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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/10013045650

Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market

Elliott, Graham - 2010

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/10012763699

Emerging Market Crises : an Asset Markets Perspective

Caballero, Ricardo J. - 2010

Although internal policy mismanagements can be cited in most recent emerging market crises, they seldom account fully for the severity of these crises. The reluctance of international investors to provide the resources that would limit the extent of the reversal almost invariably plays a key...

Persistent link: https://www.econbiz.de/10012763359

Currency Crashes in Emerging Markets : Empirical Indicators

Frankel, Jeffrey A.; Rose, Andrew Kenan - 2021

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine...

Persistent link: https://www.econbiz.de/10013228733

Credit, Prices, and Crashes : Business Cycles with a Sudden Stop

Mendoza, Enrique G. - 2001

The 1990s emerging-markets crises were characterized by sudden reversals in inflows of foreign capital followed by unusually large declines in current account deficits, private expenditures, production, and prices of nontradable goods relative to tradables. This paper shows that these Sudden...

Persistent link: https://www.econbiz.de/10012787676

Contagion : How to Measure it?

Rigobon, Roberto - 2021

The empirical literature on contagion has mainly measured the propagation of shocks across countries using daily stock markets, interest rates, and exchange rates. Several methodologies have been used for this purpose, however, the properties of the data introduces important limitations on the...

Persistent link: https://www.econbiz.de/10013243366

Pegs, Downward Wage Rigidity, and Unemployment : The Role of Financial Structure

Schmitt-Grohé, Stephanie - 2012

This paper studies the relationship between financial structure and the welfare consequences of fixed exchange rate regimes in small open emerging economies with downward nominal wage rigidity. The paper presents two surprising results. First, a pegging economy might be better off with a closed...

Persistent link: https://www.econbiz.de/10013103809

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

How Did the Dollar Peg Fail in Asia?

Ito, Takatoshi; Ogawa, Eiji; Sasaki, Yuri Nagataki - 2021

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/10013226986

Rose, Andrew Kenan - 2013

In contrast to earlier recessions, the monetary regimes of many small economies have not changed in the aftermath of the global financial crisis. This is due in part to the fact that many small economies continue to use hard exchange rate fixes, a reasonably durable regime. However, most of the...

Persistent link: https://www.econbiz.de/10013073186

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