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Country Default Probabilities: Assessing and Backtesting
Vogl, Konstantin; Maltritz, Dominik; Huschens, Stefan; … - 2006
We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...
Persistent link: https://www.econbiz.de/10010296810
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Zur Qualität professioneller Wechselkursprognosen
Schmidt, Robert - 2003
Die Berücksichtigung der zukünftigen Entwicklung des Wechselkurses ist sowohl für internationale Unternehmen als auch für international tätige Investoren unabdingbar. Allerdings ist die Erstellung von Wechsel- kursprognosen schwierig, da bis zum heutigen Zeitpunkt kein allgemein anerkanntes...
Persistent link: https://www.econbiz.de/10010305747
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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
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Leistungsbilanzentwicklung ausgewählter Schwellenländer Asiens und Lateinamerikas: Ursachen und wirtschaftspolitische Konsequenzen
Schweickert, Rainer - 2000
Ist Südostasien anders? Dieser Frage geht Rainer Schweickert in der Kieler Studie 306 nach. Seine Analyse der Leistungsbilanzen, ihrer Teilkomponenten und ihrer Determinanten seit Anfang der 70er Jahre sowie der krisenhaften Entwicklungen in den 90er Jahren weist nach, dass diese Vermutung in...
Persistent link: https://www.econbiz.de/10010332925
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Cousin risks: the extent and the causes of positive correlation between country and currency risks
Lowenkron, Alexandre; Garcia, Márcio - 2005
Persistent link: https://www.econbiz.de/10011807332
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Sovereign risk in a structural approach: Evaluating sovereign ability-to-pay and probability of default
Karmann, Alexander; Maltritz, Dominik - 2003
We quantify the probability that a sovereign defaults on repayment obligations in foreign currency. Adopting the structural approach as first introduced by Merton, we consider the sovereigns ability-to-pay, characterised by the sum of discounted future payment surpluses, as the underlying...
Persistent link: https://www.econbiz.de/10010305443
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Are changes in spreads of external-market debt also induced by contagion?
Wong, José Carlos - In: Intereconomics 35 (2000) 2, pp. 72-80
Persistent link: https://www.econbiz.de/10010271018
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Banking and debt crisis in Europe: The dangerous liaisons?
Candelon, Bertrand; Palm, Franz - 2010
The potential mutation of the Sub-Prime banking crisis into a sovereign debt one in Euro area countries is investigated … the end 2009 the probability of observing a Euro area country defaulting is less likely than six month before … self-fulfilling, sovereign debt or currency crises in Euro area in the future. …
Persistent link: https://www.econbiz.de/10010270470
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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/10010303913
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A Risk Management Approach to Emerging Market’s Sovereign Debt Sustainability with an Application to Brazilian Data
Garcia, Márcio; Rigobon, Roberto - 2004
In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is...
Persistent link: https://www.econbiz.de/10011807312