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The Composition Matters : Capital Inflows and Liquidity Crunch During a Global Economic Crisis
Tong, Hui - 2010
International capital flows, while potentially beneficial, are said to increase a country's vulnerability to crisis - especially if they are skewed to non-FDI types. This paper studies whether the volume and composition of capital flows affect the degree of credit crunch faced by a country's...
Persistent link: https://www.econbiz.de/10013151647
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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
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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/10012981103
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For a Few Dollars More : Reserves and Growth in Times of Crises
Bussière, Matthieu - 2014
Based on a dataset of 112 emerging economies and developing countries, this paper addresses two key questions regarding the accumulation of international reserves: first, has the accumulation of reserves effectively protected countries during the 2008-09 financial crisis? And second, what...
Persistent link: https://www.econbiz.de/10013061062
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Living with the Trilemma Constraint : Relative Trilemma Policy Divergence, Crises, and Output Losses for Developing Countries
Aizenman, Joshua - 2013
This paper investigates the potential impacts of the degree of divergence in open macroeconomic policies in the context of the trilemma hypothesis. Using an index that measures the relative policy divergence among the three trilemma policy choices, namely monetary independence, exchange rate...
Persistent link: https://www.econbiz.de/10013075864
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A Cure Worse than the Disease? Currency Crises and the Output Costs of Imf-Supported Stabilization Programs
Hutchison, Michael M. - 2021
This paper investigates the output effects of IMF-supported stabilization programs, especially those introduced at the time of a severe balance of payments/currency crisis. Using a panel data set over the 1975-97 period and covering 67 developing and emerging-market economies (with 461 IMF...
Persistent link: https://www.econbiz.de/10013240616
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The replacement of safe assets : evidence from the U.S. bond portfolio
Bertaut, Carol C.; Tabova, Alexandra; Wong, Vivian - 2014
Persistent link: https://www.econbiz.de/10010475313
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The anatomy of financial vulnerabilities and crises
Lee, Seung Jung; Posenau, Kelly E.; Stebunovs, Viktors - 2017
Persistent link: https://www.econbiz.de/10011629958
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Answering the Critics : Yes, Arch Models Do Provide Good Volatility Forecasts
Andersen, Torben G. - 2008
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/10012774886
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The Predictive Ability of Several Models of Exchange Rate Volatility
West, Kenneth D.; Cho, Dongchul - 2021
We compare the out-of-sample forecasting performance of univariate homoskedastic, GARCH, autoregressive and nonparametric models for conditional variances, using five bilateral weekly exchange rates for the dollar, 1973-1989. For a one week horizon, GARCH models tend to make slightly more...
Persistent link: https://www.econbiz.de/10013225431