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Chinese monetary policy and the dollar peg

Reade, J. James; Volz, Ulrich - 2010

This paper investigates to what extent Chinese monetary policy is constrained by the dollar peg. To this end, we use a cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a monetary model for China, in which we include...

Persistent link: https://www.econbiz.de/10008796581

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/10013045650

The IMF to the rescue : did the euro area benefit from the fund's experience in crisis fighting?

Dullien, Sebastian; Fritz, Barbara; Mühlich, Laurissa - 2016

’s handling of the euro crisis. We link models of multiple equilibria with the IMF's experience made in Latin American crises in …

Persistent link: https://www.econbiz.de/10011548057

Realignment expectations and the US dollar, 1890 - 1897 : was there a "Peso problem"?

Hallwood, Paul; MacDonald, Ronald; Marsh, Ian - In: Journal of monetary economics 46 (2000) 3, pp. 605-620

Persistent link: https://www.econbiz.de/10001527303

Dollar Funding and the Lending Behavior of Global Banks

Ivashina, Victoria - 2012

in which such banks cut dollar lending more than euro lending in response to a shock to their credit quality. Because … these banks rely on wholesale dollar funding, while raising more of their euro funding through insured retail deposits, the … dollar funding, there were significant violations of euro-dollar CIP. Moreover, dollar lending by Eurozone banks fell …

Persistent link: https://www.econbiz.de/10013098138

Optimal Currency Area : A 20th Century Idea for the 21st Century?

Aizenman, Joshua - 2016

We take stock of the history of the European Monetary Union and pegged exchange-rate regimes in recent decades. The post-Bretton Woods greater financial integration and under-regulated financial intermediation have increased the cost of sustaining a currency area and other forms of fixed...

Persistent link: https://www.econbiz.de/10012996468

Sovereign default swap market efficiency and country risk in the eurozone

Gündüz, Yalın; Kaya, Orcun - 2013

This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...

Persistent link: https://www.econbiz.de/10009731982

Measuring Sovereign Contagion in Europe

Caporin, Massimiliano - 2020

This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression and Bayesian quantile regression with heteroskedasticity) we show that...

Persistent link: https://www.econbiz.de/10012823085

Sovereign spreads in the Euro area : cross border transmission and macroeconomic implications

Bahaj, Saleem - In: Journal of monetary economics 110 (2020), pp. 116-135

Persistent link: https://www.econbiz.de/10012494133

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

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