Sovereign Risk Currency Risk And Corporate Balance Sheets
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Sovereign Risk Currency Risk And Corporate Balance Sheets
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Author : Wenxin Du
language : en
Publisher:
Release Date : 2016
Sovereign Risk Currency Risk And Corporate Balance Sheets written by Wenxin Du and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Nominal debt provides consumption-smoothing benefits if it can be inflated away during recessions. However, we document empirically that countries with more countercyclical inflation, where nominal debt provides better consumption smoothing, issue more foreign-currency debt. We propose that monetary policy credibility explains the currency composition of sovereign debt and nominal bond risks in the presence of risk-averse investors. In our model, low credibility governments inflate during recessions, generating excessively countercyclical inflation in addition to the standard inflationary bias. With countercyclical inflation, investors require risk premia on nominal debt, making nominal debt issuance costly for low credibility governments. We provide empirical support for this mechanism, showing that countries with higher nominal bond-stock betas have significantly larger nominal bond risk premia and borrow less in local currency.
Sovereign Risk And Asset And Liability Management
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Author : Mr.Udaibir S Das
language : en
Publisher: International Monetary Fund
Release Date : 2012-10-04
Sovereign Risk And Asset And Liability Management written by Mr.Udaibir S 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 2012-10-04 with Business & Economics categories.
Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the current generation of sovereign asset and liability management (SALM) approaches, including objectives, definitions of relevant assets and liabilities, and methodologies used in obtaining optimal SALM outcomes. These elements are used in developing an analytical SALM framework which could become an operational instrument in formulating asset management and debtor liability management strategies at the sovereign level. From a portfolio perspective, the SALM approach could help detect direct and derived sovereign risk exposures. It allows analyzing the financial characteristics of the balance sheet, identifying sources of costs and risks, and quantifying the correlations among these sources of risk. The paper also outlines institutional requirements in implementing an SALM framework and seeks to lay the ground for further policy and analytical work on this topic.
Crisis Related Measures In The Financial System And Sovereign Balance Sheet Risks
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2009-07-31
Crisis Related Measures In The Financial System And Sovereign Balance Sheet Risks written by International Monetary Fund 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 2009-07-31 with Business & Economics categories.
This paper examines the fiscal and financial risk implications of support measures in a sovereign balance sheet framework, making the point that the ultimate fiscal cost will depend on how balance sheets are managed—both in the near-term and as governments develop unwinding strategies. It suggests some key principles for efficient and transparent management of new assets, liabilities, and associated risks, and for moving toward an orderly disengagement.
Sovereign Assets And Liabilities Management
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Author : Mr.D. F. I. Folkerts-Landau
language : en
Publisher: International Monetary Fund
Release Date : 2000-07-05
Sovereign Assets And Liabilities Management written by Mr.D. F. I. Folkerts-Landau 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 2000-07-05 with Business & Economics categories.
This volume, edited by David Folkerts-Landau and Marcel Cassard, consists of papers presented at a conference held in Hong Kong SAR that was hosted by the IMF and the Hong Kong Monetary Authority. It focuses on a wide range of issues confronting policymakers in managing their sovereign assets and liabilities in a world of mobile capital and integrated capital markets. Topics include public debt management strategy, central bank reserves management, technical and quantitive aspects of risk management, and credit costs and borrowing capacity in optimizing debt management. The papers draw on experiences of policymakers and private sector participants actively involved in formulating and implementing debt and reserves policy.
Measuring Sovereign Risk In Turkey
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Author : Christian Keller
language : en
Publisher: International Monetary Fund
Release Date : 2007-10
Measuring Sovereign Risk In Turkey written by Christian Keller 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 2007-10 with Business & Economics categories.
