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Carry Funding and Safe Haven Currencies : A Threshold Regression Approach
Hossfeld, Oliver - 2015
the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven … currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … analysis of bilateral euro-based exchange rates, given the euro's prominent role during the euro area sovereign debt crisis …
Persistent link: https://www.econbiz.de/10013030487
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Have financial markets become more informative?
Bai, Jennie; Philippon, Thomas; Savov, Alexi - 2012
The finance industry has grown. Financial markets have become more liquid. Information technology has improved. But have prices become more informative? Using stock and bond prices to forecast earnings, we find that the information content of market prices has not increased since 1960. The...
Persistent link: https://www.econbiz.de/10009657611
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Estimating the impacts of US LSAP's on emerging market economies' local currency bond markets
Moore, Jeffrey A.; Nam, Sunwoo; Suh, Myeongguk; Tepper, … - 2013
This paper examines whether large-scale asset purchases (LSAPs) by the Federal Reserve influenced capital flows out of the United States and into emerging market economies (EMEs) and also analyzes the degree of pass-through from long-term U.S. government bond yields to long-term EME bond yields....
Persistent link: https://www.econbiz.de/10009692612
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Time-Varying Exchange Rate Basket in China from 2005 to 2009
Fidrmuc, Jarko - 2013
We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...
Persistent link: https://www.econbiz.de/10013094429
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Financial fragility and Mexico's 1994 peso crisis : an event-window analysis of market-valuation effects
Wilson, Berry K.; Saunders, Anthony; Caprio, Gerard - In: Journal of money, credit and banking : JMCB 32 (2000) 3,2, pp. 450-468
Persistent link: https://www.econbiz.de/10001509482
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Pegxit Pressure : Evidence from the Classical Gold Standard
Mitchener, Kris James - 2017
We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency devaluation. Using a new high-frequency data set on...
Persistent link: https://www.econbiz.de/10012965714
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Financial Stability in Europe : Banking and Sovereign Risk
Bruha, Jan - 2017
theoretically and empirically motivated banking sector characteristics, and a Bayesian inference in panel estimation as a …
Persistent link: https://www.econbiz.de/10012955275
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Sovereign Rating News and Financial Markets Spillovers : Evidence from the European Debt Crisis
Arezki, Rabah - 2011
This paper examines the spillover effects of sovereign rating news on European financial markets during the period 2007-2010. Our main finding is that sovereign rating downgrades have statistically and economically significant spillover effects both across countries and financial markets. The...
Persistent link: https://www.econbiz.de/10013127179
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How much bang for the buck? : Mexico and dollarization
Levine, Ross; Carkovic, Maria Vicenta - In: Journal of money, credit and banking : JMCB 33 (2001) 2,2, pp. 339-363
Persistent link: https://www.econbiz.de/10001580602
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar/British Pound Spot Exchange Rate
Caporale, Guglielmo Maria - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10013082343