monetary Fund (IMF); International … - 2012
The IMF staff report on Mexico’s financial policies has been satisfactory; these policies have been said to act as a buffer against risks that erupted during the global economic crisis. Mexico has been identified as a prudent and fairly well-managed economy. However, the issues that would...
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The Development of Local Debt Markets in Asia
Goswami, Mangal; Sharma, Sunil - International Monetary Fund (IMF) - 2011
The paper makes an assessment of the progress made in developing local debt markets in emerging Asia. Market development has been limited by hurdles confronting borrowers and lenders, current and potential liquidity providers, and insufficient support from government policies and regulations....
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Asean Bond Market Development; Where Does it Stand? Where is it Going?
Pradhan, Mahmood; Peiris, Shanaka J.; Goswami, Mangal; … - International Monetary Fund (IMF) - 2011
Since the Asian crisis, ASEAN5 countries have expended considerable effort in trying to develop their domestic bond markets. Yet today these markets are not much larger, relative to GDP, than they were a decade before. How can we explain this? And does this mean that domestic markets have not,...
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Mexico; Arrangement Under the Flexible Credit Line and Cancellation of the Current Arrangement
International Monetary Fund (IMF); International … - 2011
Strong economic fundamentals, robust policy framework, and a sustained track record of excellent policy implementation have facilitated the maintenance of orderly economic conditions in Mexico even amidst the substantial external volatility during the global crisis. Executive Directors welcomed...
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Can You Map Global Financial Stability?
Puig, Jaume; Miyajima, Ken; McCaughrin, Rebecca; … - International Monetary Fund (IMF) - 2010
The Global Financial Stability Map was developed as a tool to interpret the risks and conditions that impact financial stability in a graphical manner. It complements other existing tools for assessing financial stability, and seeks to overcome some of the drawbacks of earlier approaches. This...
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Dynamic Loan Loss Provisions in Uruguay; Properties, Shock Absorption Capacity and Simulations Using Alternative Formulas
Wezel, Torsten - International Monetary Fund (IMF) - 2010
This paper assesses the merits of countercyclical loan loss provisioning in Uruguay. Using a stress test methodology, it quantifies the protection against macroeconomic shocks provided by the stock of dynamic provisions accumulated since 2001 and finds that medium-sized shocks would be fully...
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Currency Hedging for International Portfolios
Schmittmann, Jochen M. - International Monetary Fund (IMF) - 2010
This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially...
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Beyond Aid; How Much Should African Countries Pay to Borrow?
Gueye, Cheikh A.; Sy, Amadou N. R. - International Monetary Fund (IMF) - 2010
Post debt relief, the number of African countries considering accessing international capital markets, often to fund large infrastructure projects, is increasing. Potential risks of capital inflows are well known but the literature offers little help to estimate the cost of borrowing...
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Correlations in Emerging Market Bonds; The Role of Local and Global Factors
Hamann, A. Javier; Bunda, Irina; Lall, Subir - International Monetary Fund (IMF) - 2010
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or...
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Resource Windfalls and Emerging Market Sovereign Bond Spreads; The Role of Political Institutions
Arezki, Rabah; Bruckner, Markus - International Monetary Fund (IMF) - 2010
We examine the effect that revenue windfalls from international commodity price shocks have on sovereign bond spreads using panel data for 30 emerging market economies during the period 1997-2007. Our main finding is that positive commodity price shocks lead to a significant reduction in the...
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Macroprudential Regulation Under Repo Funding
Valderrama, Laura - International Monetary Fund (IMF) - 2010
The use of collateral has become one of the most widespread risk mitigation techniques. While it brings stabilizing effects to the individual lender we argue that it may exacerbate systemic risk through margin call activation. We show how a liquidity shock to the cash lender may propagate as a...
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Five Years After; European Union Membership and Macro-Financial Stability in the New Member States
Cihák, Martin; Fonteyne, Wim - International Monetary Fund (IMF) - 2009
The proximity of the European Union, the prospect of membership, and actual entry by the New Member States (NMS) increased economic and financial integration in the region, leading to fast economic growth based on sizeable capital inflows. EU membership helped in developing sound macroeconomic...
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How Does Public External Debt Affect Corporate Borrowing Costs in Emerging Markets?
Celasun, Oya; Agca, Senay - International Monetary Fund (IMF) - 2009
Using data on syndicated loan issuances by emerging market firms, we find that an increase in the external debt of emerging market governments significantly raises the borrowing costs of the domestic corporate sector. This finding suggests that a higher level of public external debt "crowds out"...
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Macroeconomic Fundamentals, Price Discovery and Volatility Dynamics in Emerging Markets
International Monetary Fund (IMF); International … - 2009
This study characterizes volatility dynamics in external emerging bond markets and examines how prices and volatility respond to news about macroeconomic fundamentals. As in mature bond markets, macroeconomic surprises in external emerging bond markets are found to a¤ect both conditional...
