IMF-Related Announcements, Fundamentals, and Creditor Moral Hazard: A Case Study of Indonesia

Previous tests of creditor moral hazard cannot distinguish between two types of investor behavior: expectations of implicit guarantees or better future economic fundamentals due to a prospective IMF program. The novelty of our approach lies in the inclusion of the forward foreign exchange rate in the empirical tests of creditor moral hazard, which reflects investors’ expectations about the country’s future fundamentals and allows us to separate the effects of fundamentals from those of moral hazard. Using Indonesian financial markets as a case study, we first conduct tests of creditor moral hazard in the Indonesian bond and stock markets. Then, we use the forward exchange rate to confirm the interpretation of the bond and stock market results. Our results show that IMF-program related news, especially, the announcement of program negotiations, brings about higher stock returns and lower bond spreads, even though the bath sells at a forward discount on the same day. These results suggest creditor moral hazard in the Indonesian bond and equity markets.http://deepblue.lib.umich.edu/bitstream/2027.42/40066/3/wp680.pd

Creditor Moral Hazard in Equity Markets: A Theoretical Framework and Evidence from Indonesia and Korea

This paper expands on the work of Sarno and Taylor (1999) and develops three alternative models in which creditor moral hazard might occur in equity markets under different assumptions regarding the existence of asset market bubbles and implicit guarantees. Incorporating IMF-related news associated with the own country and with other countries to our models, we are able to predict the expected change in investor behavior and its effect on stock returns. Using daily stock returns for Indonesia and Korea, we test the ability of the models to predict the expected changes in stock returns on the days of IMF-related news such as program negotiations and program approval. Our results regarding Korea and, to a lesser extent, Indonesia are consistent with the creditor moral hazard models that assume implicit guarantees and asset price bubbles. Our results show that, if there is creditor moral hazard in equity markets, its duration could be measured only by days, suggesting that creditor moral hazard is a short-term phenomenon.http://deepblue.lib.umich.edu/bitstream/2027.42/40045/3/wp659.pd

Testing creditor moral hazard in sovereign bond markets: A unified theoretical approach and empirical evidence

This paper critically evaluates the existing empirical literature on creditor moral hazard in sovereign bond markets, proposes a unified theoretical approach to test for IMF-induced creditor moral hazard, and provides empirical evidence, using daily sovereign bond market spreads of Indonesia and Korea. The results suggest that IMF-related news regarding program negotiations and approval may be associated with creditor moral hazard, but their impact on spreads is short-lived, indicating that creditor moral hazard could be best described as a short-run phenomenon. --

Testing Creditor Moral Hazard in Sovereign Bond Markets: A Unified Theoretical Approach and Empirical Evidence

This paper critically evaluates the existing empirical literature on creditor moral hazard in sovereign bond markets, proposes a unified theoretical approach to test for IMF-induced creditor moral hazard, and provides empirical evidence, using daily sovereign bond market spreads of Indonesia and Korea. The results suggest that IMF-related news regarding program negotiations and approval may be associated with creditor moral hazard, but their impact on spreads is short-lived, indicating that creditor moral hazard could be best described as a short-run phenomenon.Creditor moral hazard, financial markets, the IMF, and news

Distance and Similarity Measures for Soft Sets

In [P. Majumdar, S. K. Samanta, Similarity measure of soft sets, New Mathematics and Natural Computation 4(1)(2008) 1-12], the authors use matrix representation based distances of soft sets to introduce matching function and distance based similarity measures. We first give counterexamples to show that their Definition 2.7 and Lemma 3.5(3) contain errors, then improve their Lemma 4.4 making it a corllary of our result. The fundamental assumption of Majumdar et al has been shown to be flawed. This motivates us to introduce set operations based measures. We present a case (Example 28) where Majumdar-Samanta similarity measure produces an erroneous result but the measure proposed herein decides correctly. Several properties of the new measures have been presented and finally the new similarity measures have been applied to the problem of financial diagnosis of firms.Comment: 14 pages, accepted manuscript, to appear in New Mathematics and Natural Computatio

Minimal distance transformations between links and polymers: Principles and examples

The calculation of Euclidean distance between points is generalized to one-dimensional objects such as strings or polymers. Necessary and sufficient conditions for the minimal transformation between two polymer configurations are derived. Transformations consist of piecewise rotations and translations subject to Weierstrass-Erdmann corner conditions. Numerous examples are given for the special cases of one and two links. The transition to a large number of links is investigated, where the distance converges to the polymer length times the mean root square distance (MRSD) between polymer configurations, assuming curvature and non-crossing constraints can be neglected. Applications of this metric to protein folding are investigated. Potential applications are also discussed for structural alignment problems such as pharmacophore identification, and inverse kinematic problems in motor learning and control.Comment: Submitted to J. Phys.:Condens. Matte

