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A Risk Management Approach to Emerging Marketâ€™s Sovereign Debt Sustainability with an application to Brazilian data

Rigobon, Roberto; Garcia, Marcio - Econometric Society - 2004

In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is...

Persistent link: https://www.econbiz.de/10005129802

Nonlinear Price Adjustment and Transaction Costs Between Global Stock Markets

Kim, Jae-Young; Park, Woong Yong - Econometric Society - 2004

Depository receipts (DRs) are instruments issued in a foreign market representing ownership in the underlying securities on the home stock market. DRs are practically the same as the underlying stocks and we can analyze price adjustment between the underlying stocks and DRs under the law of one...

Persistent link: https://www.econbiz.de/10005702705

STRUCTURAL CHANGE IN THE BRAZILIAN DEMAND FOR IMPORTS: A regime switching approach

Portugal, M.; Morais, I.A. de - Econometric Society - 2004

The aim of the present paper is to apply a Markov Switching model to check the characteristics of the Brazilian demand for imports equation based on annual data from 1947 to 2002 and on quarterly data from 1978:I to 2002:II. The results show that this model satisfactorily describes the...

Persistent link: https://www.econbiz.de/10005129776

Inflation Targeting and Q Volatility in Small Open Economies

McNelis, Paul D.; Lim, Guay C. - Econometric Society - 2004

This paper examines the welfare implications of managing Q with inflation targeting by monetary authorities who have to "learn" the laws of motion for both inflation and the rate of growth of Q. Our results show that the Central Bank can achieve great success in reducing the volatility of GDP...

Persistent link: https://www.econbiz.de/10005702704

Do the Stock Markets of South Asia Follow a Random Walk?

Cooray, Arusha - Econometric Society - 2004

This paper examines stock market behaviour in India, Sri Lanka, Pakistan, and Bangladesh employing unit root tests, autocorrelation tests and spectral analysis. Evidence suggests that all markets exhibit a random walk. The multivariate cointegration tests based upon the Johansen Juselius (1988,...

Persistent link: https://www.econbiz.de/10005342181

Explaining the dollar/euro exchange rate: the role of policy uncertainty, asymmetric information, and hedging opportunities

Melvin, Michael; Gomez, Manuel - Econometric Society - 2004

Many observers were surprised by the depreciation of the euro after its launch in 1999. Handicapped by a short sample … transaction costs of trading the euro. The model of pre- and post-euro foreign exchange trading explains wider spreads on the euro … euro than the mark for all but the first few months. This seems like an unlikely candidate to explain euro depreciation …

Persistent link: https://www.econbiz.de/10005328941

Trade Costs and Real Exchange Rate Volatility

Giovanni, Claudio Bravo-Ortega AND Julian di - Econometric Society - 2004

This paper examines the impact of trade costs on real exchange rate volatil- ity. We model two channels endogenously in a Ricardian framework: (i) non- tradability and (ii) heterogeneous suppliers of traded goods. The Â¯rst channel is examined by constructing a two-country Ricardian model of...

Persistent link: https://www.econbiz.de/10005328910

Asset Prices and Exchange Rates

Rigobon, Roberto; Pavlova, Anna - Econometric Society - 2004

This paper develops a simple two-country, two-good model, in which the real exchange rate, stock and bond prices are jointly determined. The model predicts that stock market prices are correlated internationally even though their dividend processes are independent, providing a theoretical...

Persistent link: https://www.econbiz.de/10005329015

International linkage of real interest rates: the case of East Asian countries

Kim, Jae H.; Ji, Philip I. - Econometric Society - 2004

This paper examines linkage of real interest rates for a group of selected countries in East Asia. The countries under study include Japan, Korea, Singapore, Malaysia and Thailand. The long run relationship is tested and estimated using the conitegration analysis. We also have conducted the...

Persistent link: https://www.econbiz.de/10005342174

Currency Mismatch, Uncertainty and Debt Structure

Koeniger, Winfried; Bussiere, Matthieu; Fratzscher, Marcel - Econometric Society - 2004

The importance of currency and maturity mismatches in the debt structure of emerging markets is an issue that can hardly be overemphasized. Yet, while many papers have explained how imbalances in the asset and liability structure of emerging markets can cause currency and financial crises, the...

Persistent link: https://www.econbiz.de/10005342249