{ "title": "Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants", "publication": "IMF Working Papers, April 1, 2008", "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/31/is-there-a-novelty-premium-on-new-financial-instruments-the-argentine-experience-with-gdp-21851", "canonical": "https://www.imf.org/en/publications/wp/issues/2016/12/31/is-there-a-novelty-premium-on-new-financial-instruments-the-argentine-experience-with-gdp-21851", "overlayPath": "/en/publications/wp/issues/2016/12/31/is-there-a-novelty-premium-on-new-financial-instruments-the-argentine-experience-with-gdp-21851/index.md", "summary": "This paper examines the Argentine experience with GDP-indexed warrants in order to gauge the existence of a novelty premium on new financial instruments. It develops a Monte Carlo pricing exercise to calculate the expected net present value of payments, on the basis of various forecast assumptions.", "sections": [ { "heading": "Authors and publication", "content": "- Luca A Ricci, Marcos Chamon, Alejo Costa\n- April 1, 2008\n- IMF Working Papers; Working Paper No. 2008/109\n- Volume: 2008; Issue: 109; Pages: 40\n- DOI: https://doi.org/10.5089/9781451869699.001\n- Stock No: WPIEA2008109\n- ISBN: 9781451869699\n- ISSN: 1018-5941" }, { "heading": "Research question and scope", "content": "- Examines the Argentine experience with GDP-indexed warrants to gauge the existence of a novelty premium on new financial instruments.\n- Focus on comparing residual premia paid by GDP-indexed warrants relative to standard bonds." }, { "heading": "Methodology", "content": "- Develops a Monte Carlo pricing exercise to calculate the expected net present value of payments.\n- Applies various forecast assumptions in the pricing exercise." }, { "heading": "Key findings", "content": "- The residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007.\n- The evidence suggests that financial innovation may be associated with premia, which decay reasonably fast." }, { "heading": "Subject classification and keywords", "content": "- Subject: Currencies, Discount rates, Exchange rates, Inflation, Securities\n- Keywords: discount rate, GDP warrant, U.S. dollar, unit of currency, WP" }, { "heading": "Document identifiers and access", "content": "- Format available: PDF (Download PDF indicated on landing page)\n- Additional access and citation formats referenced on the source page.\n\nSource: IMF Working Paper landing page for \"Is There a Novelty Premium on New Financial Instruments? The Argentine Experience with GDP-Indexed Warrants\".\n\n---\n\n Content in this bundle\n\n- 1. Main Economic Indicators\n - 1. Main Economic Indicators (Markdown version){rel=\"alternate\" type=\"text/markdown\"}\n - 1. Main Economic Indicators (PDF){rel=\"external\" type=\"application/pdf\"}\n\n---\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/31/is-there-a-novelty-premium-on-new-financial-instruments-the-argentine-experience-with-gdp-21851" } ], "bullets": [ "[Markdown version](/en/publications/wp/issues/2016/12/31/is-there-a-novelty-premium-on-new-financial-instruments-the-argentine-experience-with-gdp-21851/index.md)", "[Structured JSON version](/en/publications/wp/issues/2016/12/31/is-there-a-novelty-premium-on-new-financial-instruments-the-argentine-experience-with-gdp-21851/index.json)", "[Bundle manifest](/en/publications/wp/issues/2016/12/31/is-there-a-novelty-premium-on-new-financial-instruments-the-argentine-experience-with-gdp-21851/bundle-manifest.json)", "Authors: Luca A Ricci, Marcos Chamon, Alejo Costa", "Published: April 1, 2008", "Series: IMF Working Papers", "DOI: https://doi.org/10.5089/9781451869699.001", "Luca A Ricci, Marcos Chamon, Alejo Costa", "April 1, 2008", "IMF Working Papers; Working Paper No. 2008/109", "Volume: 2008; Issue: 109; Pages: 40", "DOI: https://doi.org/10.5089/9781451869699.001", "Stock No: WPIEA2008109", "ISBN: 9781451869699", "ISSN: 1018-5941", "Examines the Argentine experience with GDP-indexed warrants to gauge the existence of a novelty premium on new financial instruments.", "Focus on comparing residual premia paid by GDP-indexed warrants relative to standard bonds.", "Develops a Monte Carlo pricing exercise to calculate the expected net present value of payments.", "Applies various forecast assumptions in the pricing exercise.", "The residual premium paid by these warrants over standard bonds declined significantly by about 600 basis points between December 2005 and July 2007.", "The evidence suggests that financial innovation may be associated with premia, which decay reasonably fast.", "Subject: Currencies, Discount rates, Exchange rates, Inflation, Securities", "Keywords: discount rate, GDP warrant, U.S. dollar, unit of currency, WP", "Format available: PDF (Download PDF indicated on landing page)", "Additional access and citation formats referenced on the source page.", "**1. Main Economic Indicators**" ], "related": [ { "title": "1. 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