Showing 1 - 10 of 144
, the euro and the Chinese renminbi (RMB). It focuses on what we call China’s" dominance hypothesis", i.e. whether the …
Persistent link: https://www.econbiz.de/10009371469
that do not contain disasters. The model points to a novel estimation procedure based on currency options with potentially …
Persistent link: https://www.econbiz.de/10005016245
Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...
Persistent link: https://www.econbiz.de/10009148883
This Paper analyses the response of stock and credit default swap (CDS) markets to rating announcements by the three major rating agencies during 2000-02. Applying event study methodology, we examine whether and how strongly these markets respond to rating announcements in terms of abnormal...
Persistent link: https://www.econbiz.de/10005656462
We consider a dynamic stochastic model of currency attacks, characterised by imperfect information about the fundamental. Agents, who imperfectly know the state of the economy, not only decide whether to attack the peg, but also formulate expectations concerning the probability of future...
Persistent link: https://www.econbiz.de/10005123840
The assertion that a flexible exchange rate regime would facilitate current account adjustment is often repeated in policy circles. In this paper, we compile a data set encompassing data for over 170 countries over the 1971-2005 period, and examine whether the rate of current account reversion...
Persistent link: https://www.econbiz.de/10005123904
The discomfort a government suffers from speculation against its currency determines the strategic incentives of speculators and the scope for multiple currency-market equilibria. After describing an illustrative model in which high unemployment may cause an exchange rate crisis with...
Persistent link: https://www.econbiz.de/10005136646
For the past four or five decades, the international monetary system has operated on a ’dollar standard’. Popular discussion suggests that this gives the US an advantage in the use of monetary policy. This Paper analyses the determination of monetary policy in a world with a dollar standard,...
Persistent link: https://www.econbiz.de/10005123745
, with the rise of the dollar against the Euro and the substantial devaluation of the Brazilian real, the peso became …
Persistent link: https://www.econbiz.de/10005504291
The sovereign debt default and the linkages from banking and currency crisis have been rarely explored in the crisis literature. This study attempts to dive into this unexplored area by applying panel data binary choice model on a sample with 20 emerging countries having monthly observations for...
Persistent link: https://www.econbiz.de/10011084100