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Carry Funding and Safe Haven Currencies : A Threshold Regression Approach

Hossfeld, Oliver - 2015

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/10013030487

Pegxit Pressure : Evidence from the Classical Gold Standard

Mitchener, Kris James - 2017

We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency devaluation. Using a new high-frequency data set on...

Persistent link: https://www.econbiz.de/10012965714

Central Bank Swap Lines

Bahaj, Saleem - 2018

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/10012912674

Global and Regional Financial Integration in Emerging Asia : Evidence from Stock Markets

Caporale, Guglielmo Maria - 2017

This paper employs a price-based measure of integration, namely stock return differentials between ten emerging Asian economies and the US (as an indicator of global integration), as well as Japan and the Asian region (as two alternative indicators of regional integration), to test for mean...

Persistent link: https://www.econbiz.de/10012954357

Political Booms, Financial Crises

Herrera, Helios - 2014

We show that political booms, measured by the rise in governments' popularity, predict financial crises above and beyond other better-known early warning indicators, such as credit booms. This predictive power, however, only holds in emerging economies. We show that governments in emerging...

Persistent link: https://www.econbiz.de/10013047326

Monetary Policy, Vagabonding Liquidity and Bursting Bubbles in New and Emerging Markets - An Overinvestment View

Schnabl, Gunther; Hoffmann, Andreas - 2021

Credit booms have globally fuelled hikes in stock, raw material and real estate markets which have culminated in the recent US subprime market crisis. We explain the global asset market booms since the mid 1980s based on the overinvestment theories of Hayek, Wicksell and Schumpeter. We argue...

Persistent link: https://www.econbiz.de/10013316825

International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria - 2015

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10013009868

Asymmetry in Volatility : A Comparison of Developed and Transition Stock Markets

Wdowinski, Piotr; Malecka, Marta - 2021

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...

Persistent link: https://www.econbiz.de/10013316234

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10013094817

Robust Bond Risk Premia

Bauer, Michael - 2015

A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very...

Persistent link: https://www.econbiz.de/10013012562

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