Exotic Derivatives Losses in Emerging Markets Questions of Suitability， Concerns for Stability.pdf

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1、WP/09/ExoticDerivativesLossesinEmergingMarkets:QuestionsofSuitability,ConcernsforStabilityRandallDodd©2009InternationalMonetaryFundWP/09/IMFWorkingPaperMonetaryandCapitalMarketsDepartmentExoticDerivativesLossesinEmergingMarkets:QuestionsofSuitability,ConcernsforStabilityPreparedbyRandallDoddAuthori

2、zedfordistributionby__________July2009AbstractThispaperexploresapatternofexoticderivativestransactionsacrossemergingmarketsthatledtosubstantiallossesamongstnon-financialfirmsinthetradablegoodssector.Thederivativescontractswerecalleddifferentnamesindifferentcountries,buttheunderlyingeconomicstructur

3、esfollowedasimilarpattern.Theriskexposuresobtainedthroughthesecontractsresultedindirectlossesthatroiledforeignexchangemarketsbythesurgeoflocalcurrencysellingtocovertheshortpositionsinexoticderivativesandbytheconfusionandfeararisingfromnotknowingwhoheldthesederivatives,howlargethepositionswereandhow

4、largethelossesmightbe.Takentogether,thesefactorshelpedtotransmit,alongwithcapitaloutflowsandsharpfallsinequityprices,thefinancialcrisisfromadvancedcapitalmarketstoemergingmarketfinancialsystems.Thepaperalsodiscussesseveralpolicymeasuresdesignedtoreducethelikelihoodofsuchproblemsrecurring.ThisWorkin

5、gPapershouldnotbereportedasrepresentingtheviewsoftheIMF.TheviewsexpressedinthisWorkingPaperarethoseoftheauthor(s)anddonotnecessarilyrepresentthoseoftheIMForIMFpolicy.WorkingPapersdescriberesearchinprogressbytheauthor(s)andarepublishedtoelicitcommentsandtofurtherdebate.JELClassificationNumbers:F3Int

6、ernationalFinance/F30General/GFinancialMarkets/G15InternationalFinancialMarketsOEconomicDevelopment/O16FinancialMarketsKeywords:derivatives,exotic,crisistransmission,KIKO,TARN,investorprotectionAuthor’sE-MailAddress:rdodd@imf.orgorrdodd@financialpolicy.org2ContentsPageI.Introduction................

7、......................................................................................................3II.DescriptiveAnalysisofKIKO-TypeExoticDerivatives..............................................4A.Back