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Convexity Adjustments for ATS models

Gaspar, Raquel M.; Murgoci, Agatha
Fonte: ISEG - ADVANCE Publicador: ISEG - ADVANCE
Tipo: Outros
Publicado em //2008 ENG
Relevância na Pesquisa
26.88%
Practitioners are used to value a broad class of exotic interest rate derivatives simply by adjusting for what is known as convexity adjustments (or convexity corrections). We start by exploiting the relations between various interest rate models and their connections to measure changes. As a result we classify convexity adjustments into forward adjustments and swaps adjustments. We, then, focus on affine term structure (ATS) models and, in this context, conjecture convexity adjustments should be related of affine functionals. In the case of forward ad¬justments, we show how to obtain exact formulas. Concretely for LIBOR in arrears (LIA) contracts, we derive the system of Riccatti ODE-s one needs to compute to obtain the exact adjustment. Based upon the ideas of Schrager and Pelsser (2006) we are also able to derive general swap adjustments useful, in particular, when dealing with constant maturity swaps (CMS). Our approach bypasses the need for Taylor approximations or unrealistic assumptions. They include exact convexity adjustments previously derived, such as the adjustments associated with Gaussian models, but are far more general as they provide solutions for the entire ATS class of models.

Falling Further Behind? Child Support Arrears and Fathers’ Labor Force Participation

Miller, Daniel P.; Mincy, Ronald B.
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em /12/2012 EN
Relevância na Pesquisa
27.57%
This study examines how child support arrears affect fathers’ labor force participation. It relies on longitudinal data from the Fragile Families and Child Well-Being Study. Findings from analyses of these data suggest that child support arrears result in declines in average weeks worked in the formal labor market in subsequent time periods. These findings are driven by the behaviors of fathers who had relatively high amounts of arrears and no income in the previous year and are mostly robust to tests for selection into no work or low levels of work by fathers. Findings also suggest that arrears obligations that are low relative to income result in increases in the probability that fathers engage in any formal work. Arrears are not statistically significantly related to informal labor force participation. This study highlights both intended and unintended consequences of the growth in arrears under current child support enforcement policies.

Social Impact and Social Mitigation of Enterprise Restructuring : Implications for Croatia

Lytle, Paula F.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
26.88%
This report provides an overview of social impact and social mitigation measures that have been addressed in World Bank supported enterprise restructuring programs in Europe and Central Asia. The focus is on lessons learned from the experience elsewhere in the region that could provide guidance to and policy options for Croatia in the on-going process of enterprise restructuring. The first stage of transition focused on the establishment of market-driven, private sector-oriented economies. In recent years, the requirements of European integration and accession have led to an emphasis on fiscal discipline. Closer attention has been paid to implicit subsidies such as budgetary credits, nonpayment of taxes and accumulation of tax arrears, transfers from off-budget funds, and government payment of guaranteed loans. European Union candidate countries have faced similar policy challenges in mitigating the impact of unemployment due to structural shifts in the economy.

The United Republic of Tanzania : Public Expenditure Review

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
Relevância na Pesquisa
26.88%
This public expenditure review (PER) examines the budget performance for FY00- and the first eight months of FY01, when domestic revenue remained at the same low level as in the previous year (1.15 percent of GDP), while expenditures increased in FY00 by one percentage point, i.e., 15.9 percent of GDP. Some progress has been made in enhancing funding for priority activities in the areas or primary education, health care, roads and water, with most of the increased spending being at the district level. Likewise, progress has been made in bringing a greater share of donor financed development spending into the budget. Nonetheless, deviations between the budget presented at the National Assembly, and expenditure outturns, remain significant, especially for non-priority sectors, and, contingency funds retained by the Ministry of Finance are substantial. It is highlighted that problems in public expenditure management persist, being the main one the mismatch between available resources, and the intended scope of Government activities. Under-funding of budgets undermines prudent budget management...

When Is External Debt Sustainable?

