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Exchange Rate Fluctuations and Firm Leverage

Kalemli-Ozcan, Sebnem; Shim, Ilhyock; Liu, Xiaoxi - National Bureau of Economic Research - 2021

We quantify the effect of exchange rate fluctuations on firm leverage. When home currency appreciates, firms who hold foreign currency debt and local currency assets observe higher net worth as appreciation lowers the value of their foreign currency debt. These firms can borrow more as a result...

Persistent link: https://www.econbiz.de/10012496162

Re-Evaluating Swedish Membership in EMU : Evidence from an Estimated Model

Söderström, Ulf - 2008

I revisit the potential costs and benefits for Sweden of joining the Economic and Monetary Union (EMU) of the European Union. I first show that the Swedish business cycle since the mid-1990s has been closely correlated with the Euro area economies, suggesting that common shocks have been an...

Persistent link: https://www.econbiz.de/10012464128

The Great Diversification and its Undoing

Carvalho, Vasco M. - 2010

We investigate the hypothesis that macroeconomic fluctuations are primitively the results of many microeconomic shocks, and show that it has significant explanatory power for the evolution of macroeconomic volatility. We define "fundamental" volatility as the volatility that would arise from an...

Persistent link: https://www.econbiz.de/10012462232

Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle

Bianchi, Francesco - 2014

This paper estimates a business cycle model with endogenous financial asset supply and ambiguity averse investors. Firms' shareholders choose not only production and investment, but also capital structure and payout policy subject to financial frictions. An increase in uncertainty about profits...

Persistent link: https://www.econbiz.de/10012458583

Capital Controls, Exchange Rate Volatility and External Vulnerability

Edwards, Sebastian - 2005

We use high frequency data and a new econometric methodology to evaluate the effectiveness of controls on capital inflows. We focus on Chile's experience during the 1990s and investigate whether controls on capital inflows reduced Chile's vulnerability to external shocks. We recognize that...

Persistent link: https://www.econbiz.de/10012467245

Exchange Rate Volatility and the Credit Channel in Emerging Markets : A Vertical Perspective

Caballero, Ricardo - 2004

Firms in emerging markets are exposed to severe financial frictions and credit constraints, that are exacerbated by the sudden stop of capital inflows. Can monetary policy offset this external credit squeeze? We show that although this may be the case during moderate contractions (or in partial...

Persistent link: https://www.econbiz.de/10012468176

The Effects of War Risk on U.S. Financial Markets

Rigobon, Roberto - 2003

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a...

Persistent link: https://www.econbiz.de/10012469089

Puzzles in the Forex Tokyo “Fixing” : Order Imbalances and Biased Pricing by Banks

Ito, Takatoshi - 2016

transactions between banks and retail customers including broker dealers, institutional investors, insurance companies, exporters …. (3) Before 2008, the fixing prices set by banks were biased upward, and higher than the highest transaction price during … the fixing time window. (4) Even after 2008, the fixing prices announced by banks were still above the median transaction …

Persistent link: https://www.econbiz.de/10012455860

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

Lustig, Hanno - 2016

Compared to the predictions of complete market models, actual exchange rates are puzzlingly smooth and only weakly correlated with macro-economic fundamentals, suggesting that market incompleteness plays a key role in exchange rate dynamics. Incompleteness in international financial markets...

Persistent link: https://www.econbiz.de/10012456650

Obstfeld and Rogoff's International Macro Puzzles : A Quantitative Assessment

Eaton, Jonathan - 2015

Obstfeld and Rogoff (2001) propose that trade frictions lie behind key puzzles in international macroeconomics. We take a dynamic multicountry model of international trade, production, and investment to data from 19 countries to assess this proposition quantitatively. Using the framework...

Persistent link: https://www.econbiz.de/10012456897

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