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Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2024
We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes periods of severe stress, such as the Global Financial Crisis, the COVID-19 pandemic and the Ukrainian War. Using...
Persistent link: https://www.econbiz.de/10014505308
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Boom-bust cycles in middle income countries : facts and explanation
Tornell, Aaron; Westermann, Frank - 2002
In this paper we characterize empirically the comovements of macro variables typically observed in middle income countries, as well as the boom-bust cycle that has been observed during the last two decades. We find that many countries that have liberalized their financial markets, have witnessed...
Persistent link: https://www.econbiz.de/10011410453
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Different no more : country spreads in advanced and emerging economies
Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes; … - 2020
Interest-rate spreads fluctuate widely across time and countries. We characterize their behavior using some 3,200 quarterly observations for 21 advanced and 17 emerging economies since the early 1990s. Before the financial crisis, spreads are 10 times more volatile in emerging economies than in...
Persistent link: https://www.econbiz.de/10012162762
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International Financial Crises
Dornbusch, Rudiger; Fischer, Stanley - 2003
Our friend and colleague Rüdiger Dornbusch passed away before he was able tocomplete his book based on the Munich Lectures in Economics that he gave inNovember 17, 1998, at the Center for Economic Studies of Ludwig-Maximilians-Universität.The lectures contain a fascinating overview of the...
Persistent link: https://www.econbiz.de/10011507825
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Financial and real sector returns, IMF-related news, and the Asian crisis
Kutan, Ali Mustafa; Muradoğlu, Gülnur - In: Finance research letters 16 (2016), pp. 28-37
Persistent link: https://www.econbiz.de/10011655066
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Central bank swap lines
Bahaj, Saleem; Reis, Ricardo - 2018 - First draft: October 2017
Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This paper analyses their monetary policy effects from three perspectives. First, from the perspective of the central banks, it shows that the swap line mimics discount-window credit...
Persistent link: https://www.econbiz.de/10011867130
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Optimal policy under dollar pricing
Egorov, Konstantin; Mukhin, Dmitry - 2020
Recent empirical evidence shows that most international prices are sticky in dollars. This paper studies the optimal policy implications of this fact in the context of an open economy model, allowing for an arbitrary structure of asset markets, general preferences and technologies, time-or...
Persistent link: https://www.econbiz.de/10012213072
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The Euro/Dollar exchange rate : chaotic or non-chaotic?
Federici, Daniela; Gandolfo, Giancarlo - 2011
econometrically estimated in continuous time with Euro/Dollar data and examined for the possible presence of chaotic motion. Our …
Persistent link: https://www.econbiz.de/10009011774
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Statements of ECB officials and their effect on the level and volatility of the Euro-Dollar exchange rate
Jansen, David-Jan; Haan, Jakob de - 2003
This paper studies the reaction of the mean and volatility of the euro-dollar exchange rate to statements of ECB … officials during the first years of EMU. We focus on statements on monetary policy and the (potential) strength of the euro. We …. In some cases there are effects of statements on the level of the euro-dollar rate. Efforts to talk up the euro have not …
Persistent link: https://www.econbiz.de/10011507830
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Vehicle currency pricing and exchange rate pass-through
Chen, Natalie; Chung, Wanyu; Novy, Dennis - 2019
Using detailed firm-level transactions data for UK imports, we find that invoicing in a vehicle currency is pervasive, with more than half of transactions in our sample invoiced in neither sterling nor the exporter's currency. We then study the relationship between invoicing currency choices and...
Persistent link: https://www.econbiz.de/10012029070