Kraay, Aart; Nehru, Vikram
Fonte: Oxford University Press on behalf of the World Bank Publicador: Oxford University Press on behalf of the World Bank
Tipo: Artigo de Revista Científica
EN_US
Relevância na Pesquisa
27.15%
The article empirically examines the determinants of debt distress, defined as periods in which countries resort to any of three forms of exceptional finance: significant arrears on external debt, Paris Club rescheduling, and non-concessional International Monetary Fund lending. Probit regressions show that three factors explain a substantial fraction of the cross-country and time-series variation in the incidence of debt distress: the debt burden, the quality of policies and institutions, and shocks. The relative importance of these factors varies with the level of development. These results are robust to a variety of alternative specifications, and the core specifications have substantial out-of-sample predictive power. The quantitative implications of these results are examined for the lending strategies of official creditors.

Maldives Economic Update

Rajatha Wijeweera, Kirthirsri; Kularatne, Chandana; Eymard Fonseka, Daminda; Gomez Ozorio, Camilo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
27.15%
The political situation remains in a state of flux in the Maldives, with crucial elections coming up. The presidential elections are scheduled for early September 2013, and the Majlis (parliamentary) elections for April 2014. The fiscal position remains in a precarious situation, with the government cash-flow position considerably weakened. Against this backdrop, the government has resorted to very imprudent means of managing the cash-flow situation: (i) ad-hoc borrowings from the banking and private sectors at high interest rates, (ii) monetizing, and (iii) running huge payment arrears, amounting to over 10 percent of gross domestic product (GDP). Continuation of these measures will likely stoke significant imbalances in the economy. The precarious external situation presents the biggest challenge to the country. The situation has been aggravated by continued high fiscal deficits as well as recent debt settlements. Current gross official reserves are below two months of imports and, in face of increased monetization of the deficits...

Financial Sector Assessment Program - Albania : Public Debt Management

World Bank; International Monetary Fund
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
26.88%
Government debt continues to expand, reaching over all 872 billion, approximately 62 percent of gross domestic product (GDP), as of end-September 2013. Domestic debt grew sharply in the first half of 2013, emanating largely from poor tax revenue performance, together with the accumulation of a large stock of unpaid bills and arrears. External debt creditors comprise multilaterals, bilateral creditors, and private creditors. The concentrated nature of the investor base and the high domestic debt stock limit the choices available to debt management, particularly with regards to extending the maturity of the domestic debt. Public debt management in Albania follows an organized process but will benefit from a number of technical changes. The domestic borrowing plan has been revised frequently due to unexpected flows in the treasury account. In an environment of volatile treasury balances, cash flows safety nets or minimum cash buffers should be implemented. A number of initiatives are recommended to improve the transmission of price signals in the primary market - overall this will provide incentives for secondary market development. To support the development of the secondary market the General Directorate of public debt management should modify its issuance program and focus on key maturities on the yield curve. It is suggested that the issuance program takes a small step in this direction by limiting the number of tenors and focusing on for example...

Microfinance and the Global Financial Crisis

Kruiff, David; Hartenstein, Stephan
Fonte: International Finance Corporation, Washington, DC Publicador: International Finance Corporation, Washington, DC
Tipo: Trabalho em Andamento
EN_US
Relevância na Pesquisa
26.88%
For many years, microfinance has been the poster child of governments, policymakers, and international organizations with the goal of lifting millions of people out of poverty. The notion that microfinance can pursue and achieve the intertwined goals of development and financial profitability without friction predominated. This dual opportunity, combined with a huge untapped market for financial services at the bottom of the pyramid attracted large amounts of funding from international capital markets, triggering unprecedented levels of growth. Until the global financial crisis, the sustainability of the resulting market growth had not been significantly questioned. As the crisis unfolded during the end of 2007, there seemed to be consensus among microfinance practitioners, analysts, and other industry experts that this crisis will be different. The microfinance industry braced itself for anticipated liquidity crunches, increase in costs of funds, and foreign exchange, as well as a sharp rise in portfolio arrears. This paper will: review recent publications that have drawn conclusions on the effects of the global financial crisis based on empirical data research; draw the conclusion that proper governance and risk management systems are essential and can have avoided many of the problems specific microfinance institutions (MFIs) faced during the financial crisis; and highlight Basel framework sections relevant to MFIs and demonstrate how these can be applied to strengthen MFIs.

