Puttable and extendible bonds : developing interest rate derivatives for emerging markets /
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| Author / Creator: | Neftci, Salih N., author. |
|---|---|
| Imprint: | Washington, D.C. : International Monetary Fund, ©2003. |
| Description: | 1 online resource (29 pages) : illustrations |
| Language: | English |
| Series: | IMF working paper, 2227-8885 ; WP/03/201 IMF working paper ; WP/03/201. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/12497475 |
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| 050 | 4 | |a HG3881.5.I58 |b W67 no.03/201 | |
| 100 | 1 | |a Neftci, Salih N., |e author. |0 http://id.loc.gov/authorities/names/n80147404 | |
| 245 | 1 | 0 | |a Puttable and extendible bonds : |b developing interest rate derivatives for emerging markets / |c Salih N. Neftci and André O. Santos. |
| 260 | |a Washington, D.C. : |b International Monetary Fund, |c ©2003. | ||
| 300 | |a 1 online resource (29 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/03/201 | |
| 504 | |a Includes bibliographical references (pages 27-29). | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 588 | 0 | |a Print version record. | |
| 520 | |a This paper analyzes the price stabilizing properties of puttable and extendible bonds, their potential to help develop interest-rate derivative markets, and their use by governments. Their stabilizing properties imply that, when bond prices fall, prices for puttable and extendible bonds fall by less. Their embedded options work as a cushion and replicate the trading gains from hedging long-term bonds with interest rate derivatives. These bonds can help develop interest-rate derivative markets in developing countries and eventually increase demand for long-term government bonds. Informal evidence from OECD countries suggests that these bonds were useful in the 1980s, when interest rates were volatile. | ||
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. THE STABILIZING PROPERTIES OF PUTTABLE AND EXTENDIBLE BONDS -- A. Hedging Long Positions in Long-Term Bonds -- B. Puttable and Extendible Bonds Written on Discount and Coupon Bonds -- C. Credit Risk Aspects -- III. MIMICKING MARKETS FOR INTEREST RATE DERIVATIVES ON GOVERNMENT BONDS -- A. The Brazilian Government Bond Markets -- B. Some Weaknesses of Emerging Bond Markets -- C. Measuring the Effect of C-Bond Volatility -- D. The Effect of Puttable Bonds -- IV. EXPERIENCE WITH PUTTABLE AND EXTENDIBLE BONDS -- V. CONCLUSION | |
| 650 | 0 | |a Interest rates. |0 http://id.loc.gov/authorities/subjects/sh85067247 | |
| 650 | 0 | |a Bonds |z Developing countries |x Econometric models. | |
| 650 | 0 | |a Interest rate futures |z Developing countries |x Econometric models. | |
| 650 | 0 | |a Derivative securities |z Developing countries |x Econometric models. | |
| 650 | 0 | |a Bond market |z Developing countries |x Econometric models. | |
| 650 | 0 | |a Bonds |x Prices |z Developing countries |x Econometric models. | |
| 650 | 6 | |a Taux d'intérêt. | |
| 650 | 7 | |a Bond market |x Econometric models. |2 fast |0 (OCoLC)fst00835863 | |
| 650 | 7 | |a Bonds |x Econometric models. |2 fast |0 (OCoLC)fst00835894 | |
| 650 | 7 | |a Bonds |x Prices |x Econometric models. |2 fast |0 (OCoLC)fst00835900 | |
| 650 | 7 | |a Derivative securities |x Econometric models. |2 fast |0 (OCoLC)fst00891022 | |
| 650 | 7 | |a Interest rate futures |x Econometric models. |2 fast |0 (OCoLC)fst00976167 | |
| 650 | 7 | |a Interest rates. |2 fast |0 (OCoLC)fst00976178 | |
| 651 | 7 | |a Developing countries. |2 fast |0 (OCoLC)fst01242969 | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Santos, André, |e author. |0 http://id.loc.gov/authorities/names/no99080482 | |
| 710 | 2 | |a IMF Institute. |0 http://id.loc.gov/authorities/names/n81065613 | |
| 710 | 2 | |a International Monetary Fund. |0 http://id.loc.gov/authorities/names/n81052755 | |
| 776 | 0 | 8 | |i Print version: |a Neftci, Salih N. |t Puttable and extendible bonds. |d Washington, D.C. : International Monetary Fund, ©2003 |w (OCoLC)53887055 |
| 830 | 0 | |a IMF working paper ; |v WP/03/201. |0 http://id.loc.gov/authorities/names/no89010263 | |
| 856 | 4 | 0 | |u http://elibrary.imf.org/view/journals/001/2003/201/001.2003.issue-201-en.xml |y INTERNATIONAL MONETARY FUND |
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| 928 | |t Library of Congress classification |a HG3881.5.I58W67 no.03/201 |l Online |c UC-FullText |u http://elibrary.imf.org/view/journals/001/2003/201/001.2003.issue-201-en.xml |z INTERNATIONAL MONETARY FUND |g ebooks |i 12141512 | ||