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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

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies

Chan-Lau, Jorge; Méndez Morales, Armando - 2021

This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It finds that these markets are more efficient than...

Persistent link: https://www.econbiz.de/10013212314

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

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

Dollar Exchange Rate Volatility and Productivity Growth in Emerging Markets : Evidence from Firm Level Data

Eklou, Kodjovi - 2023

This paper examines the impact of Dollar exchange rate volatility on firm productivity in Emerging Markets economies (EMs). Using firm level data covering 16 EMs over the period 1998 -2019, the paper shows that dollar exchange rate volatility reduces firm productivity growth. Exploring channels,...

Persistent link: https://www.econbiz.de/10014350158

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

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

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

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

The Pros and Cons of Full Dollarization

Borensztein, Eduardo - 2021

We analyze the costs and benefits of full dollarization compared to its closest alternative, a currency board, quantifying for Argentina where possible. Potential advantages include lower borrowing costs and deeper integration into world markets. One cost is the transfer of seigniorage to the...

Persistent link: https://www.econbiz.de/10013212036

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