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The efficiency of early warning indicators for financial crises
Rabe, Jens Michael - 2000
The banking and currency crises of the last two decades inflictedsubstantial financial, economic, and social damage on thecountries in which they originated. In this work, the efficiencyof early warning indicators for these disastrous economic eventsis evaluated. An analysis of the traditional...
Persistent link: https://www.econbiz.de/10009471830
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Country Default Probabilities: Assessing and Backtesting
Vogl, Konstantin; Maltritz, Dominik; Huschens, Stefan; … - 2006
We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...
Persistent link: https://www.econbiz.de/10010296810
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The Asia financial crises and exchange rates: Had there been volatility shifts for Asian currencies?
Oga, Takashi; Polasek, Wolfgang - 2010
We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...
Persistent link: https://www.econbiz.de/10010294017
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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/10011605019
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Optimal reserve composition in the presence of sudden stops: the euro and the dollar as safe haven currencies
Beck, Roland; Rahbari, Ebrahim - 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/10011604962
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Leistungsbilanzentwicklung ausgewählter Schwellenländer Asiens und Lateinamerikas: Ursachen und wirtschaftspolitische Konsequenzen
Schweickert, Rainer - 2000
Ist Südostasien anders? Dieser Frage geht Rainer Schweickert in der Kieler Studie 306 nach. Seine Analyse der Leistungsbilanzen, ihrer Teilkomponenten und ihrer Determinanten seit Anfang der 70er Jahre sowie der krisenhaften Entwicklungen in den 90er Jahren weist nach, dass diese Vermutung in...
Persistent link: https://www.econbiz.de/10010332925
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A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an Application to Brazilian Data
Garcia, Márcio; Rigobon, Roberto - 2004
In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is...
Persistent link: https://www.econbiz.de/10011807312
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Chronicle of currency collapses: re-examining the effects on output
Bussière, Matthieu; Saxena, Sweta C.; Tovar, Camilo E. - 2010
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 for the period...
Persistent link: https://www.econbiz.de/10011605272
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Analysis of the intraday effects of economic releases on the currency market
Rezania, Omid; Rachev, Svetlozar T.; Sun, Edward; … - 2010
Using four years of second-by-second executed trade data, we study the intraday effects of a representative group of scheduled economic releases on three exchange rates: EUR/$, JPY/$ and GBP/$. Using wavelets to analyze volatility behavior, we empirically show that intraday volatility clusters...
Persistent link: https://www.econbiz.de/10010301730
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Excess comovements between the Euro/US dollar and British pound/US dollar exchange rates
Kühl, Michael - 2009
The aim of this paper is to discuss excess comovements for the Euro/US dollar and British pound/US dollar exchange …
Persistent link: https://www.econbiz.de/10010302725