Derviz, Alexis; Podpiera, Jiří - European Central Bank - 2007
fundamentals (GDP growth, inflation and long-term interest rates), a measure of home-
host country bilateral exchange rate … exchange rate volatility plays an important role
x There is a statistically significant relation of credit risk costs of the …
shareholder arm’s length returns might have non-zero correlations across countries (e.g. due
to common noise components, exchange …