An Alternative Framework For Foreign Exchange Risk Management Of Sovereign Debt

Author : Martin Melecky,World Bank,World Bank. Banking and Debt Management Department
Publisher : World Bank Publications
Page : 33 pages
File Size : 54,5 Mb
Release : 2008
Category : Currencies and Exchange Rates
ISBN : 8210379456XXX

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An Alternative Framework for Foreign Exchange Risk Management of Sovereign Debt by Martin Melecky,World Bank,World Bank. Banking and Debt Management Department Pdf

Abstract: This paper proposes a measure of synchronization in the movements of relevant domestic and foreign fundamentals for choosing suitable currency for denomination of foreign debt. The selection of explanatory variables for exchange rate volatility is motivated using a New Keynesian Policy model. The model predicts that not only traditional optimal currency area variables, but also variables considered by the literature on currency preferences, such as money velocity, should be relevant for explaining exchange rate volatility. The findings show that measures of inflation synchronization, money velocity synchronization, and interest rate synchronization can be useful indicators for decisions on the currency denomination of foreign debt.

Author : Mr.D. F. I. Folkerts-Landau,Marcel Cassard
Publisher : International Monetary Fund
Page : 292 pages
File Size : 49,8 Mb
Release : 2000-07-05
Category : Business & Economics
ISBN : 1557756945

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Sovereign Assets and Liabilities Management by Mr.D. F. I. Folkerts-Landau,Marcel Cassard Pdf

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.

Author : Mr.D. F. I. Folkerts-Landau,Marcel Cassard
Publisher : International Monetary Fund
Page : 54 pages
File Size : 44,6 Mb
Release : 1997-12-01
Category : Business & Economics
ISBN : 9781451979619

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Risk Management of Sovereign Assets and Liabilities by Mr.D. F. I. Folkerts-Landau,Marcel Cassard Pdf

In an environment of sizable and volatile capital flows and integrated international capital markets, large and unhedged net external sovereign liabilities expose countries to swings in international asset prices and to potential speculative currency attacks. The paper argues that an essential step in reducing emerging market vulnerability to such external shocks is to reform the institutional arrangements governing asset and liability management policies, so as to promote a transparent, publicly accountable, and professional incentive structure.

Author : Asian Development Bank
Publisher : Asian Development Bank
Page : 84 pages
File Size : 53,9 Mb
Release : 2015-08-01
Category : Business & Economics
ISBN : 9789292570576

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Facilitating Foreign Exchange Risk Management for Bond Investments in ASEAN+3 by Asian Development Bank Pdf

The Asian Development Bank (ADB) has been working closely with the Association of Southeast Asian Nations (ASEAN) and the People's Republic of China, Japan, and the Republic of Korea---collectively known as ASEAN+3---to foster the development of local currency bond markets and facilitate regional bond market integration under the Asian Bond Markets Initiative (ABMI). ABMI was launched in 2002 to strengthen the resilience of the region's financial system by developing local currency bond markets as an alternative source to foreign currency denominated short-term bank loans for long-term investment. Bond investors typically have a long position in local currency bond markets. To manage their foreign exchange (FX) risk, they may want to hedge that exposure for a period of time. They also want to be sure they can easily convert the local currency to dollars upon the sale of a bond. This study was undertaken under ABMI and funded by the Government of Japan. It reviews the FX and FX hedging markets in ASEAN+3 as they relate to cross-border investments in local currency bonds, and makes recommendations to facilitate the development of the markets and FX risk management.

Author : OECD
Publisher : OECD Publishing
Page : 276 pages
File Size : 41,6 Mb
Release : 2005-08-05
Category : Electronic
ISBN : 9789264104433

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Advances in Risk Management of Government Debt by OECD Pdf

This study on government debt brings together a number of reports on best practices for managing market risk, credit risk, operational risk and contingent liability risk. It was prepared by the OECD Working Party on Public Debt Management.

Author : Thordur Jonasson,Mr.Michael G. Papaioannou
Publisher : International Monetary Fund
Page : 133 pages
File Size : 53,7 Mb
Release : 2018-04-06
Category : Business & Economics
ISBN : 9781484350546

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A Primer on Managing Sovereign Debt-Portfolio Risks by Thordur Jonasson,Mr.Michael G. Papaioannou Pdf

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 : Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov
Publisher : International Monetary Fund
Page : 54 pages
File Size : 47,9 Mb
Release : 2018-09-07
Category : Business & Economics
ISBN : 9781484359624

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Managing the Sovereign-Bank Nexus by Mr.Giovanni Dell'Ariccia,Caio Ferreira,Nigel Jenkinson,Mr.Luc Laeven,Alberto Martin,Ms.Camelia Minoiu,Alex Popov Pdf

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 : Jerry Hartzog
Publisher : Unknown
Page : 28 pages
File Size : 55,6 Mb
Release : 1983
Category : Bank management
ISBN : UCLA:L0050726454

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Asset/liability Management by Jerry Hartzog Pdf

Author : Anonim
Publisher : Lulu.com
Page : 294 pages
File Size : 46,8 Mb
Release : 2004
Category : Bank capital
ISBN : 9789291316694

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International Convergence of Capital Measurement and Capital Standards by Anonim Pdf

Author : Carmen M. Reinhart,Kenneth S. Rogoff
Publisher : Princeton University Press
Page : 513 pages
File Size : 53,5 Mb
Release : 2011-08-07
Category : Business & Economics
ISBN : 9780691152646

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This Time Is Different by Carmen M. Reinhart,Kenneth S. Rogoff Pdf

An empirical investigation of financial crises during the last 800 years.

Author : International Monetary Fund,World Bank
Publisher : International Monetary Fund
Page : 39 pages
File Size : 55,7 Mb
Release : 2003-09-12
Category : Business & Economics
ISBN : 9781498328920

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Guidelines for Public Debt Management -- Amended by International Monetary Fund,World Bank Pdf

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Author : European Central Bank
Publisher : Unknown
Page : 376 pages
File Size : 51,7 Mb
Release : 2004
Category : Bank reserves
ISBN : MINN:31951D02479722U

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Risk Management for Central Bank Foreign Reserves by European Central Bank Pdf

Author : International Monetary Fund
Publisher : International Monetary Fund
Page : 112 pages
File Size : 44,8 Mb
Release : 2014-05-23
Category : Business & Economics
ISBN : 9781498343336

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The Fund’s Lending Framework and Sovereign Debt - Annexes by International Monetary Fund Pdf

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Author : M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara
Publisher : World Bank Publications
Page : 403 pages
File Size : 42,9 Mb
Release : 2021-03-03
Category : Business & Economics
ISBN : 9781464815454

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Global Waves of Debt by M. Ayhan Kose,Peter Nagle,Franziska Ohnsorge,Naotaka Sugawara Pdf

The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Author : Mr.Richard K. Abrams,Ms.Paulina Beato
Publisher : International Monetary Fund
Page : 34 pages
File Size : 46,8 Mb
Release : 1998-03-01
Category : Business & Economics
ISBN : 9781451845549

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The Prudential Regulation and Management of Foreign Exchange Risk by Mr.Richard K. Abrams,Ms.Paulina Beato Pdf

This paper examines issues in the prudential management and regulation of foreign exchange risk. It begins with measurement issues, notably converting foreign currency items into domestic currency terms, and calculating foreign exchange positions. The focus then shifts to managing foreign exchange risks. Although the key to effective management lies in the bank’s reporting and internal control systems, regulators frequently seek to limit such risks directly. This usually involves limiting the overall open position in terms of bank capital or requiring that capital be set aside against such risks.