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The Optimal Currency Composition of External Debt by Stijn Claessens Pdf
By choosing the appropriate currency composition of their external debts, developing countries can reduce the exposures associated with exchange rate, interest rate, and commodity price uncertainties.
Determinants of Currency Composition of Reserves: a Portfolio Theory Approach with an Application to RMB by MissYinqiu Lu,Yilin Wang Pdf
The way central banks manage their foreign reserve assets has evolved over the past decades. One major trend is managing reserves in two or more tranches—liquidity tranche and investment tranche—especially for those with adequate reserves. Incorporating reserve tranching, we have developed in this paper a central bank’s reserve portfolio choice model to analyze the determinants of the currency composition of reserves. In particular, we adopt the classical mean-variance framework for the investment tranche and the asset-liability framework for the liquidity tranche. Building on these frameworks, the roles of currency compositions in imports invoicing and short-term external debt, and risk and returns of reserve currencies can be quantified by our structural model—a key contribution of our paper given the absence of structural models in the literature. Finally, we estimate the potential paths of the share of RMB in reserves under different scenarios to shed light on its status as an international currency.
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 : International Monetary Fund Publisher : International Monetary Fund Page : 327 pages File Size : 54,9 Mb Release : 2003-06-25 Category : Business & Economics ISBN : 9781589060609
External Debt Statistics by International Monetary Fund Pdf
This Guide provides clear, up-to-date guidance on the concepts, definitions, and classifications of the gross external debt of the public and private sectors, and on the sources, compilation techniques, and analytical uses of these data. The Guide supersedes the previous international guidance on external debt statistics available in External Debt: Definition, Statistical Coverage, and Methodology (known as the Gray Book), 1988. The Guides conceptual framework derives from the System of National Accounts 1993 and the fifth edition of the IMFs Balance of Payments Manual(1993). Preparation of the Guide was undertaken by an Inter-Agency Task Force on Finance Statistics, chaired by the IMF and involving representatives from the BIS, the Commonwealth Secretariat, the European Central Bank, Eurostat, the OECD, the Paris Club Secretariat, UNCTAD, and the World Bank.
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.
Optimal Hedging Strategy Re-visited by Ying Qian,Ronald Duncan Pdf
The optimal portfolio model for hedging commodity price and exchange rate risks is extended to nonstationary economic time series data. The new approach corrects the problem of unstable solutions often found with earlier models using economic time series that are nonstationary.
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.
Cross-Border Currency Exposures by Luciana Juvenal,Deepali Gautam,Agustin Benetrix,Martin Schmitz Pdf
This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods. The paper illustrates current and new uses of these data, with particular focus on the evolution of currency exposures of cross-border positions.
Risk Management in Developing Countries by Stijn Claessens Pdf
Modern risk management techniques can help countries avoid the financial risks that affect future cash flows and long-term plans. They provide a hedge against profit fluctuations caused by changes in interest rates, exchange rates, and commodity prices. This easy-to-use guide examines the risk management tools developing countries have used successfully, including futures, options, forward contracts, commodity swaps, commodity bonds, commodity linked loans, currency rate swaps, and interest rate swaps. An action plan explains how to use the techniques wisely to avoid costly mistakes. It also describes the economic management and financial regulations countries must have in place before adopting any risk management techniques.