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|z 9781616357009
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a Igan, Deniz.
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|a The Premia on State-Contingent Sovereign Debt Instruments /
|c Deniz Igan, Taehoon Kim, Antoine Levy.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2021.
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|a 1 online resource (48 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a State-contingent debt instruments such as GDP-linked warrants have garnered attention as a potential tool to help debt-stressed economies smooth repayments over business cycles, yet very few studies of the empirical properties of these instruments exist. This paper develops a general f ramework to estimate the time-varying risk premium of a state-contingent sovereign debt instrument. Our estimation framework applied to GDP-linked warrants issued by Argentina, Greece, and Ukraine reveals three stylized facts: (i) the risk premium in state-contingent instruments is high and persistent; (ii) the risk premium exhibits a pro-cyclical pattern; and (iii) the liquidity premium is higher and more volatile than that for plain-vanilla government bonds issued by the same sovereign. We then present a model in which investors fear ambiguity and that can account for the cyclical properties of the risk premium.
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|a Mode of access: Internet
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|a Contingent Pricing
|2 imf
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|a Debt Management
|2 imf
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|a Debt
|2 imf
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|a Futures Pricing
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|a Sovereign Debt
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|a Kim, Taehoon.
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|a Levy, Antoine.
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|a IMF Working Papers; Working Paper ;
|v No. 2021/282
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2021/282/001.2021.issue-282-en.xml
|z IMF e-Library
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