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Tille, Cedric; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2008

The surge in international asset trade since the early 1990s has lead to renewed interest in models with international portfolio choice, an aspect that was largely cast aside when the ad-hoc portfolio balance models of the 1970s were replaced bymodels of optimizing agents. We develop the...

Persistent link: https://www.econbiz.de/10005857750

Exchange Rate Volatility and Productivity Growth: The Role of Financial Development

Aghion, Philippe; Bacchetta, Philippe; Ranciere, Romain; … - Institut für Schweizerisches Bankwesen <Zürich> - 2006

This paper offers empirical evidence that real exchange rate volatility can have a significant impact on the long … with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for … rate volatility, and outliers. We also oer a simple monetary growth model in which real exchange rate uncertainty …

Persistent link: https://www.econbiz.de/10005858527

Sovereign rating transitions and the price of default risk in emerging markets

Audzeyeva, Alena; Schenk-Hoppé, Klaus Reiner - Institut für Schweizerisches Bankwesen <Zürich> - 2007

This paper introduces an expected value estimator with expert knowledge to the robust estimation of sovereign rating …

Persistent link: https://www.econbiz.de/10005858202

Model Combination and Stock Return Predictability

Hagmann, Matthias; Loebb, Joachim - Institut für Schweizerisches Bankwesen <Zürich> - 2006

as time-varying volatility and fat tails. Most im- portantly, the determination of model weights in AFreTER is based on …

Persistent link: https://www.econbiz.de/10005858532

An Open Economy New Keynesian Phillips Curve: Evidence from Hong Kong

Genberg, Hans; Pauwels, Laurent L. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper extends Galí and Gertlers (1999) new hybrid KeynesianPhillips curve to the open economy context. We hypothesise that pricing decisionsdepend on both labour costs and intermediate imported input prices. The results forHong Kong are consistent with the theory if import prices are...

Persistent link: https://www.econbiz.de/10005858316

Contagion and interdependence among Central European economies : The impact of common external shocks

Wälti, Sébastien - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

This paper is about contagion and interdependence among Central European economies. It investigates the extent to which country-specific shocks spread across these countries beyond the normal channels of interdependence, taking into account common external shocks. To model such shocks, we make...

Persistent link: https://www.econbiz.de/10005858999

Safe Haven Currencies

Ranaldo, Angelo; Söderlind, Paul - Institut für Schweizerisches Bankwesen <Zürich> - 2007

We study high-frequency exchange rate movements over the sample 19932006. We document that the (Swiss) franc, euro, Japanese yen and the pound tend to appreciate against the U.S. dollar when (a) S&P has negative returns; (b) U.S. bond prices increase; and (c) when currency markets become more...

Persistent link: https://www.econbiz.de/10005858064

Random Walk Expectations and the Forward Discount Puzzle

Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2007

Two well-known, but seemingly contradictory, features of exchange rates are thatthey are close to a random walk while at the same time exchange rate changesare predictable by interest rate differentials. In this paper we investigate whetherthese two features of the data may in fact be related....

Persistent link: https://www.econbiz.de/10005858209

A Scapegoat Model of Exchange Rate Fluctuations

Bacchetta, Philippe; Wincoop, Eric van - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

While empirical evidence nds only a weak relationship between nominal exchangerates and macroeconomic fundamentals, forex markets participants often attribute ex-change rate movements to a macroeconomic variable. The variables that matter, how-ever, appear to change over time and some variable...

Persistent link: https://www.econbiz.de/10005858318

Rational Inattention : A Solution to the Forward Discount Puzzle

Bacchetta, Philippe; van Wincoop, Eric - Institut für Schweizerisches Bankwesen <Zürich> - 2005

The uncovered interest rate parity equation is the cornerstone of most models in international macro. However, this equation does not hold empirically since the forward discount, or interest rate differential, is negatively related to the subsequent change in the exchange rate. This forward...

Persistent link: https://www.econbiz.de/10005858744