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Carry funding and safe haven currencies : a threshold regression approach
Hossfeld, Oliver; MacDonald, Ronald - 2014
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/10010462763
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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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Capital markets and the exchange rate, with special reference to the dollarization debate in Latin America
Calvo, Guillermo - In: Journal of money, credit and banking : JMCB 33 (2001) 2,2, pp. 312-334
Persistent link: https://www.econbiz.de/10001580600
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Comment on Capital markets and the exchange rate
Kashyap, Anil K. - In: Journal of money, credit and banking : JMCB 33 (2001) 2/2, pp. 335-338
Persistent link: https://www.econbiz.de/10001585339
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"My name is Bond. Green Bond." : informational efficiency of climate finance markets
Gronwald, Marc; Wadud, Sania - 2024
This paper investigates the informational efficiency of green bond markets using a recently introduced quantitative measure for market inefficiency. The methodology assesses the deviation of observed asset price behavior from the Random Walk benchmark, which represents an efficient market. The...
Persistent link: https://www.econbiz.de/10014505807
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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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Can miracles lead to crises? : the role of optimism in emerging markets crises
Boz, Emine - In: Journal of money, credit and banking : JMCB 41 (2009) 6, pp. 1189-1215
Persistent link: https://www.econbiz.de/10003878833
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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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Volatility transmission in emerging European foreign exchange markets
Bubák, Vít; Kočenda, Evžen; Zikes, Filip - 2010
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … significant spillovers running from euro/dollar to the Central European foreign exchange markets. To measure the overall magnitude …
Persistent link: https://www.econbiz.de/10003969723
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Central bank policies and financial markets : lessons from the Euro crisis
Mody, Ashoka; Nedeljkovic, Milan - 2018 - This version: November 20, 2018
bond markets and improved economic sentiment, as reflected in higher equity prices. In contrast, passive euro liquidity …
Persistent link: https://www.econbiz.de/10011942687