Narrow search
Showing 1 - 10 of 112
Cover Image
Crash Risk in Currency Markets
Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a...
Persistent link: https://www.econbiz.de/10005016245
Cover Image
A Tractable Model of Precautionary Reserves, Net Foreign Assets, or Sovereign Wealth Funds
Carroll, Christopher D; Jeanne, Olivier - C.E.P.R. Discussion Papers - 2009
We model the motives for residents of a country to hold foreign assets, including the precautionary motive that has been omitted from much previous literature as intractable. Our model captures many of the principal insights from the existing specialized literature on the precautionary motive,...
Persistent link: https://www.econbiz.de/10008528533
Cover Image
Currency Substitution and the Fluctuations of Foreign-Exchange Reserves with Credibly Fixed Exchange Rates
Giovannini, Alberto - C.E.P.R. Discussion Papers - 1991
A fixed-exchange-rate system is characterized by two pillars: monetary policy coordination and foreign exchange reserves. This paper concentrates on the fluctuation of foreign exchange reserves by taking monetary policy coordination as given: the sustainability of the fixed exchange rate regime...
Persistent link: https://www.econbiz.de/10005281365
Cover Image
External Liabilities and Crises
Catão, Luis A. V.; Milesi-Ferretti, Gian Maria - C.E.P.R. Discussion Papers - 2014
We examine the determinants of external crises, focusing on the role of foreign liabilities and their composition. Using a variety of statistical tools and comprehensive data spanning 1970-2011, we find that the ratio of net foreign liabilities to GDP is a significant crisis predictor. This is...
Persistent link: https://www.econbiz.de/10011083620
Cover Image
The Dollar and its Discontents
Jeanne, Olivier - C.E.P.R. Discussion Papers - 2012
Has the US dollar delivered the benefits that the rest of the world is expecting from its holdings of international liquidity? US government debt has been liquid and safe, and it is supplied in sufficient quantity. But it has given a low return to the countries that accumulated the most...
Persistent link: https://www.econbiz.de/10011084062
Cover Image
A Lender-Based Theory of Collateral
Inderst, Roman; Mueller, Holger M - C.E.P.R. Discussion Papers - 2006
rejects marginally profitable projects. Collateral mitigates this inefficiency by 'flattening' the local lender’s payoff …-à-vis transaction lenders lead to higher collateral requirements, thus strengthening the role of collateral in local lending …
Persistent link: https://www.econbiz.de/10005123922
Cover Image
Collateral, Default Risk, and Relationship Lending: An Empirical Study on Financial Contracting
Krahnen, Jan Pieter - C.E.P.R. Discussion Papers - 2000
This paper provides new insights into the nature of relationship lending by analysing the role of collateral and its … indicate that the use of collateral in loan contracts is mainly driven by aspects of relationship lending and renegotiation … risk. Relationship lenders do require more collateral from their debtors than normal lenders for two main reasons. First …
Persistent link: https://www.econbiz.de/10005123985
Cover Image
Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations
Bindseil, Ulrich; Nyborg, Kjell G; Strebulaev, Ilya - C.E.P.R. Discussion Papers - 2004
bidders are more concerned with the loser’s nightmare, collateral, and future interest rate reductions by the ECB. Small and …
Persistent link: https://www.econbiz.de/10005067452
Cover Image
Creditor Protection and Stock Price Volatility
Hale, Galina B; Razin, Assaf; Tong, Hui - C.E.P.R. Discussion Papers - 2007
This paper analyzes the effect of creditor protection on the volatility of stock market returns. Our application of the Tobin’s q model predicts that credit protection reduces the probability of oscillations between binding and nonbinding states of the credit constraint, which result from...
Persistent link: https://www.econbiz.de/10005504268
Cover Image
The de Soto Effect
Besley, Timothy J.; Ghatak, Maitreesh - C.E.P.R. Discussion Papers - 2009
collateral. This has become a cause célèbre of Hernando de Soto whose views are influential in debates about policy reform …
Persistent link: https://www.econbiz.de/10005656127