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Systematic Consumption Risk in Currency Returns
Hoffmann, Mathias; Suter, Rahel - CESifo - 2013
We sort currencies by countries’ consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...
Persistent link: https://www.econbiz.de/10010667417
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Testing Uncovered Interest Rate Parity Using LIBOR
Omer, Muhammad; Haan, Jakob de; Scholtens, Bert - CESifo - 2012
We test Uncovered Interest Parity (UIP) using LIBOR interest rates for a wide range of maturities. In contrast to other markets, LIBOR markets have minimal frictions which could lead to rejecting UIP. Using panel unit root test suggested by Palm, Smeekes, and Urbain (2010) and cointegration...
Persistent link: https://www.econbiz.de/10010552442
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Spillovers from Systemic Bank Defaults
Mink, Mark; Haan, Jakob de - CESifo - 2014
We examine to what extent banks’ stock market values during the 2007-2012 financial crisis were driven by increases in the default risk of banks designated as globally systemically important by the Financial Stability Board. We find that bank market values hardly respond to changes in the...
Persistent link: https://www.econbiz.de/10010877758
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The Offshore Renminbi Exchange Rate: Microstructure and Links to the Onshore Market
Cheung, Yin-Wong; Rime, Dagfinn - CESifo - 2014
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates. Using a specialized microstructure dataset, we find that CNH is significantly affected by its order...
Persistent link: https://www.econbiz.de/10010786745
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Securitization of Mortgage Debt, Asset Prices and International Risk Sharing
Hoffmann, Mathias; Nitschka, Thomas - CESifo - 2009
We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...
Persistent link: https://www.econbiz.de/10005406369
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Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints
Rady, Sven; Ortalo-Magné, François - CESifo - 2001
This paper presents a dynamic theory of housing market fluctuations. It develops a life-cycle model where households are heterogeneous with respect to income and preferences, and mortgage lending is restricted by a down-payment requirement. The market interaction of young credit-constrained...
Persistent link: https://www.econbiz.de/10005766302
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Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillover
Baruník, Jozef; Kocenda, Evžen; Vácha, Lukáš - CESifo - 2015
This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …
Persistent link: https://www.econbiz.de/10011257668
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Volatility Transmission in Emerging European Foreign Exchange Markets
Bubák, Vít; Kocenda, Evžen; Zikes, Filip - CESifo - 2010
This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign … exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet … parsimonious parametric model in which the daily realized volatility of a given exchange rate depends both on its own lags as well …
Persistent link: https://www.econbiz.de/10008572532
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Asymmetry in Volatility: A Comparison of Developed and Transition Stock Markets
Wdowinski, Piotr; Malecka, Marta - CESifo - 2010
describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical … evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns …
Persistent link: https://www.econbiz.de/10008583696
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Risk Premia in General Equilibrium
Posch, Olaf - CESifo - 2010
This paper shows that non-linearities imposed by a neoclassical production function alone can generate time-varying and asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications improve substantially when we allow for...
Persistent link: https://www.econbiz.de/10008511599