Credit derivatives in emerging markets

Credit Derivatives are securities that offer protection against credit or default risk ofbonds or loans. The credit derivatives emerging market has grown rapidly and creditderivatives are widely used. This paper describes the emerging credit derivativesmarket structure. The current market activity is analyzed through elementary pricingdynamics and the study of the term structure of default risk. Focusing on theperformance of credit derivatives in stress situation, including legal and market risks,we discuss the potential consequences of a debt restructuring in a large emergingmarket borrower. The contribution of credit derivatives to the risk sharing in emergingmarkets is also examined.

Bank liquidity, interbank markets and monetary policy

A major lesson of the recent financial crisis is that the interbank lending marketis crucial for banks facing large uncertainty regarding their liquidity needs. Thispaper studies the efficiency of the interbank lending market in allocating funds. Weconsider two different types of liquidity shocks leading to different implications foroptimal policy by the central bank. We show that, when confronted with a distributional liquidity-shock crisis that causes a large disparity in the liquidity held amongbanks, the central bank should lower the interbank rate. This view implies that thetraditional tenet prescribing the separation between prudential regulation and monetary policy should be abandoned. In addition, we show that, during an aggregateliquidity crisis, central banks should manage the aggregate volume of liquidity. Twodifferent instruments, interest rates and liquidity injection, are therefore required tocope with the two different types of liquidity shocks. Finally, we show that failureto cut interest rates during a crisis erodes financial stability by increasing the riskof bank runs.

Insurance with frequent trading: A dynamic analysis of efficient insurance markets

This paper extends existing insurance results on the type of insurance contracts needed for insurance market efficiency toa dynamic setting. It introduces continuosly open markets that allow for more efficient asset allocation. It alsoeliminates the role of preferences and endowments in the classification of risks, which is done primarily in terms of the actuarial properties of the underlying riskprocess. The paper further extends insurability to include correlated and catstrophic events. Under these very general conditions the paper defines a condition that determines whether a small number of standard insurance contracts (together with aggregate assets) suffice to complete markets or one needs to introduce such assets as mutual insurance.

The role of Mexico in the first oil shortage: 1918-1922, an international perspective

In 1921 Mexico produced a quarter of world s petroleum, making the country the secondlargest producer in the world, but by 1930 it only accounted for 3 per cent of world sproduction. To date the discussion has mostly relied on events taking place in Mexico forexplaining the decline of the industry. Very little attention has been placed todevelopments in petroleum industry elsewhere, except Venezuela. Practically noattention has been paid to the reasons for the rise of oil output in Mexico. This neglectsthe massive changes taking place in the petroleum industry worldwide during the GreatWar years and its aftermath, and overall ignores the shortage of oil that occurred in theworld s markets between 1918-1921. These are crucial events in order to understand theearly rise of the Mexican oil industry and set the basis for a better understanding of thesubsequent sudden decline.

Irreversible investment in stochastically cyclical markets

This paper presents a new framework for studying irreversible (dis)investment whena market follows a random number of random-length cycles (such as a high-tech productmarket). It is assumed that a firm facing such market evolution is always unsure aboutwhether the current cycle is the last one, although it can update its beliefs about theprobability of facing a permanent decline by observing that no further growth phasearrives. We show that the existence of regime shifts in fluctuating markets suffices for anoption value of waiting to (dis)invest to arise, and we provide a marginal interpretationof the optimal (dis)investment policies, absent in the real options literature. Thepaper also shows that, despite the stochastic process of the underlying variable has acontinuous sample path, the discreteness in the regime changes implies that the samplepath of the firm s value experiences jumps whenever the regime switches all of a sudden,irrespective of whether the firm is active or not.

Sovereign debt markets in turbulent times: Creditor discrimination and crowding-out effects

In 2007, countries in the Euro periphery were enjoying stable growth, low deficits, and lowspreads. Then the financial crisis erupted and pushed them into deep recessions, raising theirdeficits and debt levels. By 2010, they were facing severe debt problems. Spreads increased and,surprisingly, so did the share of the debt held by domestic creditors. Credit was reallocatedfrom the private to the public sectors, reducing investment and deepening the recessions evenfurther. To account for these facts, we propose a simple model of sovereign risk in which debtcan be traded in secondary markets. The model has two key ingredients: creditor discriminationand crowding-out effects. Creditor discrimination arises because, in turbulent times, sovereigndebt offers a higher expected return to domestic creditors than to foreign ones. This providesincentives for domestic purchases of debt. Crowding-out effects arise because private borrowingis limited by financial frictions. This implies that domestic debt purchases displace productiveinvestment. The model shows that these purchases reduce growth and welfare, and may lead toself-fulfilling crises. It also shows how crowding-out effects can be transmitted to other countriesin the Eurozone, and how they may be addressed by policies at the European level.