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Euro Area Monetary Policy in Uncharted Waters
Stavrev, Emil; Harjes, Thomas; Cihák, Martin - International Monetary Fund (IMF) - 2009
We analyze the European Central Bank's (ECB's) response to the global financial crisis. Our results suggest that even during the crisis, the core part of ECB's monetary policy transmission-from policy rates to market rates-has continued to operate, but at a decreased efficiency. We also find...
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Israel; 2008 Article IV Consultation: Staff Report; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for Israel.
International Monetary Fund (IMF); International … - 2009
The staff report for the 2008 Article IV Consultation of Israel on economic developments and policies is examined. Fiscal and monetary credentials have been established in markets. Banks and their supervisory arrangements have been robust, and growth has been strong, sustained, and balanced....
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Republic of Korea; 2009 Article IV Consultation: Staff Report; Staff Statement; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for the Republic of Korea
International Monetary Fund (IMF); International … - 2009
This 2009 Article IV Consultation highlights that like other open economies, Korea was hard hit by the global financial crisis during the last quarter of 2008. The authorities responded with a timely and comprehensive set of financial market and macrostabilization measures. Executive Directors...
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Euro Area Policies; Selected Issues
International Monetary Fund (IMF); International … - 2009
This Selected Issues paper discusses the effectiveness of monetary policy in the euro area in the context of the financial crisis, the need for special resolution regimes for financial institutions in the European Union (EU), and the proposed new EU financial stability arrangements. The paper...
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Investors’ Risk Appetite and Global Financial Market Conditions
González-Hermosillo, Brenda - International Monetary Fund (IMF) - 2008
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market...
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Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets
Gupta, Sanjeev; Mati, Amine; Baldacci, Emanuele - International Monetary Fund (IMF) - 2008
Using a panel of 30 emerging market economies from 1997 to 2007, this paper investigates the determinants of country risk premiums as measured by sovereign bond spreads. Unlike previous studies, the results indicate that both fiscal and political factors matter for credit risk in emerging...
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Emerging Market Spread Compression; Is it Real or is it Liquidity?
Kodres, Laura E.; Hartelius, Kristian; Kashiwase, Kenichiro - International Monetary Fund (IMF) - 2008
Despite recent turmoil, spreads on emerging market countries' sovereign bonds have fallen dramatically since mid-2002. Some have attributed the fall to improved economic fundamentals while others to ample global liquidity. The paper models spreads and attempts to empirically distinguish between...
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Strategic Considerations for First-Time Sovereign Bond Issuers
Polan, Magdalena; Das, Udaibir S.; Papaioannou, Michael G. - International Monetary Fund (IMF) - 2008
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...
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The Capital Markets of Emerging Europe; Institutions, Instruments and Investors
Ong, Li L.; Iorgova, Silvia - International Monetary Fund (IMF) - 2008
Emerging European countries have made large strides in developing their local capital markets since the early-1990s. However, the rate of development has been widely disparate across countries and market segments, underpinned by the varying degrees of progress made in key areas such as...
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Republic of Croatia; Financial System Stability Assessment: Update
International Monetary Fund (IMF); International … - 2008
The 2002 Financial Stability Assessment Program (FSAP) found that the Croatian financial system was resilient, but vulnerabilities remain. The authorities have been proactive in addressing macroeconomic and financial vulnerabilities associated with rapid credit growth and have also taken...
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Macroeconomic Implications of Financial Dollarization; The Case of Uruguay
Gelos, Gaston; Mejía, Alejandro López; Piñón-Farah, … - International Monetary Fund (IMF) - 2008
Uruguay has experienced a remarkable recovery since the 2002 crisis, supported by sound policies and favorable external conditions. With the framework put in place in 2002, Uruguay abandoned an exchange rate peg in favor of a free float, adoped a monetary regime initially based on money targets,...
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Country Insurance; The Role of Domestic Policies
Mauro, Paolo; Becker, Törbjörn I.; Ostry, Jonathan David - International Monetary Fund (IMF) - 2007
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Contagion Risk in the International Banking System and Implications for London As a Global Financial Center
Chan-Lau, Jorge A.; Mitra, Srobona; Ong, Li L. - International Monetary Fund (IMF) - 2007
In this paper, we use the extreme value theory (EVT) framework to analyze contagion risk across the international banking system. We test for the likelihood that an extreme shock affecting a major, systemic U.K. bank would also affect another large local or foreign counterpart, and vice-versa....
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Do Economists' and Financial Markets' Perspectiveson the New Members of the Eu Differ?
Schadler, Susan; Luengnaruemitchai, Pipat - International Monetary Fund (IMF) - 2007
In the past several years, the ten new Central and Eastern European members of the European Union have enjoyed rapid growth but frequently alongside growing external imbalances. Economists have pointed to rising vulnerabilities, but markets compressed sovereign bond yields. This paper examines...
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The Determinants of Corporate Risk in Emerging Markets; An Option-Adjusted Spread Analysis
Cavallo, Eduardo A.; Valenzuela, Patricio - International Monetary Fund (IMF) - 2007
This study explores the determinants of corporate bond spreads in emerging markets economies. Using a largely unexploited dataset, the paper finds that corporate bond spreads are determined by firm-specific variables, bond characteristics, macroeconomic conditions, sovereign risk, and global...
