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Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs

Huang, Huichou; MacDonald, Ronald; Zhao, Yang - Volkswirtschaftliche Fakultät, … - 2012

We show that the profitability of currency carry trades can be understood as the compensation for exchange rate misalignment risk based on the rare disastrous model of exchange rates (Farhi and Gabaix, 2008). It explains over 97% of the cross-sectional excess returns and dominates other...

Persistent link: https://www.econbiz.de/10011112267

Iceland's Economic and Financial Crisis: Causes, Consequences and Implications

Spruk, Rok - Volkswirtschaftliche Fakultät, … - 2010

Iceland experienced a significant financial meltdown and subsequent economic downturn after the 2008/2009 financial crisis struck the country. It had been the worst crisis ever experienced by a small country from the late 20th century onwards. Since 1980s, Iceland's macroeconomic stability had...

Persistent link: https://www.econbiz.de/10008919755

Валютна криза в Україні в контексті сучасних моделей фінансових криз

Petrushchak, Bohdan - Volkswirtschaftliche Fakultät, … - 2010

Проаналізовано теоретичні аспекти моделей фінансових криз першого, другого та третього покоління та можливості їх застосування для пояснення логіки...

Persistent link: https://www.econbiz.de/10008805037

MODELLING THE WORLD EXCHANGE RATES:DYNAMICS, VOLATILITY AND FORECASTING

Nwaobi, Godwin - Volkswirtschaftliche Fakultät, … - 2008

Indeed, the specification of equilibrium in the world economy depends on the exchange rate regime and thus, the early … foreign exchange markets. However, the world has known several exchange rate systems beginning with the fixed-gold standard … exchange was deregulated, independent traders finally had access to the biggest trading market of the world; and these forex …

Persistent link: https://www.econbiz.de/10005619306

To what extent are financial crises comparable and thus predictable?

Diamondopoulos, John - Volkswirtschaftliche Fakultät, … - 2012

implications for the development of a theory of financial crises and government policies on crisis management. …

Persistent link: https://www.econbiz.de/10011259713

Wpływ kryzysu finansowego na oszacowania wykładnika Hursta - analiza fraktalna cen wybranych metali

Buła, Rafał - Volkswirtschaftliche Fakultät, … - 2012

time series are characterized by 4-year nonperiodic cycle. Moreover influence of world financial crisis on stability of …

Persistent link: https://www.econbiz.de/10011107319

To the Problem of Financial Safety Estimation: the Index of Financial Safety of Turkey

Matkovskyy, Roman - Volkswirtschaftliche Fakultät, … - 2013

the macro-prudential approach, system analyses, the basic principles of the theory of logical inference, principal of …

Persistent link: https://www.econbiz.de/10011110500

Rescate y costos del riesgo financiero

Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2014

First externalities risk due to the size of the companies or the principle that large companies are also at risk of bankruptcy (too big to fail) are examined. The problem is illustrated by a case in which extreme risks with negative consequences for savers and investors are taken. If we...

Persistent link: https://www.econbiz.de/10011110979

Forecasting with Factor Models: A Bayesian Model Averaging Perspective

Dimitris, Korobilis - Volkswirtschaftliche Fakultät, … - 2013

We use Bayesian factor regression models to construct a financial conditions index (FCI) for the U.S. Within this context we develop Bayesian model averaging methods that allow the data to select which variables should be included in the FCI or not. We also examine the importance of different...

Persistent link: https://www.econbiz.de/10011111484

Systemic Liquidity Crisis with Dynamic Haircuts

Sever, Can - Volkswirtschaftliche Fakultät, … - 2014

In this paper, using network tools, I analyse systemic impacts of liquidity shocks in interbank market in case of endogenous haircuts. Gai, Haldane and Kapadia (2011) introduce a benchmark for liquidity crisis following haircut shocks, and Gorton and Metrick (2010) reveal the evidence from...

Persistent link: https://www.econbiz.de/10011111629

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