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The impact of subprime mortgage on correlation between stock and FX markets

Chang, Hsiu-yun; Kuo, Yen-ching - In: Applied economics letters 17 (2010) 13/15, pp. 1309-1312

Persistent link: https://www.econbiz.de/10008938303

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

Predictability of equity returns during a financial crisis

Shynkevich, Andrei - In: Applied economics letters 23 (2016) 16/18, pp. 1201-1205

Persistent link: https://www.econbiz.de/10011701849

U.S. Banks, Crises, and Bailouts : From Mexico to LTCM

Stulz, Rene M. - 2000

This paper investigates the impact on bank stock prices of emerging market currency crises and bailouts. The stock market distinguishes between banks with exposure to a crisis country and other banks. In general, banks with exposures to a crisis country are affected adversely by currency events...

Persistent link: https://www.econbiz.de/10012471245

Forecasting real exchange rate trends using age structure data : the case of Sweden

Andersson, Andreas; Österholm, Pär - In: Applied economics letters 12 (2005) 5, pp. 267-272

Persistent link: https://www.econbiz.de/10002753309

Return seasonality in the foreign exchange market

Tse, Yiuman - In: Applied economics letters 25 (2018) 1, pp. 5-8

Persistent link: https://www.econbiz.de/10011853573

Answering the Critics : Yes, ARCH Models Do Provide Good Volatility Forecasts

Andersen, Torben G. - 1997

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this, a voluminous literature has emerged for modeling the...

Persistent link: https://www.econbiz.de/10012472795

The Term Structure of Forward Exchange Premia and the Forecastibility of Spot Exchange Rates : Correcting the Errors

Clarida, Richard H. - 1993

We present theory and evidence that challenges the view that forward premia contain little information regarding subsequent spot rate movements. Using weekly dollar-mark and dollar sterling data, we find that spot and forward exchange rates together are well represented by a vector error...

Persistent link: https://www.econbiz.de/10012474508

Momentum, sovereign credit ratings and global equity markets

Grobys, Klaus - In: Applied economics letters 21 (2014) 16/18, pp. 1288-1292

Persistent link: https://www.econbiz.de/10010467472

The Curse of Non-Investment Grade Countries

Rigobon, Roberto - 2001

identification procedure based on conditional heteroskedasticity (ARCH) that solves the problem of estimation in a linear …

Persistent link: https://www.econbiz.de/10012470080

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