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The Equity Premium Puzzle, Ambiguity Aversion, and Institutional Quality
Mirakhor, Abbas; Erbas, S. Nuri - International Monetary Fund (IMF) - 2007
With cross-section data from 53 emerging and mature markets, we provide evidence that equity premium puzzle is a global phenomenon. In addition to risk aversion, equity premium may reflect ambiguity aversion. We explore the sources of equity premium using some pertinent fundamental independent...
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Persistent Gaps, Volatility Types, and Default Traps
Fostel, Ana; Kapur, Sandeep; Catão, Luis - International Monetary Fund (IMF) - 2007
We show that cross-country differences in the underlying volatility and persistence of macroeconomic shocks help explain two historical regularities in sovereign borrowing: the existence of "vicious" circles of borrowing-and-default ("default traps"), as well as the fact that recalcitrant...
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Financial Linkages Between the U.S. and Latin Amercia; Evidence From Daily Data
Ganguly, Srideep; Benelli, Roberto - International Monetary Fund (IMF) - 2007
Motivated by recent bursts of global financial market turbulence, this paper investigates the linkages between the financial markets in the United States and those of the seven largest Latin American economies, focusing on the impact of shocks originating in the U.S. stock, bond, and currency...
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The Effect of External Conditionson Growth in Latin America
Zettelmeyer, Jeromin; Österholm, Pär - International Monetary Fund (IMF) - 2007
This paper investigates the sensitivity of Latin American GDP growth to external developments using a Bayesian VAR model with informative steady-state priors. The model is estimated on quarterly data from 1994 to 2006 on key external and Latin American variables. It finds that 50 to 60 percent...
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Estimating Spillover Risk Among Large EU Banks
Ong, Li L.; Cihák, Martin - International Monetary Fund (IMF) - 2007
The paper examines the scope for cross-border spillovers among major EU banks using information contained in the stock prices and financial statements of these banks. The results suggest that spillovers within domestic banking systems generally remain more likely, but the number of significant...
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Bond Markets As Conduits for Capital Flows; How Does Asia Compare?
Luengnaruemitchai, Pipat; Eichengreen, Barry J. - International Monetary Fund (IMF) - 2006
We use data on the extent to which residents of one country hold the bonds of issuers resident in another as a measure of financial integration or interrelatedness, asking how Asia compares with Europe and Latin America and with the base case in which the purchaser and issuer of the bonds reside...
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Toward a Lender of First Resort
Cohen, Daniel; Portes, Richard - International Monetary Fund (IMF) - 2006
If interest rates (country spreads) rise, debt can rapidly be subject to a snowball effect, which becomes self-fulfilling with regard to the fundamentals themselves. This is a market imperfection, because we cannot be confident that the unaided market will choose the "good" over the "bad"...
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Asian Equity Markets; Growth, Opportunities, and Challenges
Kramer, Charles Frederick; Purfield, Catriona; Oura, Hiroko - International Monetary Fund (IMF) - 2006
Asian equity markets have grown significantly in size since the early 1990s, driven by strong international investor inflows, growing regional financial integration, capital account liberalization, and structural improvements to markets. The development of equity markets provides a more...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005599719
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The External Financing of Emerging Market Countries; Evidence From Two Waves of Financial Globalization
Zaklan, Aleksandar; Mauro, Paolo; Minnoni, Martín; … - International Monetary Fund (IMF) - 2006
We trace the history of where and why investors from the most advanced countries directed funds, ultimately helping finance economic development in emerging market countries. To do this, we analyze the determinants of international investors' willingness to hold the external liabilities issued...
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Fiscal Policy and Financial Markets
Akitoby, Bernardin; Stratmann, Thomas - International Monetary Fund (IMF) - 2006
This paper introduces fiscal policy in a model of sovereign risk spreads ("spreads"). Using panel data from emerging market countries, we find that reductions in public expenditure are a more powerful tool for reducing spreads than increases in revenues. Specifically, cuts in current spending...
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The Impact of Macroeconomic Announcementson Emerging Market Bonds
Andritzky, Jochen R.; Bannister, Geoffrey J.; Tamirisa, … - International Monetary Fund (IMF) - 2005
This paper examines how emerging bond markets react to macroeconomic announcements. Global bond spreads respond to rating actions and changes in global interest rates rather than domestic data and policy announcements. All announcements affect market volatility. Data and policy announcements...
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Quality of Financial Policies and Financial System Stress
Das, Udaibir S.; Yossifov, Plamen; Podpiera, Richard; … - International Monetary Fund (IMF) - 2005
In this paper, we develop multi-country indices of financial system stress and quality of financial policies and use them in regression analysis of the determinants of financial stress. We find that countries with higher quality of financial policies are better able to contain the effects of...
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A Fiscal Price Tag for International Reserves
Hauner, David - International Monetary Fund (IMF) - 2005
This paper examines the (quasi-)fiscal impact of the (opportunity) cost of international reserves. It proposes a conceptual framework, with particular emphasis on two hitherto somewhat neglected aspects: a more appropriate measure of gross opportunity cost, and potential savings from lower...
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