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Getting Beyond Carry Trade : What Makes a Safe Haven Currency?
Habib, Maurizio Michael - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10013131638
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Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR
Gross, Marco - 2013
This paper aims to illustrate how a Mixed-Cross-Section Global Vector Autoregressive (MCS-GVAR) model can be set up and solved for the purpose of forecasting and scenario simulation. The application involves two cross-sections: sovereigns and banks for which we model their credit default swap...
Persistent link: https://www.econbiz.de/10013078534
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The Pricing of Sovereign Risk and Contagion During the European Sovereign Debt Crisis
Beirne, John - 2014
spreads during the crisis, not only for euro area countries but globally. By contrast, regional spill overs and contagion have … been less important, including for euro area countries. The paper also finds evidence for herding contagion – sharp …
Persistent link: https://www.econbiz.de/10013061742
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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
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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/10013159289
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Sovereign Risk and Bank Risk-Taking
Ari, Anil - 2016
In European countries recently hit by a sovereign debt crisis, the share of domestic sovereign debt held by the national banking system has sharply increased, raising issues in their economic and financial resilience, as well as in policy design. This paper examines these issues by analyzing the...
Persistent link: https://www.econbiz.de/10012993780
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The Euro Area Sovereign Debt Crisis : Safe Haven, Credit Rating Agencies and the Spread of the Fever from Greece, Ireland and Portugal
De Santis, Roberto A. - 2012
Since the intensification of the crisis in September 2008, all euro area long-term government bond yields relative to … euro area spreads, including those for Austria, Finland and the Netherlands. Country-specific credit ratings have played a …
Persistent link: https://www.econbiz.de/10013111942
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Market Perception of Sovereign Credit Risk in the Euro Area During the Financial Crisis
Camba-Mendez, Gonzalo - 2014
We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we … euro area countries. In our empirical results the estimated LGDs perceived by financial markets stay comfortably below 40 …
Persistent link: https://www.econbiz.de/10013052936
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Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area
Garcia-de-Andoain, Carlos; Kremer, Manfred - 2021
In this paper we propose a composite indicator that measures multi-dimensional sovereign bond market stress in the euro … area as a whole and in individual euro area member states. It integrates measures of credit risk, volatility and liquidity … eleven euro area member states and also present four options of a SovCISS for the entire monetary union. In addition, we …
Persistent link: https://www.econbiz.de/10013315399
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Cross-Country Linkages and Spill-Overs in Early Warning Models for Financial Crises
Lang, Jan Hannes - 2018
This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...
Persistent link: https://www.econbiz.de/10012916375