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Chinese monetary policy and the dollar peg
Reade, J. James; Volz, Ulrich - 2010
This paper investigates to what extent Chinese monetary policy is constrained by the dollar peg. To this end, we use a cointegration framework to examine whether Chinese interest rates are driven by the Fed's policy. In a second step, we estimate a monetary model for China, in which we include...
Persistent link: https://www.econbiz.de/10008796581
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The IMF to the rescue : did the euro area benefit from the fund's experience in crisis fighting?
Dullien, Sebastian; Fritz, Barbara; Mühlich, Laurissa - 2016
’s handling of the euro crisis. We link models of multiple equilibria with the IMF's experience made in Latin American crises in …
Persistent link: https://www.econbiz.de/10011548057
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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalın; Kaya, Orcun - 2013
This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the sovereign markets and persistency of country risks. Specifically, we apply semi-parametric and parametric methods to the sovereign CDSs of 10 eurozone countries to test the...
Persistent link: https://www.econbiz.de/10009731982
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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011663407
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Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, … - 2013
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10010128764
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Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives
Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018
Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....
Persistent link: https://www.econbiz.de/10011888333
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US banks, crises, and bailouts : from Mexico to LTCM
Kho, Bong-Chan; Lee, Dong; Stulz, René M. - In: The American economic review 90 (2000) 2, pp. 28-31
Persistent link: https://www.econbiz.de/10001502537
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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/10010433356
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Accounting for forward rates in markets for foreign currency
Backus, David - In: The journal of finance : the journal of the American … 48 (1993) 5, pp. 1887-1908
Persistent link: https://www.econbiz.de/10001155919
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Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate
Balaban, Ercan - 1999
Persistent link: https://www.econbiz.de/10001399838