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The extreme value in crude oil and US dollar markets

Chen, Wei-Peng; Choudhry, Taufiq; Wu, Chih-Chiang - In: Journal of International Money and Finance 36 (2013) C, pp. 191-210

This study constructs a flexible range-based volatility model by considering extreme-value information to explore the volatility and dependence structures between the oil price and the US dollar exchange rate. An asset-allocation strategy is implemented to evaluate the economic value and confirm...

Persistent link: https://www.econbiz.de/10011048522

Empirical evidence on the currency carry trade, 1900–2012

Doskov, Nikolay; Swinkels, Laurens - In: Journal of International Money and Finance 51 (2015) C, pp. 370-389

Most of the currency literature investigates the risk and return characteristics of the currency carry trade after the collapse of the Bretton Woods system. In order to gauge the long-term currency carry premium, we extend the sample to 20 currencies over the period 1900 to 2012. We find modest...

Persistent link: https://www.econbiz.de/10011190181

Chronicle of currency collapses: Re examining the effects on output

Bussière, Matthieu; Saxena, Sweta C.; Tovar, Camilo E. - In: Journal of International Money and Finance 31 (2012) 4, pp. 680-708

The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies over the...

Persistent link: https://www.econbiz.de/10010869442

Currency crises and monetary policy: A study on advanced and emerging economies

Eijffinger, Sylvester C.W.; Karataş, Bilge - In: Journal of International Money and Finance 31 (2012) 5, pp. 948-974

The studies regarding the appropriate monetary policy response in defending the domestic currency following a currency crisis do not gather around a robust answer. This study tries to emphasize the notion that there is no single policy applicable for all currency crises happened and happening in...

Persistent link: https://www.econbiz.de/10011048427

Financial crises and cross-border banking: New evidence

Kleimeier, Stefanie; Sander, Harald; Heuchemer, Sylvia - In: Journal of International Money and Finance 32 (2013) C, pp. 884-915

The surge in cross-border banking prior to global financial crises took place not only in the interbank market but also in the retail market, e.g. between banks and their private customers abroad. We utilize confidential data to estimate for the first time the effects of banking, currency and...

Persistent link: https://www.econbiz.de/10010594698

Predicting corporate governance in emerging markets

Braga-Alves, Marcus V.; Morey, Matthew - In: Journal of International Money and Finance 31 (2012) 6, pp. 1414-1439

This paper investigates what predicts corporate governance in emerging markets. Specifically, we examine what predicts governance changes and the level of governance itself. To conduct this study, we utilize a unique dataset from AllianceBernstein that consists of monthly firm-level corporate...

Persistent link: https://www.econbiz.de/10010599343

Has the euro affected the choice of invoicing currency?

Ligthart, Jenny E.; Werner, Sebastian E.V. - In: Journal of International Money and Finance 31 (2012) 6, pp. 1551-1573

We present a new approach to study empirically the effect of the introduction of the euro on the pattern of currency … invoicing after the introduction of the euro, whereas the home currency share of non-eurozone countries fell slightly. In … addition, the euro as a vehicle currency has overtaken the role of the US dollar in Norwegian imports. The substantial rise in …

Persistent link: https://www.econbiz.de/10010869452

The known unknowns and unknown unknowns of European Monetary Union

Pisani-Ferry, Jean - In: Journal of International Money and Finance 34 (2013) C, pp. 6-14

forming a monetary union among diverse economies. Several of the problems that emerged in the euro crisis were correctly …

Persistent link: https://www.econbiz.de/10011048450

Foreign exchange market reactions to sovereign credit news

Alsakka, Rasha; ap Gwilym, Owain - In: Journal of International Money and Finance 31 (2012) 4, pp. 845-864

We analyse the reaction of the foreign exchange spot market to sovereign credit signals by Fitch, Moody’s and S&P during 1994–2010. We find that positive and negative credit news affects both the own-country exchange rate and other countries’ exchange rates. We provide evidence on unequal...

Persistent link: https://www.econbiz.de/10011048442

Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries

Berganza, Juan Carlos; Broto, Carmen - In: Journal of International Money and Finance 31 (2012) 2, pp. 428-444

Emerging economies with inflation targets (IT) face a dilemma between fulfilling the theoretical conditions of “strict IT”, which imply a fully flexible exchange rate, or applying a “flexible IT”, which entails a de facto managed-floating exchange rate with foreign exchange (forex)...

Persistent link: https://www.econbiz.de/10011048455