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Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio Michael; Stracca, Livio - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10008901495
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The Euro Crisis and Economic Growth : A Novel Counterfactual Approach
Terzi, Alessio - 2019
Macroeconomic adjustment in the euro area periphery was more recessionary than pre-crisis imbalances would have …
Persistent link: https://www.econbiz.de/10012866042
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Managing the sovereign-bank nexus
Dell'Ariccia, Giovanni; Ferreira, Caio; Jenkinson, Nigel; … - 2018
This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...
Persistent link: https://www.econbiz.de/10011901498
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - 2009
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...
Persistent link: https://www.econbiz.de/10003867020
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Fundamentals and joint currency crises
Hartmann, Philipp (contributor);  … - 2004
Persistent link: https://www.econbiz.de/10002124917
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Booms and systemic banking crises
Boissay, Frederic; Collard, Fabrice; Smets, Frank - 2013
Persistent link: https://www.econbiz.de/10009765547
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A twin crisis with multiple banks of issue : Spain in the 1860s
Moro, Alessio; Nuño, Galo; Tedde de Lorca, Pedro - 2013
Persistent link: https://www.econbiz.de/10009766345
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Cross-country linkages and spill-overs in early warning models for financial crises
Lang, Jan Hannes - 2018
This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...
Persistent link: https://www.econbiz.de/10011864175
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Beyond spreadsmeasuring sovereign market stress in the euro area
Garcia de Andoain, Carlos; Kremer, Manfred - 2018
In this paper we propose a composite indicator that measures multidimensional sovereign bond market stress in the euro … area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity … eleven euro area member states and also present four options of a SovCISS for the entire monetary union. In addition, we …
Persistent link: https://www.econbiz.de/10011921004
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Understanding sovereign rating movements in euro area countries
Brůha, Jan; Karber, Moritz; Pierluigi, Beatrice; … - 2017
This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area … countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric … estimation technique, based on a Bayesian ordered probit model, to understand how the decisions of rating agencies can be …
Persistent link: https://www.econbiz.de/10011637529