Give Growth and Macroeconomic Stability in Russia a Chance

Pinto, Brian; Drebentsov, Vladimir; Morozov, Alexander
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
EN_US
Relevância na Pesquisa
26.88%
The authors analyze the links between Russias disappointing growth performance in the second half of the 1990s, its costly and unsuccessful stabilization, the macroeconomic meltdown of 1998, and the spectacular rise of non-payments. Non-payments flourished in an environment of fundamental inconsistency between a macroeconomic policy geared at sharp disinflation, and a microeconomic policy of bailing enterprises out through soft budget constraints. Heavy untargeted implicit subsidies flowing through the non-payments system (amounting to 10 percent of GDP annually) have stifled growth, contributed to the August 1998 meltdown, through their impact on public debt, and have made at best a questionable contribution to equity. Dismantling this system must be a top priority, along with promoting enterprise restructuring and growth (by hardening budget constraints) and medium-term macroeconomic stability (by reducing the size of subsidies). Getting the government out of the non-payments system means settling all appropriately controlled budgetary expenditures on time...

Coal Industry Restructuring in Ukraine : The Politics of Coal Mining and Budget Crises

Lovei, Laszlo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Viewpoint; Publications & Research
ENGLISH
Relevância na Pesquisa
26.88%
Restructuring Ukraine's coal industry has been even more difficult and politicized than reforming its electricity and gas industries. Coal reform has divided Parliament and the government into two camps - one supporting populist policies and the other supporting fiscal realism - and the balance of power between these camps has changed frequently. Despite mounting financial losses, coal miners and managers have blocked attempts to rationalize production and employment practices. The government has, however, managed to close several highly uneconomic mines. Speeding up mine closures seems to be the only way to arrest the accumulation of payment arrears - nearly US$4billion (including wages) by mid-1998 -- and of payments due for coal supplies - more than US$1.5billion by mid-1998.

Union of the Comoros : Debt Management Performance Assessment; Comores - Outil d'evaluation de la performance en matiere de gestion de la dette(DeMPA)

World Bank
Fonte: Washington, Dc Publicador: Washington, Dc
Tipo: Economic & Sector Work :: General Economy, Macroeconomics and Growth Study; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
27.43%
This study shows that performance in terms of debt management has been weakened by recurrent political and institutional crises experienced by the country in recent years and has had a negative impact on the State's ability to both mobilize external financing and to honor its financial commitments. The accumulation of external arrears has increased by extension of the depletion sources of funding. However, the government recently initiated numerous actions contributing to a more serene climate at home with the establishment of democratic governance, developing a program of poverty reduction and regularization of arrears. This more favorable environment will soon pave the way for more substantial outside funding, especially following the accession of the Comoros to the enhanced Heavily Indebted Poor Countries (HIPC), and therefore requires the full attention of the authorities to implement better management of public debt. This evaluation is part of this perspective. Overall, performance in terms of debt management in the Comoros is satisfactory in all three of the following areas: (i) coordination with fiscal policy...

China - National Development and Sub-National Finance : A Review of Provincial Expenditures

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Public Expenditure Review; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
27.15%
In China, the highly decentralized fiscal system undermines improvements in policy outcomes and contributes to increasing disparities among its regions. However, rather than re-centralizing, China would benefit from pursuing reforms to: improve expenditure and revenue assignments for the various levels of government; distribute fiscal resources more equally; and improve the use of these resources through better budget management at all levels of government. This report recommends a comprehensive reform effort that covers all the components of the inter-governmental fiscal system, arguing that selective interventions to address specific local financial problems such as defaults on pension and unemployment stipends, and payment arrears on teachers' salaries, have created some pervasive incentives. A piecemeal approach to inter-governmental fiscal reform is unlikely to succeed because it will not take into account the interdependence of transfers on revenue assignments or the role played by expenditure assignments on the adequacy of revenue assignments and transfers.