Informe del World Library and Information Congress: 73rd IFLA General Conference and Council (Durban, Sud-àfrica, 19-23 d'agost de 2007)

This year, IFLA's World Library and Information Congress (WLIC) was held in Durban, South Africa, under the title ¿Libraries for the future: progress, development and partnerships¿. The association thus continued its policy of holding the event in different continents: Buenos Aires (South America) 2004, Oslo (Europe) 2005, Seoul (Asia) 2006, Durban (Africa) 2007, Quebec (North America) 2008, Milan (Europe) 2009 and Brisbane (Oceania) 2010.

The First World War and coal trade geography in Latin America and the Caribbean (1890-1930)

This paper aims to illustrate the dynamics of coal trade between Latin America and its main trade partners, i.e. the USA, Great Britain and Germany, before and after the enormous disruption caused by the First World War. The coal trade was used as an indicator of modernization for Latin American countries, given that oil was at that time of secondary importance. Energy imports have determined the possibilities of each Latin American country in its process of development. Here we address this question and place special emphasis on supply channels, concluding that the trade link with main suppliers was of key significance. Although this was very clear by the end of the period, the process had started well before the First World War, at least for the majority of LA&C countries. These points are developed through a gravity model applied to the bilateral coal trade. The importance of the market supplier share is addressed through cluster methodologies.

Multi-sided Böhm-Bawerk assignment markets: the nucleolus and the core-center

En aquest treball mostrem que, a diferència del cas bilateral, per als mercats multilaterals d'assignació coneguts amb el nom de Böhm-Bawerk assignment games, el nucleolus i el core-center, i. e. el centre de masses del core, no coincideixen en general. Per demostrar-ho provem que donant un m-sided Böhm-Bawerk assignment game les dues solucions anteriors poden obtenir-se respectivament del nucleolus i el core-center d'un joc convex definit en el conjunt format pels m sectors. Encara més, provem que per calcular el nucleolus d'aquest últim joc només les coalicions formades per un jugador o m-1 jugadors són importants. Aquests resultats simplifiquen el càlcul del nucleolus d'un multi-sided ¿¿ohm-Bawerk assignment market amb un número molt elevat d'agents.

Vertical Syndication-Proof Competitive Prices in Multilateral Markets

[eng] A multi-sided Böhm-Bawerk assignment game (Tejada, to appear) is a model for a multilateral market with a finite number of perfectly complementary indivisible commodities owned by different sellers, and inflexible demand and support functions. We show that for each such market game there is a unique vector of competitive prices for the commodities that is vertical syndication-proof, in the sense that, at those prices, syndication of sellers each owning a different commodity is neither beneficial nor detrimental for the buyers. Since, moreover, the benefits obtained by the agents at those prices correspond to the nucleolus of the market game, we provide a syndication-based foundation for the nucleolus as an appropriate solution concept for market games. For different solution concepts a syndicate can be disadvantageous and there is no escape to Aumman’s paradox (Aumann, 1973). We further show that vertical syndicationproofness and horizontal syndication-proofness – in which sellers of the same commodity collude – are incompatible requirements under some mild assumptions. Our results build on a self-interesting link between multi-sided Böhm-Bawerk assignment games and bankruptcy games (O’Neill, 1982). We identify a particular subset of Böhm-Bawerk assignment games and we show that it is isomorphic to the whole class of bankruptcy games. This isomorphism enables us to show the uniqueness of the vector of vertical syndication-proof prices for the whole class of Böhm-Bawerk assignment market using well-known results of bankruptcy problems.

Symmetrically multilateral-bargained allocations in multi-sided assignment markets

[cat] Aquest treball tracta d’extendre la noció d’equilibri simètric de negociació bilateral introduït per Rochford (1983) a jocs d’assignació multilateral. Un pagament corresponent a un equilibri simètric de negociación multilateral (SMB) és una imputación del core que garanteix que qualsevol agent es troba en equilibri respecte a un procés de negociación entre tots els agents basat en allò que cadascun d’ells podria rebre -i fer servir com a amenaça- en un ’matching’ òptim diferent al que s’ha format. Es prova que, en el cas de jocs d’assignació multilaterals, el conjunt de SMB és sempre no buit i que, a diferència del cas bilateral, no sempre coincideix amb el kernel (Davis and Maschler, 1965). Finalment, responem una pregunta oberta per Rochford (1982) tot introduïnt un conjunt basat en la idea de kernel, que, conjuntament amb el core, ens permet caracteritzar el conjunt de SMB.