Identification And Testing Of A Term Structure Relationship For Country And Currency Risk Premia In An Emerging Market
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Identification And Testing Of A Term Structure Relationship For Country And Currency Risk Premia In An Emerging Market
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Author : Ian Domowitz
language : en
Publisher:
Release Date : 2008
Identification And Testing Of A Term Structure Relationship For Country And Currency Risk Premia In An Emerging Market written by Ian Domowitz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This paper uses a term structure of Mexican sovereign debt to create measures of country and currency risk premia. We use these measures to test hypothesis about investors' expectations regarding these risks and their relationship to volatility in securities markets. In the period 1993-94, the behavior of these two risk premia are markedly different. Interestingly, the currency premium is considerably larger and more volatile than its country risk counterpart. We find that increases in stock return volatility translate into increases in the premium demanded by investors with respect to currency and country factors. Investors appear to have long memories, in that the premia are more persistent than equity market volatility shocks.
Emerging Market Capital Flows
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Author : Richard M. Levich
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Emerging Market Capital Flows written by Richard M. Levich and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
In a little over one decade, the spread of market-oriented policies has turned the once so-called lesser developed countries into emerging markets. Many forces have been responsible for the tremendous growth in emerging markets. Trends toward market-oriented policies that permit private ownership of economic activities, such as public utilities and telecommunications, are part of the explanation. Corporate restructuring, following the debt crisis of the early 1980's has permitted many emerging market companies to gain international competitiveness. And an essential condition, a basic sea-change in economic policy, has opened up many emerging markets to international investors. This growth in emerging markets has been accompanied by volatility in individual markets, and a sector-wide shock after the meltdown in the Mexican Bolsa and Mexican peso, resulting in heated debate over the nature of these markets. Emerging market capital flows continue to be the subject of intense discussion around the world among investors, academics, and policymakers. Emerging Market Capital Flows examines the issues of emerging market capital flows from several distinct perspectives, addressing a number of related questions about emerging markets.
International Convergence Of Capital Measurement And Capital Standards
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Author :
language : en
Publisher: Lulu.com
Release Date : 2004
International Convergence Of Capital Measurement And Capital Standards written by and has been published by Lulu.com this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bank capital categories.
Determinants Of Emerging Market Sovereign Bond Spreads
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Author : Iva Petrova
language : en
Publisher: International Monetary Fund
Release Date : 2010-12-01
Determinants Of Emerging Market Sovereign Bond Spreads written by Iva Petrova and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-12-01 with Business & Economics categories.
This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
Preemptive Policies And Risk Off Shocks In Emerging Markets
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Author : Ms. Mitali Das
language : en
Publisher: International Monetary Fund
Release Date : 2022-01-07
Preemptive Policies And Risk Off Shocks In Emerging Markets written by Ms. Mitali Das and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-07 with Business & Economics categories.
We show that “preemptive” capital flow management measures (CFM) can reduce emerging markets and developing countries’ (EMDE) external finance premia during risk-off shocks, especially for vulnerable countries. Using a panel dataset of 56 EMDEs during 1996–2020 at monthly frequency, we document that countries with preemptive policies in place during the five year window before risk-off shocks experienced relatively lower external finance premia and exchange rate volatility during the shock compared to countries which did not have such preemptive policies in place. We use the episodes of Taper Tantrum and COVID-19 as risk-off shocks. Our identification relies on a difference-in-differences methodology with country fixed effects where preemptive policies are ex-ante by construction and cannot be put in place as a response to the shock ex-post. We control the effects of other policies, such as monetary policy, foreign exchange interventions (FXI), easing of inflow CFMs and tightening of outflow CFMs that are used in response to the risk-off shocks. By reducing the impact of risk-off shocks on countries’ funding costs and exchange rate volatility, preemptive policies enable countries’ continued access to international capital markets during troubled times.
Stress Testing At The Imf
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Author : Mr.Tobias Adrian
language : en
Publisher: International Monetary Fund
Release Date : 2020-02-05
Stress Testing At The Imf written by Mr.Tobias Adrian and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-02-05 with Business & Economics categories.
This paper explains specifics of stress testing at the IMF. After a brief section on the evolution of stress tests at the IMF, the paper presents the key steps of an IMF staff stress test. They are followed by a discussion on how IMF staff uses stress tests results for policy advice. The paper concludes by identifying remaining challenges to make stress tests more useful for the monitoring of financial stability and an overview of IMF staff work program in that direction. Stress tests help assess the resilience of financial systems in IMF member countries and underpin policy advice to preserve or restore financial stability. This assessment and advice are mainly provided through the Financial Sector Assessment Program (FSAP). IMF staff also provide technical assistance in stress testing to many its member countries. An IMF macroprudential stress test is a methodology to assess financial vulnerabilities that can trigger systemic risk and the need of systemwide mitigating measures. The definition of systemic risk as used by the IMF is relevant to understanding the role of its stress tests as tools for financial surveillance and the IMF’s current work program. IMF stress tests primarily apply to depository intermediaries, and, systemically important banks.
Global Factors In The Term Structure Of Interest Rates
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Author : Mirko Abbritti
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-05
Global Factors In The Term Structure Of Interest Rates written by Mirko Abbritti and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-05 with Business & Economics categories.
This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.
Estimating And Interpreting Forward Interest Rates
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Author : Mr.Lars E. O. Svensson
language : en
Publisher: International Monetary Fund
Release Date : 1994-09-01
Estimating And Interpreting Forward Interest Rates written by Mr.Lars E. O. Svensson and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-09-01 with Business & Economics categories.
The use of forward interest rates as a monetary policy indicator is demonstrated, using Sweden 1992-1994 as an example. The forward rates are interpreted as indicating market expectations of the time-path of future interest rates, future inflation rates, and future currency depreciation rates. They separate market expectations for the short-, medium-, and long-term more easily than the standard yield curve. Forward rates are estimated with an extended and more flexible version of Nelson and Siegel’s functional form.
Factor Investing And Asset Allocation A Business Cycle Perspective
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Author : Vasant Naik
language : en
Publisher: CFA Institute Research Foundation
Release Date : 2016-12-30
Factor Investing And Asset Allocation A Business Cycle Perspective written by Vasant Naik and has been published by CFA Institute Research Foundation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-30 with Business & Economics categories.
A Macroeconomic Approach To The Term Premium
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Author : Emanuel Kopp
language : en
Publisher: International Monetary Fund
Release Date : 2018-06-15
A Macroeconomic Approach To The Term Premium written by Emanuel Kopp and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-06-15 with Business & Economics categories.
In recent years, term premia have been very low and sometimes even negative. Now, with the United States economy growing above potential, inflationary pressures are on the rise. Term premia are very sensitive to the expected future path of growth, inflation, and monetary policy, and an inflation surprise could require monetary policy to tighten faster than anticipated, inducing to a sudden decompression of term and other risk premia, thus tightening financial conditions. This paper proposes a semi-structural dynamic term structure model augmented with macroeconomic factors to include cyclical dynamics with a focus on medium- to long-run forecasts. Our results clearly show that a macroeconomic approach is warranted: While term premium estimates are in line with those from other studies, we provide (i) plausible, stable estimates of expected long-term interest rates and (ii) forecasts of short- and long-term interest rates as well as cyclical macroeconomic variables that are stunningly close to those generated from large-scale macroeconomic models.