How to Evaluate Gdp-Linked Warrants Price and Repayment Capacity |
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| Author:
| Miyajima, Ken |
| Series title: | IMF Working Papers |
| ISBN: | 978-1-4518-6345-1 |
| Publication Date: | Mar 2006 |
| Publisher: | International Monetary Fund
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| Book Format: | Paperback |
| List Price: | USD $20.00 |
Book Description:
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Following a brief review of the recent history of GDP-linked instruments, this paper proposes a set of tools to examine the quantitative properties of GDP-linked warrants. It argues that trigger conditions should be clearly identifiable and payment amounts easily calculable. Based on a design that includes these features and historical data for the main EMBI countries, the paper provides an assessment of the issuer's capacity to service GDP-linked warrants, comparing payments with tax...
More DescriptionFollowing a brief review of the recent history of GDP-linked instruments, this paper proposes a set of tools to examine the quantitative properties of GDP-linked warrants. It argues that trigger conditions should be clearly identifiable and payment amounts easily calculable. Based on a design that includes these features and historical data for the main EMBI countries, the paper provides an assessment of the issuer's capacity to service GDP-linked warrants, comparing payments with tax revenues stemming from contemporaneous growth. The price of the GDP-linked warrants are then estimated from the point of view of both domestic and foreign investors.