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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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MENA stock market volatility persistence : evidence before and after the financial crisis of 2008
Assaf, Ata - In: Research in international business and finance 36 (2016), pp. 222-240
Persistent link: https://www.econbiz.de/10011594406
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Microstructures, financial reforms and informational efficiency in an emerging market
Arjoon, Vaalmikki - In: Research in international business and finance 36 (2016), pp. 112-126
Persistent link: https://www.econbiz.de/10011594282
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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
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Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets
Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67
Persistent link: https://www.econbiz.de/10011813162
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Insolvency regimes and firms' default risk under economic uncertainty and shocks
Gopalakrishnan, Balagopal; Mohapatra, Sanket - In: Economic modelling 91 (2020), pp. 180-197
Persistent link: https://www.econbiz.de/10012429032
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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
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Testing the white noise hypothesis of stock returns
Hill, Jonathan B.; Motegi, Kaiji - In: Economic modelling 76 (2019), pp. 231-242
Persistent link: https://www.econbiz.de/10012198322
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Determinants of sovereign bond yield spreads and contagion in the peripheral EU countries
Silvapulle, Paramsothy; Fenech, Jean Pierre; Thomasa, Alice - In: Economic modelling 58 (2016), pp. 83-92
Persistent link: https://www.econbiz.de/10011647047
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Emerging market sovereign bond spreads, credit ratings and global financial crisis
Özmen, Erdal; Yaşar, Özge Doğanay - In: Economic modelling 59 (2016), pp. 93-101
Persistent link: https://www.econbiz.de/10011647772