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Carry Trade and Systemic Risk : Why are FX Options so Cheap?
Caballero, Ricardo J. - 2013
In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy --i.e., the...
Persistent link: https://www.econbiz.de/10013089284
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How Country and Safety-Net Characteristics Affect Bank Risk-Shifting
Kane, Edward J. - 2002
insurance has had adverse effects in environments that are low in political and economic freedom and high in corruption …
Persistent link: https://www.econbiz.de/10012787065
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Determinants of Deposit-Insurance Adoption and Design
Demirgüç-Kunt, Asli - 2010
This paper identifies factors that influence decisions about a country's financial safety net, using a comprehensive dataset covering 180 countries during the 1960-2003 period. Our analysis focuses on how private interest-group pressures, outside influences, and political-institutional factors...
Persistent link: https://www.econbiz.de/10012760429
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World Shocks, World Prices, and Business Cycles : An Empirical Investigation
Fernàndez, Andrés - 2016
intratemporal relative price such as the terms of trade and possibly an intertemporal price such as the world interest rate. This … paper presents an empirical framework in which multiple commodity prices and the world interest rate transmit world … disturbances. Estimates on a panel of 138 countries over the period 1960-2015 indicate that world shocks explain on average 33 …
Persistent link: https://www.econbiz.de/10012979352
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Deposit Insurance Database
Demirgüç-Kunt, Asli - 2014
This paper provides a comprehensive, global database of deposit insurance arrangements as of 2013. We extend our earlier dataset by including recent adopters of deposit insurance and information on the use of government guarantees on banks' assets and liabilities, including during the recent...
Persistent link: https://www.econbiz.de/10013050320
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Global Business Cycles : Convergence or Decoupling?
Kose, M. Ayhan; Otrok, Chris; Prasad, Eswar S. - 2021
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups -- industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...
Persistent link: https://www.econbiz.de/10013218837
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A "Vertical" Analysis of Crises and Intervention : Fear of Floating and Ex-Ante Problems
Caballero, Ricardo J.; Krishnamurthy, Arvind - 2021
Emerging economies are prone to crises triggered by external shocks. During these crises, should the central bank stabilize the currency or domestic interest rates? If the choice is outside the central bank's control, as in a currency board, are there good policy substitutes? We argue that these...
Persistent link: https://www.econbiz.de/10013219686
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Inflation Targeting and Sudden Stops
Caballero, Ricardo J.; Krishnamurthy, Arvind - 2021
Emerging economies experience sudden stops in capital inflows. As we have argued in Caballero and Krishnamurthy (2002), having access to monetary policy during these sudden stops is useful, but mostly for insurance' rather than for aggregate demand reasons. In this environment, a central bank...
Persistent link: https://www.econbiz.de/10013237236
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Global Business Cycles : Convergence or Decoupling?
Kose, M. Ayhan - 2008
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups -- industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...
Persistent link: https://www.econbiz.de/10012464278
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Determinants of Deposit-Insurance Adoption and Design
Demirguc-Kunt, Asli - 2007
This paper identifies factors that influence decisions about a country's financial safety net, using a comprehensive dataset covering 180 countries during the 1960-2003 period. Our analysis focuses on how private interest-group pressures, outside influences, and political-institutional factors...
Persistent link: https://www.econbiz.de/10012465794