Improved macroeconomic conditions and changes to the asset-liability structure on Turkish balance sheets since the 2001 crisis have improved Turkey's overall sovereign risk profile. Nonetheless, the country remains subject to bouts of volatility, as evidenced most recently in the May/June 2006 market turbulence. This paper examines these changes in Turkey's risk profile using the Contingent Claims Approach (CCA), to quantify the evolution of Turkey's sovereign risk, relate risk indicators to market prices of risk, and conduct scenario analyses to assess the effects of potential market volatility and policy adjustments on key risk indicators.
Sovereign Risk Analysis
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Author : Shelagh Heffernan
language : en
Publisher: Routledge
Release Date : 2012
Sovereign Risk Analysis written by Shelagh Heffernan and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Business & Economics categories.
Directed both at students of international finance and practitioners in the field, the book stresses the importance of treating the analysis of sovereign risk in a more general framework than is typically the case, identifying the components of both the demand and supply of sovereign loans. The author also discusses the link between the unique aspects of sovereign lending, the interdependence of the international banking system and the potential instability in the world financial system.
Introduction To Currency Risk
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Author : Alastair Graham
language : en
Publisher: Routledge
Release Date : 2013-11-26
Introduction To Currency Risk written by Alastair Graham and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-26 with Business & Economics categories.
The Currency Risk Management series offers readers, researchers, and financial professional a time-tested training tool for understanding and working in the increasingly complex currency markets. This series breaks new ground in simplicity, clarity, and ease of application in risk management practice.
Central Bank Vulnerability And The Credibility Of Commitments
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Author : Mr.Mario I. Bléjer
language : en
Publisher: International Monetary Fund
Release Date : 1998-05-01
Central Bank Vulnerability And The Credibility Of Commitments written by Mr.Mario I. Bléjer 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 1998-05-01 with Business & Economics categories.
A loss of solvency increases central bank vulnerability, reducing the credibility of commitments to defend a nominal regime, including an exchange rate peg. This paper develops a methodology to assess central bank solvency and exposure to risk. The measure, based on Value-at-Risk, is frequently used to evaluate commercial risk. The paper emphasizes that the ability to sustain nominal commitments cannot be gauged by focusing only on selected accounts (such as reserves), but requires a comprehensive solvency and vulnerability analysis of the monetary authorities’ complete portfolio (including off-balance-sheet operations). The suggested measure has powerful reporting value and its disclosure could improve monitoring of sovereign solvency risk.
Assessing Country Risk
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Author : Mr.Ashvin Ahuja
language : en
Publisher: International Monetary Fund
Release Date : 2017-06-01
Assessing Country Risk written by Mr.Ashvin Ahuja 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 2017-06-01 with Business & Economics categories.
Assessing country risk is a core component of surveillance at the IMF. It is conducted through a comprehensive architecture, covering both bilateral and multilateral dimensions. This note describes some of the approaches used internally by Fund staff to examine a wide array of systemic risks across advanced, emerging, and low-income economies. It provides a high-level view of the theory and methodologies employed, with an on-line companion guide providing more technical details of implementation. The guide will be updated as Fund staff’s methodologies for assessing country risk continue to evolve with experience and feedback. While the results of these approaches are not published by the IMF for market sensitivity reasons, they inform risk assessments featured in bilateral surveillance as well as in the IMF’s flagship publications on global surveillance.
Foreign Currency Bank Funding And Global Factors
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Author : Signe Krogstrup
language : en
Publisher: International Monetary Fund
Release Date : 2018-05-09
Foreign Currency Bank Funding And Global Factors written by Signe Krogstrup 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 2018-05-09 with Business & Economics categories.
The literature on the drivers of capital flows stresses the prominent role of global financial factors. Recent empirical work, however, highlights how this role varies across countries and time, and this heterogeneity is not well understood. We revisit this question by focusing on financial intermediaries’ funding flows in different currencies. A concise portfolio model shows that the sign and magnitude of the response of foreign currency funding flows to global risk factors depend on the financial intermediary’s pre-existing currency exposure. An analysis of a rich dataset of European banks’ aggregate balance sheets lends support to the model predictions, especially in countries outside the euro area.