Showing 1 - 10 of 47
The paper explores the view that the Asian currency and financial crises in 1997 and 1998 reflected structural and policy distortions in the countries of the region, even though market overreaction and herding caused the plunge of exchange rates, asset prices and economic activity to be more...
Persistent link: https://www.econbiz.de/10005111544
We explore the role of expectations in second generation currency crisis models, proving that sudden shifts in speculators' beliefs can trigger currency devaluations, even without any sizable worsening in the fundamentals. In our incomplete information game, mean-preserving changes in...
Persistent link: https://www.econbiz.de/10005113631
We review the impact of the global financial crisis, and its consequences for the sovereign sector of the euro area, on the international “rules of the game” for dealing with sovereign debt crises. These rules rest on two main pillars. The most important is the IMF’s lending framework...
Persistent link: https://www.econbiz.de/10010692350
We review the impact of the global financial crisis, and its consequences for the sovereign sector of the euro area, on the international �rules of the game� for dealing with sovereign debt crises. These rules rest on two main pillars. The most important is the IMF�s lending...
Persistent link: https://www.econbiz.de/10011100357
This work examines how much of the variation in emerging market economies' (EMEs) spreads can be ascribed to 'country-specific' factors rather than to 'common' factors, once the existence of an interaction between the state of macroeconomic fundamentals and global financial conditions is...
Persistent link: https://www.econbiz.de/10005196853
We investigate the impact of long term investors' demand for UK index-linked gilts on the term structure of real rates for the 1987-2012 period. This is done by carrying out a structural estimation of the preferred-habitat model of Vayanos and Vila (2009). We use data on long-term investors'...
Persistent link: https://www.econbiz.de/10011098939
We study the effects of the adoption of collective action clauses (CACs) on government bond yields by exploiting secondary market data on sovereigns quoted in international markets from March 2007 to April 2011. CACs are assessed security by security. Using a panel data approach, we find a...
Persistent link: https://www.econbiz.de/10011099640
We develop a multivariate credit risk model for the term structures of sovereign and bank credit default swaps. First, we separate the probability of joint defaults of large Eurozone sovereigns (systemic risk) from that of sovereign-specific defaults (country risk). Then, we quantify individual...
Persistent link: https://www.econbiz.de/10011099683
We develop a multivariate credit risk model that accounts for joint defaults of banks and al-lows us to disentangle how much of banks' credit risk is systemic. We find that the US and UK dif-fer not only in the evolution of systemic risk, but in particular in their banks' systemic exposures. In...
Persistent link: https://www.econbiz.de/10011099713
In this article, we analyse how much of the reduction in emerging markets spreads can be ascribed to specific factors - linked to the improvement in the 'fundamentals' of a given country - rather than to common factors - linked to global liquidity conditions and agents� degree of risk...
Persistent link: https://www.econbiz.de/10005113674