How to Evaluate GDP-Linked Warrants: Price and Repayment Capacity

Ken Miyajima

No 2006/085, IMF Working Papers from International Monetary Fund

Abstract: 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 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.

Keywords: WP; payment; price; GDP-linked warrant; real GDP (search for similar items in EconPapers)
Pages: 37
Date: 2006-03-01
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Citations: View citations in EconPapers (14)

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