Romania - Building Institutions for Public Expenditure Management : Reforms, Efficiency and Equity - A Public Expenditure and Institutions Review

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Public Expenditure Review; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
27.32%
This Public Expenditure and Institutions Review (PEIR) was undertaken at a critical juncture of public expenditure management in Romania. Following three years of economic decline, the economy began growing in 2000, reaching a real GDP growth rate of 5.3 percent in 2001. The Government thus defined an economic reform strategy, to move forward the banking system and enterprise privatization, contain fiscal deficit, and reduce central government expenditures, with further fiscal decentralization. The PEIR focuses on five areas: (i) Structure of central state budget; (ii) Fiscal decentralization; (iii) Social expenditure; (iv) Pension reform; and (vi) Military and defense sector budget. The PEIR presents a policy framework for enhancing the effectiveness of processing, and allocating public expenditures, to improve Treasury accounting, curbe budget ceilings by accumulating payment arrears, and, by subjecting foreign financed public investments to full budgetary scrutiny. By emphasizing accountability in the management of extra-budgetary funds...

Afghanistan Economic Update, October 2014

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Economic Updates and Modeling
ENGLISH; EN_US
Relevância na Pesquisa
26.88%
Economic growth, down sharply in 2013 to 3.7 percent (estimated), has slowed further to 1.5 percent (projected) in 2014, from 9.4 percent per year during 2003-12. Uncertainty since 2013 over the political and security transition has been compounded by the protracted elections impasse in 2014. Investor and consumer confidence have slumped and led to a sharp reduction of new investment commitments in the non-agriculture sectors. Agricultural production has been robust in 2013-14, but flat from the record levels of 2012. Afghanistan faces a deteriorating fiscal crisis in 2014, with declining revenues leading to an unfinanced fiscal gap, depleted cash reserves, and accumulating arrears. Domestic revenues have continued to weaken, with the authorities anticipating revenues of Afs 105 billion ($1.82 billion) or 8.7 percent of GDP for fiscal 2014. This would represent a further decline from revenues of 9.7 percent of GDP in 2013, itself down from a peak of 11.6 percent in 2011. While the economic slowdown is part of the explanation...

Cash Constraints and Credit Corsets : The Chimera of Interenterprise Credit

Condon, Timothy; Ramachandran, S.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Viewpoint; Publications & Research
ENGLISH
Relevância na Pesquisa
26.88%
The buildup of interenterprise credit in many Central and Eastern European countries is often seen as a problem that requires a government bailout. The authors show that arrears rise only temporarily, as the hard budget constraint bites, and then plateau. Therefore, they argue that while governments should monitor the stock of debt to see how quickly enterprises are adjusting, they shouldn't be panicked into bailing them out.

Armenia : Public Expenditure Review

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Public Expenditure Review; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
27.15%
This is the first full scale World Bank Public Expenditure Review (PER) for Armenia. The primary objective of the Report was to review the main fiscal trends in Armenia for the period of 1997-2001 and develop recommendations with respect to further fiscal adjustment, expenditure prioritization, and budget consolidation. The report has the following structure. Chapter 1 reviews the main features of the Government's fiscal adjustment effort, initiated in the mid 90-s. It is focused on the analysis of aggregated indicators of fiscal performance such as deficit, public debt, budget arrears, and tax revenues. Chapter 2 looks at the main expenditure trends in the Armenia consolidated budget for 1997-2001 and makes an assessment of the quality and depth of expenditure restructuring undertaken in this period. Chapter 3 looks at the public sector's activities that remain non-reflected in the regular Government budget, which includes extra- budgetary funds, in-kind external grants, subsidies provided by the state-owned companies in the energy and utility sectors...

