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Does IMF Financing Result in Moral Hazard?

Does IMF Financing Result in Moral Hazard? »

Source: Does IMF Financing Result in Moral Hazard?

Volume/Issue: 2000/168

Series: IMF Working Papers

Author(s): Steven Phillips , and Timothy Lane

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2000

ISBN: 9781451858259

Keywords: IMF, bond, bonds, bond spreads, liquidity support

The view that the IMF’s financial support gives rise to moral hazard has become increasingly prominent in policy discussions, particularly following the 1995 Mexican crisis. This paper seeks to clarify a num...

Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets

Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets »

Source: Is it (Still) Mostly Fiscal? Determinants of Sovereign Spreads in Emerging Markets

Volume/Issue: 2008/259

Series: IMF Working Papers

Author(s): Sanjeev Gupta , Amine Mati , and Emanuele Baldacci

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2008

ISBN: 9781451871173

Keywords: Sovereign spreads, political risk, bond, fiscal variables, bond spreads, fiscal balance,

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 indicat...

Emerging Market Spread Compression

Emerging Market Spread Compression »

Source: Emerging Market Spread Compression : Is it Real or is it Liquidity?

Volume/Issue: 2008/10

Series: IMF Working Papers

Author(s): Laura Kodres , Kristian Hartelius , and Kenichiro Kashiwase

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2008

ISBN: 9781451868722

Keywords: Sovereign Spreads, Fundamentals, bond, bond spreads, market bond, emerging market bond, standard deviation,

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 li...

Fiscal Policy and Financial Markets

Fiscal Policy and Financial Markets »

Source: Fiscal Policy and Financial Markets

Volume/Issue: 2006/16

Series: IMF Working Papers

Author(s): Bernardin Akitoby , and Thomas Stratmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2006

ISBN: 9781451862768

Keywords: spreads, bond, bonds, fiscal adjustment, fiscal adjustments, Fiscal Policies and Behavior of Economic Agents: Other,

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 redu...

Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?

Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis? »

Source: Were Bid-Ask Spreads in the Foreign Exchange Market Excessive During the Asian Crisis?

Volume/Issue: 2005/34

Series: IMF Working Papers

Author(s): Torbjorn Becker , and Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 February 2005

ISBN: 9781451860535

Keywords: market microstructure, bid-ask spreads, Asian crisis, exchange rate, pre-crisis, pre- crisis,

Bid-ask spreads for Asian emerging market currencies increased sharply during the Asian crisis. A key question is whether such wide spreads were excessive or explained by models of bid-ask spreads. Precrisis estima...

How Does Public External Debt Affect Corporate Borrowing Costs In Emerging Markets?1

How Does Public External Debt Affect Corporate Borrowing Costs In Emerging Markets?1 »

Source: How Does Public External Debt Affect Corporate Borrowing Costs In Emerging Markets?

Volume/Issue: 2009/266

Series: IMF Working Papers

Author(s): Oya Celasun , and Senay Agca

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2009

ISBN: 9781451874112

Keywords: syndicated loans, yield spreads, creditor rights, public external debt, bond, external public debt,

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 sect...

Credit Risk Spreads in Local and Foreign Currencies

Credit Risk Spreads in Local and Foreign Currencies »

Source: Credit Risk Spreads in Local and Foreign Currencies

Volume/Issue: 2009/110

Series: IMF Working Papers

Author(s): Zvi Wiener , and Dan Galai

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2009

ISBN: 9781451872576

Keywords: credit spread, currency mismatch, Merton&;amp;#x2019;s model, correlation, bond, present value, probability,

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 curr...

What Drives Contagion

What Drives Contagion »

Source: What Drives Contagion : Trade Neighborhood, or Financial Links?

Volume/Issue: 2001/29

Series: IMF Working Papers

Author(s): Rodrigo Valdes , and Leonardo Hernández

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2001

ISBN: 9781451844801

Keywords: Contagion, Bond Spreads, Stock Market, Crisis Transmission, bond, sovereign bond, International Finance: General,

This paper presents evidence on the relative importance of alternative contagion channels during the Thai, Russian, and Brazilian crises. Results show that when crises are measured by changes in sovereign bond spre...

Emerging Market Bond Spreads and Sovereign Credit Ratings

Emerging Market Bond Spreads and Sovereign Credit Ratings »

Source: Emerging Market Bond Spreads and Sovereign Credit Ratings : Reconciling Market Views with Economic Fundamentals

Volume/Issue: 2001/165

Series: IMF Working Papers

Author(s): Amadou Sy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2001

ISBN: 9781451858051

Keywords: Bond spreads, monitoring, risk appetite, bond, bonds, emerging market bond, market bond, Financial Institutions and Services: General,

This paper uses a panel data estimation of a simple univariate model of sovereign spreads on ratings to analyze statistically significant deviations from the estimated relationship. We find evidence of an asymmetri...

Moral Hazard and International Crisis Lending: A Test

Moral Hazard and International Crisis Lending: A Test »

Source: Moral Hazard and International Crisis Lending : A Test

Volume/Issue: 2002/181

Series: IMF Working Papers

Author(s): Giovanni Dell'Ariccia , Jeronimo Zettelmeyer , and Isabel Schnabel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2002

ISBN: 9781451859201

Keywords: international lending, bond, crisis lending, bond spreads, bonds, International Lending and Debt Problems, Econometric Methods: - Single Equation Models,

We test for the existence of a moral hazard effect attributable to official crisis lending by analyzing the evolution of sovereign bond spreads in emerging markets before and after the Russian crisis. The nonbailou...