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Are Emerging Market Currency Crises Predictable? - a Test

Peltonen, Tuomas A. - 2021

This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well...

Persistent link: https://www.econbiz.de/10013318114

What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - 2009

A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...

Persistent link: https://www.econbiz.de/10011605106

Sudden Stop of Capital Flows and the Consequences for the Banking Sector and the Real Economy

Neagu, Florian - 2013

The paper develops a macro-prudential liquidity stress-testing tool in order to capture the possible consequences of a capital outflow (including a run of deposits). The tool includes a feedback from the banking sector to the real economy, incorporates a link between liquidity risk and solvency...

Persistent link: https://www.econbiz.de/10013075929

Dynamic Factor Models with Macro, Frailty and Industry Effects for US Default Counts : The Credit Crisis of 2008

Koopman, Siem Jan - 2012

We develop a high-dimensional and partly nonlinear non-Gaussian dynamic factor model for the decomposition of systematic default risk conditions into a set of latent components that correspond with macroeconomic/financial, default-specific (frailty), and industry-specific effects. Discrete...

Persistent link: https://www.econbiz.de/10013102101

Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities

Mehl, Arnaud; Cappiello, Lorenzo - 2007

This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...

Persistent link: https://www.econbiz.de/10011604847

Foreign-Currency Bonds : Currency Choice and the Role of Uncovered and Covered Interest Parity

Habib, Maurizio Michael; Joy, Mark - 2021

Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...

Persistent link: https://www.econbiz.de/10013316472

Multimarket Trading and the Cost of Debt : Evidence from Global Bonds

Petrasek, Lubomir - 2010

Global bonds are international securities designed to be traded and settled efficiently in multiple markets. This paper studies global bonds to examine the effects of multimarket trading on corporate bond liquidity, prices, and the cost of debt. Using a sample of primary and secondary market...

Persistent link: https://www.econbiz.de/10013142590

Modeling Euro Area Bond Yields Using a Time-Varying Factor Model

Adam, Tomas - 2017

In this paper, we study the dynamics and drivers of sovereign bond yields in euro area countries using a factor model … in individual euro area countries using a time-varying model. Using the reduced form results, we show decoupling of … periphery euro area bond yields from the core countries yields following the financial crisis and the scope of their subsequent …

Persistent link: https://www.econbiz.de/10012963728

Monetary policy, housing booms and financial (im)balances

Eickmeier, Sandra; Hofmann, Boris - 2010

This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...

Persistent link: https://www.econbiz.de/10011605224

Security fungibility and the cost of capital: evidence from global bonds

Miller, Darius P.; Puthenpurackal, John J. - 2005

This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of Global bonds. Unlike other debt securities, Global bonds’ fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear and settle...

Persistent link: https://www.econbiz.de/10011604472

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