Local Currency Sovereign Risk PDF Download
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| Author | : Wenxin Du |
| Publisher | : |
| Total Pages | : 61 |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Local Currency Sovereign Risk Book in PDF, ePub and Kindle
We introduce a new measure of emerging market sovereign credit risk: the local currency credit spread, defined as the spread of local currency bonds over the synthetic local currency risk-free rate constructed using cross-currency swaps. We find that local currency credit spreads are positive and sizable. Compared with credit spreads on foreign currency-denominated debt, local currency credit spreads have lower means, lower cross-country correlations, and lower sensitivity to global risk factors. We discuss several major sources of credit spread differentials, including positively correlated credit and currency risk, selective default, capital controls and various financial market frictions.
| Author | : Wenxin Du |
| Publisher | : |
| Total Pages | : |
| Release | : 2013 |
| Genre | : |
| ISBN | : |
Download Local Currency Sovereign Risk Book in PDF, ePub and Kindle
| Author | : Mr.Giovanni Dell'Ariccia |
| Publisher | : International Monetary Fund |
| Total Pages | : 54 |
| Release | : 2018-09-07 |
| Genre | : Business & Economics |
| ISBN | : 1484359623 |
Download Managing the Sovereign-Bank Nexus Book in PDF, ePub and Kindle
This paper reviews empirical and theoretical work on the links between banks and their governments (the bank-sovereign nexus). How significant is this nexus? What do we know about it? To what extent is it a source of concern? What is the role of policy intervention? The paper concludes with a review of recent policy proposals.
| Author | : Giancarlo Corsetti |
| Publisher | : International Monetary Fund |
| Total Pages | : 49 |
| Release | : 2013-11-06 |
| Genre | : Business & Economics |
| ISBN | : 1475516800 |
Download Sovereign Risk and Belief-Driven Fluctuations in the Euro Area Book in PDF, ePub and Kindle
Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this “sovereign risk channel.” The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region and strongly procyclical fiscal policy at the aggregate level exacerbates the risk of belief-driven deflationary downturns. The model provides an argument in favor of coordinated, asymmetric fiscal stances as a way to prevent selffulfilling debt crises.
| Author | : Mikhail Chernov |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Sovereign Credit and Exchange Rate Risks Book in PDF, ePub and Kindle
We study the dynamic properties of sovereign bonds in emerging markets and their associated risk premiums. We focus on the properties of credit spreads, exchange rates, and their interaction. Relying on the term structure of local currency bonds issued by Asia-Pacific sovereigns, we find that local variables are significant in the dynamics of currency and credit risk, and the components of bond risk premiums reflecting these risks. Local currency bonds dramatically improve the investment frontier.
| Author | : Carmen M. Reinhart |
| Publisher | : Princeton University Press |
| Total Pages | : 513 |
| Release | : 2011-08-07 |
| Genre | : Business & Economics |
| ISBN | : 0691152640 |
Download This Time Is Different Book in PDF, ePub and Kindle
An empirical investigation of financial crises during the last 800 years.
| Author | : Marlene Amstad |
| Publisher | : |
| Total Pages | : |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Does Sovereign Risk in Local and Foreign Currency Differ? Book in PDF, ePub and Kindle
| Author | : Dan Galai |
| Publisher | : International Monetary Fund |
| Total Pages | : 22 |
| Release | : 2009-05-01 |
| Genre | : Business & Economics |
| ISBN | : 1451872577 |
Download Credit Risk Spreads in Local and Foreign Currencies Book in PDF, ePub and Kindle
The paper shows how-in a Merton-type model with bankruptcy-the currency composition of debt changes the risk profile of a company raising a given amount of financing, and thus affects the cost of debt. Foreign currency borrowing is cheaper when the exchange rate is positively correlated with the return on the company's assets, even if the company is not an exporter. Prudential regulations should therefore differentiate among loans depending on the extent to which borrowers have "natural hedges" of their foreign currency exposures.
| Author | : Thordur Jonasson |
| Publisher | : International Monetary Fund |
| Total Pages | : 133 |
| Release | : 2018-04-06 |
| Genre | : Business & Economics |
| ISBN | : 1484350545 |
Download A Primer on Managing Sovereign Debt-Portfolio Risks Book in PDF, ePub and Kindle
This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and attain desired portfolio structures. Also, the paper outlines how LMOs could be integrated into a debt management strategy and serve as policy tools to reduce potential debt portfolio vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk management framework, interactions of debt management with fiscal policy, monetary policy, and financial stability, as well as efficient government bond markets.
| Author | : Blaise Gadanecz |
| Publisher | : |
| Total Pages | : 27 |
| Release | : 2014 |
| Genre | : Bonds |
| ISBN | : |
Download Exchange Rate Risk and Local Currency Sovereign Bond Yields in Emerging Markets Book in PDF, ePub and Kindle
