This paper develops a new model of international private debt financing. It shows the possibility of discontinuity in the amount of financial intermediation when the intermediary is inefficient. The model suggests a mechanism that can generate the following sequence of events: A period of...

In the light of the inequity of the way losses from bank insolvencies and their avoidance through intervention by the authorities have been distributed over creditors, depositors, owners and the population at large in transition and emerging economies, this paper explores a number of regulatory...

In dit artikel wordt ingegaan op het statistisch kwantificeren van valutarisico’s met behulp van meervoudige regressie-analyse. Centraal punt van deze methode is dat, teneinde een integrale kwantificering van valutarisico’s te bereiken, zowel het translatierisico als het economisch...

This article formalizes investor rationality and irrationality, exuberance and apprehension, to consider the implications of belief formation for the fragility of an economy¦s financial structure. The model presented generates a financial structure with portfolio linkages that make it...

From 1995 to 2001 Russia witnessed an asset market boom, a deep financial crisis, and a surprisingly forceful recovery. This paper analyzes economic policy and data of the time to explain why fluctuations were so violent and to draw lessons for Emerging Markets investors as well as for...

The paper tests whether there were events of contagion, and portfolio shift, in the sovereign bond markets of eleven emerging countries' between January 1995 and November 2001. From existing definitions, we narrow down the concept of contagion by focusing on pricing errors, after general market...

This paper studies the time-variant interactions among US stocks, emerging market bonds and US low-grade corporate bonds. All of these assets are characterized by a similar average return, but returns are far from being perfectly correlated. Therefore, investing in these different assets...

We investigate the effect of financial liberalization on the probability of a banking crises in economies with poor transparency We construct a model with imperfect information where banks cannot distinguish between aggregate shocks on the one hand, and government’s policy and firms’...

We measure the loss potential of Hedge Funds by combining three market risk measures: VaR, Draw-Down and Time Under-The-Water. Calculations are carried out considering three different frameworks regarding Hedge Fund returns: i) Normality and time-independence, ii) Non-normality and time-...

In the literature, little role is attributed to the country risk conditional volatility in the determination of the macroeconomic equilibrium in a developing small open economy (DSOE). This paper posits the prime hypothesis that, in the presence of multiple equilibria and self-fulfilling...