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Getting beyond carry trade : what makes a safe haven currency?

Habib, Maurizio Michael; Stracca, Livio - 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/10008901495

The implications of global and domestic credit cycles for emerging market economies : measures of finance-adjusted output gaps

Grintzalis, Ioannis; Lodge, David; Manu, Ana-Simona - 2017

We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the...

Persistent link: https://www.econbiz.de/10011637326

Security fungibility and the cost of capital : evidence from global bonds

Miller, Darius P. (contributor); … - 2005

This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of Global bonds. Unlike other debt securities, Global bonds’ fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear and settle...

Persistent link: https://www.econbiz.de/10002811369

America First? : a US-centric view of global capital flows

McQuade, Peter; Schmitz, Martin - 2019

Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the...

Persistent link: https://www.econbiz.de/10011975553

Managing the sovereign-bank nexus

Dell'Ariccia, Giovanni; Ferreira, Caio; Jenkinson, Nigel; … - 2018

This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...

Persistent link: https://www.econbiz.de/10011901498

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/10003867020

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

Persistent link: https://www.econbiz.de/10009765237

Fiscal multipliers with financial fragmentation risk and interactions with monetary policy

Darracq Pariès, Matthieu; Müller, Georg; … - 2020

We quantify the size of fiscal multipliers under financial fragmentation risk and demonstrate how non-standard monetary policy can support the macroeconomic transmission of fiscal interventions. We employ a DSGE model with financial frictions whereby the interplay of corporate, banks and...

Persistent link: https://www.econbiz.de/10012241104

Regulating the doom loop

Alogoskoufis, Spyros; Langfield, Sam - 2019

Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on …

Persistent link: https://www.econbiz.de/10012061145

Firm or bank weakness? : access to finance since the European sovereign debt crisis

Corbisiero, Giuseppe; Faccia, Donata - 2020

This paper uses a unique dataset where credit rejections experienced by euro area firms are matched with firm and bank … the euro area during the sovereign debt crisis, and in credit developments characterising the post-crisis recovery … representation of euro area firms of small and medium size. Our findings suggest that, while firm balance sheet factors have been …

Persistent link: https://www.econbiz.de/10012150099

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