Nutrient Digestibility and Productivity of Bali Cattle Fed Fermented Hymenachne Amplexia­calis Based Rations Supplemented with Leucaena Leucocephala

An experiment was conducted to study the effects of lamtoro (Leucaena leucocephala) leaf supplementation in fermented kumpai grass (Hymenachne amplexia­calis) based rations on the productivity of Bali cattle. Variables measured were dry matter and organic matter intakes, nutrient digestibility (dry matter, organic matter, crude protein, and crude fiber), body weight gain, and feed efficiency. The types of rations were: Ration A= 45% fermented kumpai grass + 40% benggala grass + 15% concentrate + 0% lamtoro leaf, Ration B= 45% fermented kumpai grass + 30% benggala grass + 15% concentrate + 10% lamtoro leaf, Ration C= 45% fermented kumpai grass + 20% benggala grass + 15% concentrate + 20% lamtoro leaf, and Ration D= 45% fermented kumpai grass + 10% benggala grass + 15% concentrate + 30% lamtoro leaf. The supplementation of lamtoro leaf up to 30% into the ration could increase (P<0.05) dry matter and organic matter intakes, and crude protein digestibility. The highest body weight gain and feed efficiency were found in Bali cattle fed ration with 20% lamtoro leaf supplementation. The level of lamtoro leaf supplementation in the ration did not affect the digestibility of dry matter, organic matter, and crude fiber. It was concluded that the supplementation of lamtoro leaf in the ration could increase dry matter, organic matter, and crude protein intakes. Addition of 20% lamtoro leaf gave the best effect on the increased body weight gain and feed efficiency in Bali cattle

Progress in integrated-circuit horn antennas for receiver applications. Part 1: Antenna design

The purpose of this work is to present a systematic method for the design of multimode quasi-integrated horn antennas. The design methodology is based on the Gaussian beam approach and the structures are optimized for achieving maximum fundamental Gaussian coupling efficiency. For this purpose, a hybrid technique is employed in which the integrated part of the antennas is treated using full-wave analysis, whereas the machined part is treated using an approximate method. This results in a simple and efficient design process. The developed design procedure has been applied for the design of a 20, a 23, and a 25 dB quasi-integrated horn antennas, all with a Gaussian coupling efficiency exceeding 97 percent. The designed antennas have been tested and characterized using both full-wave analysis and 90 GHz/370 GHz measurements

Progress in integrated-circuit horn antennas for receiver applications. Part 2: A 90 GHz quasi-integrated horn antenna receiver

A receiver belonging to the family of integrated planar receivers has been developed at 90 GHz. It consists of a planar Schottky-diode placed at the feed of a dipole-probe suspended inside an integrated horn antenna. The measured planar mixer single-sideband conversion loss at 91.2 GHz (LO) with a 200 MHz IF frequency is 8.3dB plus or minus 0.3dB. The low cost of fabrication and simplicity of this design makes it ideal for millimeter and submillimeter-wave receivers

B(s),D(s)→π,K,η,ρ,K∗,ω,ϕB_{(s)},D_{(s)} \to \pi, K, \eta, \rho, K^*, \omega, \phi Transition Form Factors and Decay Rates with Extraction of the CKM parameters ∣Vub∣|V_{ub}|, ∣Vcs∣|V_{cs}|, ∣Vcd∣|V_{cd}|

A systematic calculation for the transition form factors of heavy to light mesons ($B,B_s,D,D_s \to \pi, K, \eta, \rho, K^*, \omega, \phi$) is carried out by using light-cone sum rules in the framework of heavy quark effective field theory. The heavy quark symmetry at the leading order of $1/m_Q$ expansion enables us to reduce the independent wave functions and establish interesting relations among form factors. Some relations hold for the whole region of momentum transfer. The meson distribution amplitudes up to twist-4 including the contributions from higher conformal spin partial waves and light meson mass corrections are considered. The CKM matrix elements $|V_{ub}|$, $|V_{cs}|$ and $|V_{cd}|$ are extracted from some relatively well-measured decay channels. A detailed prediction for the branching ratios of heavy to light meson decays is then presented. The resulting predictions for the semileptonic and radiative decay rates of heavy to light mesons ($B,B_s,D,D_s \to \pi, K, \eta, \rho, K^*, \omega, \phi$) are found to be compatible with the current experimental data and can be tested by more precise experiments at B-factory, LHCb, BEPCII and CLEOc.Comment: 23 pages, 32 figures, 25 tables,published version, minor corrections and references adde