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Contagion in the European Sovereign Debt Crisis
Glover, Brent - 2014
We use a network model of credit risk to measure market expectations of the potential spillovers from a sovereign default. Specifically, we develop an empirical model, based on the recent theoretical literature on contagion in financial networks, and estimate it with data on sovereign credit...
Persistent link: https://www.econbiz.de/10012458098
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Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
Elliott, Graham - 1995
This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey...
Persistent link: https://www.econbiz.de/10012473491
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International Currencies and Capital Allocation
Maggiori, Matteo - 2018
sharply away from the euro and toward the dollar after the 2008 financial crisis, further cementing the dollar's international …
Persistent link: https://www.econbiz.de/10012453047
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Balance Sheet Effects on Monetary and Financial Spillovers : The East Asian Crisis Plus 20
Aizenman, Joshua - 2016
We study how the financial conditions in the Center Economies [the U.S., Japan, and the Euro area] impact other … euro) makes the response of a financial variable such as the REER and exchange market pressure in the PHs more sensitive to … a change in key variables in the U.S. (or the euro area) such as policy interest rates and the REER. While having more …
Persistent link: https://www.econbiz.de/10012455943
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Currency Centrality in Equity Markets, Exchange Rates and Global Financial Cycles
Rey, Hélène; Stavrakeva, Vania; Tang, Jenny - National Bureau of Economic Research - 2024
The paper explores empirically the tight links between exchange rates and the global network of equity holdings. Exchange rates can be expressed in terms of "equity net currency supplies", i.e. local currency stock market capitalization minus equity holdings, denominated in investors'...
Persistent link: https://www.econbiz.de/10015072944
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The Macroeconomic Consequences of Exchange Rate Depreciations
Fukui, Masao; Nakamura, Emi; Jón Steinsson - National Bureau of Economic Research - 2023
We study the consequences of "regime-induced" exchange rate depreciations by comparing outcomes for peggers versus floaters to the US dollar in response to a dollar depreciation. Pegger currencies depreciate relative to floater currencies and these depreciations are strongly expansionary. The...
Persistent link: https://www.econbiz.de/10014287380
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Free Lunch! Arbitrage Opportunities in the Foreign Exchange Markets
Ito, Takatoshi - 2012
Using the "firm" quotes obtained from the tick-by-tick EBS (electronic broking system that is a major trading platform for foreign exchanges) data, it is found that risk-free arbitrage opportunities--free lunch--do occur in the foreign exchange markets, but it typically last only a few seconds....
Persistent link: https://www.econbiz.de/10012460119
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Taylor Rule Exchange Rate Forecasting During the Financial Crisis
Molodtsova, Tanya - 2012
interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with …
Persistent link: https://www.econbiz.de/10012460332
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Dominant Currencies : How Firms Choose Currency Invoicing and Why it Matters
Amiti, Mary - 2020
foreign currencies, especially in the US dollar, exhibiting a lower pass-through of the euro-destination exchange rate and a …
Persistent link: https://www.econbiz.de/10012482146
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How Did the Dollar Peg Fail in Asia?
Ito, Takatoshi - 1999
In this paper we have constructed a theoretical model in which Asian firms maximize their profit, competing with Japanese and US firms in their markets. The duopoly model is used to determine export prices and volumes in response to the exchange rate fluctuations vis-…-vis the Japanese yen and...
Persistent link: https://www.econbiz.de/10012471508