Debt Management Performance Assessment : Togo; Outil d'evaluation de la performance en matiere de gestion de la dette (DeMPA)

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work; Economic & Sector Work :: Debt Management Performance Assessment
ENGLISH; EN_US
Relevância na Pesquisa
27.32%
During November 12 through November 24, 2007 a World Bank team traveled to Lome, Togo, to undertake an assessment of the government's debt management operations using the Debt Management Performance Measurement Assessment Tool (DeMPA). The DeMPA is a methodology for assessing debt management performance through a set of 15 indicators covering the full range of debt management functions. This assessment report highlights that the current strengths of debt management operations in Togo lie in the areas of coordination with monetary policy and the staff in the debt office, who have the skills needed for the basic debt management operations they are required to do at the moment. Among the areas for improvement identified, the priority should be given to: (i) the institutional framework, which is currently overly complex and does not ensure appropriate coordination among all entities that participate in the debt management process; (ii) the debt recording systems, which are not accurate and complete, in part as a consequence of the institutional framework; and (iii) putting in place a debt management strategy...

Grime and punishment: job insecurity and wage arrears in the Russian Federation

Lehmann, Hartmut; Wadsworth, Jonathan; Acquisti, Alessandro
Fonte: Centre for Economic Performance, London School of Economics and Political Science Publicador: Centre for Economic Performance, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /09/1998 EN; EN
Relevância na Pesquisa
27.51%
The initial years of transition in the Russian Federation have been characterised by relatively smaller falls in employment than in other reform-orientated countries of eastern Europe, despite the huge negative shock caused by the move from planned to market economy. Using information from two complementary household survey data sets, we show that for many Russian workers, the dominant form of labour market adjustment has instead been the delayed receipt of wages. Other forms of adjustment at the intensive margin have not been used much. Wage arrears are found across the private, state and budgetary sector in approximately equal proportions. There are large regional variations in the incidence of wage arrears. Workers in the metropolitan centre are significantly less affected by delayed and incomplete wage payments than workers in the provinces. There is less evidence that individual characteristics contribute much toward the incidence of wage arrears, though unobserved heterogeneity may have some role to play. As with the incidence of unemployment, however, there is evidence that the persistence of arrears is concentrated on a subset of the working population. We show that workers can only exercise the exit option of a job quit from a firm paying wages in arrears if the outside labour market is sufficiently dynamic.

Who bore the burden of wage arrears in the Kyrgyz republic?

Namazie, Ceema Zahra
Fonte: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science Publicador: Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /11/2002 EN; EN
Relevância na Pesquisa
27.32%
Despite large falls in output in the FSU, rather than firing workers, workers were subjected to long spells of unpaid leave or non-payment of wages (wage arrears). Wage arrears is a significant problem in the countries of the FSU, particularly in light of price liberalization on most goods and services as part of the transition away from a command economy. Here we examine if particular workers were more likely to experience non-payment of wages. As enterprises tried to reduce financial outlays it is not evident if more costly, skilled, labour would experience greater non-payment of wages, or whether cheaper, less skilled, labour would fare worse. Sectoral or regional differences could also be more important determinants. Recently available data household data for the Kyrgyz Republic is used to examine the incidence of wage arrears in 1993 and 1996.

Modelling and forecasting UK mortgage arrears and possessions

Aron, Janine; Muellbauer, John
Fonte: Spatial Economics Research Centre (SERC), London School of Economics and Political Science Publicador: Spatial Economics Research Centre (SERC), London School of Economics and Political Science
Tipo: Monograph; NonPeerReviewed Formato: application/pdf
Publicado em /08/2010 EN; EN
Relevância na Pesquisa
27.62%
This paper presents new models for aggregate UK data on mortgage possessions (foreclosures) and mortgage arrears (payment delinquencies). The innovations include the treatment of difficult to observe variations in loan quality and shifts in forbearance policy by lenders, by common latent variables estimated in a system of equations for arrears and possessions, for quarterly data over 1983-2009. A second innovation is the theory-justified use of an estimate of the proportion of mortgages in negative equity, based on an average debt to equity ratio, as one of the key drivers of possessions and arrears. A third is the systematic treatment of measurement bias in the months in arrears measures. Finally, the paper does not impose a proportional long-run relationship between possessions and arrears assumed in the previous UK literature. A range of economic forecast scenarios for forecasts to 2013 reveals the sensitivity of mortgage possessions and arrears to different economic conditions, highlighting potential risks faced by the UK and its mortgage lenders. A comprehensive review of data on arrears and possessions completes the paper.