Narrow search
Showing 1 - 10 of 4,632
Cover Image
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
Cover Image
Chinese monetary policy and the dollar peg
Reade, J. James; Volz, Ulrich - 2010
This paper investigates to what extent Chinese monetary policy is constrained by the dollar peg. To this end, we use a cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a monetary model for China, in which we include...
Persistent link: https://www.econbiz.de/10008796581
Cover Image
Optimal reserve composition in the presence of sudden stops : the euro and the dollar as safe haven currencies
Beck, Roland (contributor); Rahbari, Ebrahim (contributor) - 2008
traditional portfolio objectives as debt to reserve ratios decrease. We empirically estimate optimal dollar and euro shares for 24 … reserve ratios, introducing transactions demand has a relatively modest effect. We also find that euro and dollar bonds act as … in Asia and Latin America, while the euro is a better hedge for sudden stops in Emerging Europe. We reproduce …
Persistent link: https://www.econbiz.de/10003782664
Cover Image
Does the US contagion risk affect foreign direct investment inflows in emerging economies?
Woraphon Yamaka; Paravee Maneejuk - 2022
Persistent link: https://www.econbiz.de/10014320179
Cover Image
Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
Cover Image
The IMF to the rescue : did the euro area benefit from the fund's experience in crisis fighting?
Dullien, Sebastian; Fritz, Barbara; Mühlich, Laurissa - 2016
’s handling of the euro crisis. We link models of multiple equilibria with the IMF's experience made in Latin American crises in …
Persistent link: https://www.econbiz.de/10011548057
Cover Image
Choice of currency in bond issuance and the international role of currencies
Siegfried, Nikolaus (contributor);  … - 2007
This paper investigates bond issuance of non-financial corporations in advanced economies during the period 1999-2003, attempting to understand motives for issuing in foreign currency, and determinants for the choice of currency. We consider the following influences on the currency choice when...
Persistent link: https://www.econbiz.de/10003554956
Cover Image
Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US … the appreciation of the euro against the US dollar in recent years. Interestingly, EME policy-makers appear to have become …
Persistent link: https://www.econbiz.de/10003825947
Cover Image
Was unofficial dollarisation/euroisation an amplifier of the "Great Recession" of 2007 - 09 in emerging economies
Chiţu, Livia - 2012
Persistent link: https://www.econbiz.de/10009765967
Cover Image
The implications of global and domestic credit cycles for emerging market economies : measures of finance-adjusted output gaps
Grintzalis, Ioannis; Lodge, David; Manu, Ana-Simona - 2017
We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the...
Persistent link: https://www.econbiz.de/10011637326