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Does the US contagion risk affect foreign direct investment inflows in emerging economies?
Woraphon Yamaka; Paravee Maneejuk - 2022
Persistent link: https://www.econbiz.de/10014320179
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Vehicle currency pricing and exchange rate pass-through
Chen, Natalie; Chung, Wanyu; Novy, Dennis - 2019
Persistent link: https://www.econbiz.de/10012016788
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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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Sovereign risk and bank fragility
Anand, Kartik; Mankart, Jochen - 2020
We develop a model of bank risk-taking with strategic sovereign default risk. Domestic banks invest in real projects and purchase government bonds. While an increase in bond purchases crowds out profitable investments, it improves the government's incentives to repay and therefore lowers its...
Persistent link: https://www.econbiz.de/10012301195
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Reserve accumulation, growth and financial crises
Benigno, Gianluca; Fornaro, Luca - 2012
Persistent link: https://www.econbiz.de/10009671476
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Growth in spasmodia : foreign baorrowing and crises
Fabella, Raul V. - 1984
Persistent link: https://www.econbiz.de/10003529083
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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
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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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US trade policy and the US dollar
Khalil, Makram; Strobel, Felix - 2021
We investigate the extent to which the effect of the 2018/2019 US import tariff hikes on US (post-tariff) import prices was offset by the concurrent appreciation of the US dollar and trace the source of the appreciation back to US trade policy itself. The dollar response to trade policy...
Persistent link: https://www.econbiz.de/10012792730
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A distribution-free test for outliers
Candelon, Bertrand; Metiu, Norbert - 2013
Determining whether a data set contains one or more outliers is a challenge commonly faced in applied statistics. This paper introduces a distribution-free test for multiple outliers in data drawn from an unknown data generating process. Besides, a sequential algorithm is proposed in order to...
Persistent link: https://www.econbiz.de/10009695964