Narrow search
Showing 1 - 10 of 74
Cover Image
Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US … the appreciation of the euro against the US dollar in recent years. Interestingly, EME policy-makers appear to have become …
Persistent link: https://www.econbiz.de/10011605019
Cover Image
Optimal reserve composition in the presence of sudden stops: the euro and the dollar as safe haven currencies
Beck, Roland; Rahbari, Ebrahim - 2008
traditional portfolio objectives as debt to reserve ratios decrease. We empirically estimate optimal dollar and euro shares for 24 … reserve ratios, introducing transactions demand has a relatively modest effect. We also find that euro and dollar bonds act as … in Asia and Latin America, while the euro is a better hedge for sudden stops in Emerging Europe. We reproduce …
Persistent link: https://www.econbiz.de/10011604962
Cover Image
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/10011605106
Cover Image
Chronicle of currency collapses: re-examining the effects on output
Bussière, Matthieu; Saxena, Sweta C.; Tovar, Camilo E. - 2010
The impact of currency collapses (i.e. large nominal depreciations or devaluations) on real output remains unsettled in the empirical macroeconomic literature. This paper provides new empirical evidence on this relationship using a dataset for 108 emerging and developing economies for the period...
Persistent link: https://www.econbiz.de/10011605272
Cover Image
Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities
Mehl, Arnaud; Cappiello, Lorenzo - 2007
This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...
Persistent link: https://www.econbiz.de/10011604847
Cover Image
Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10011605224
Cover Image
Security fungibility and the cost of capital: evidence from global bonds
Miller, Darius P.; Puthenpurackal, John J. - 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/10011604472
Cover Image
The role of credit aggregates and asset prices in the transmission mechanism: a comparison between the euro area and the US
Kaufmann, Sylvia; Valderrama, Maria Teresa - 2007
estimate a Markov switching VAR for the euro area and the US, including additionally GDP, CPI and a short-term interest rate …. We find evidence for two distinct states in both regions. For the euro area, we find a regime which is correlated to the …
Persistent link: https://www.econbiz.de/10011604862
Cover Image
Are emerging market currency crises predictable? A test
Peltonen, Tuomas A. - 2006
This paper analyzes the predictability of emerging market currency crises by comparing the often used probit model to a new method, namely a multi-layer perceptron artificial neural network (ANN) model. According to the results, both models were able to signal currency crises reasonably well...
Persistent link: https://www.econbiz.de/10011604617
Cover Image
Balance of payment crises in emerging markets: how early were the “early” warning signals?
Bussière, Matthieu - 2007
Although many papers have already proposed empirical models of currency crises, the timing of such crises has received relatively little attention so far. Most papers use indeed a static specification and impose the same lag structure across all explanatory variables. This, by construction,...
Persistent link: https://www.econbiz.de/10011604759