TAILIEUCHUNG - Quantitative Implications of Indexed Bonds in Small Open Economies Ceyhun Bora Durdu

Since a modeled loss trigger mechanism takes other variables into account that can affect the value of the losses, the pricing of a hypothetical CAT bond with a modeled-index loss trigger for earthquakes in Mexico is also examined in this paper. This new approach is also fundamentally driven by the desire to mini- mize the basis risk borne by the sponsor, while remaining non-indemnity based. Due to the missing information of losses, different loss models are proposed to describe the severity of earthquakes and the analytical distribution is fitted to the loss data that is formed with actual and estimated losses. We found that the best process governing. | Board of Governors of the Federal Reserve System International Finance Discussion Papers Number 909 October 2007 Quantitative Implications of Indexed Bonds in Small Open Economies Ceyhun Bora Durdu NOTE International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers other than an acknowledgment that the writer has had access to unpublished material should be cleared with the author or authors. Recent IFDPs are available on the Web at pubs ifdp . This paper can be downloaded without charge from Social Science Research Network electronic library at http . Quantitative Implications of Indexed Bonds in Small Open Economies Ceyhun Bora Durdu Abstract This paper analyzes the macroeconomic implications of real-indexed bonds indexed to the terms of trade or GDP using a general equilibrium model of a small open economy with financial frictions. Although indexed bonds provide a hedge to income fluctuations and can thereby mitigate the effects of financial frictions they introduce interest rate fluctuations. Because of this tradeoff there exists a nonmonotonic relation between the degree of indexation . the percentage of the shock reflected in the return and the benefits that these bonds introduce. When the nonindexed bond market is shut down and only indexed bonds are available indexation strengthens the precautionary savings motive increases consumption volatility and deepens the impact of Sudden Stops for degrees of indexation higher than a certain threshold. When the nonindexed bond market is retained nonmonotonic relationship between the degree of indexation and the benefits of indexed bonds still remain. Degrees of indexation higher than a certain threshold lead to more volatile consumption than lower degrees of indexation. The threshold degree of indexation depends on the volatility and persistence of .

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