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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
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
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
Persistent link: https://www.econbiz.de/10014320179
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
’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
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
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
Persistent link: https://www.econbiz.de/10009765967
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