We investigate the influence of exchange rate regimes on the foreign exchange exposure of emerging market firms. Using a sample of 1523 firms from 20 countries for the period December 1999 to December 2010, we find that about half of the firms are significantly exposed to exchange rate...

This paper examines trends in monetary autonomy and their interactions with financial integration, currency regimes and foreign reserves for recent decades in emerging Asian and Latin American economies. Our main findings are the following: First, most emerging Asian economies have increased...

This paper shows that the deviations from the UIP condition are equally large in advanced and emerging market economies. Using monthly data, and a GARCH-M model we find that a large share of these deviations in both country groups are explained by time-varying risk premium. To more clearly...

While empirical sovereign credit risk models have portrayed default as driven mainly by economic and financial risk factors, this investigation addresses the relative importance of political risk that the empirical literature has often overlooked. A Markov-switching vector autoregressive model...

The present paper investigates five episodes of currency collapse from the perspective of non-financial firms operating in Argentina, Brazil and Mexico. We focus on two aspects: wealth and income transfers from borrowing firms to lenders and firm heterogeneity. At the firm level, we find that...

As international financial integration gathers pace, interconnectivity has increased tremendously among financial institutions, financial markets and financial systems, a phenomenon to which the recent global financial crisis perhaps provided the best testimony. The interconnectivity among...

This paper aims to identify the main determinants of sovereign bond spreads in seven Latin American countries and verify the existence of contagion effect over these markets during the last financial crisis. We apply a panel data framework and find that the inflation, terms of trade ratio and...

This paper identifies the macroeconomic factors behind the sovereign credit ratings of global emerging markets assigned by Standard and Poor's (S&P). The financial integration and globalization of capital markets have facilitated the capital inflows/outflows among countries. Sovereign credit...

This paper investigates the systematic risk factors driving emerging market (EM) credit risk by jointly modeling sovereign and corporate credit spreads at a global level. We use a multi-regional Bayesian panel VAR model, with time-varying betas and multivariate stochastic volatility. This model...

This paper quantifies financial market integration in the European Union, using a large array of credit and bond market indicators, stock market indicators, as well as indicators based on household and firm decisions. It focuses on comparing the evolution of the European Union before the Eastern...