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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

Surfing the Waves of Globalization : Asia and Financial Globalization in the Context of the Trilemma

Aizenman, Joshua - 2010

choices matter for output volatility and the medium-term level of inflation. Greater monetary independence is associated with … lower output volatility while greater exchange rate stability implies greater output volatility, which can be mitigated if a … inflation rate. We find that trilemma policy configurations and external finances affect output volatility through the …

Persistent link: https://www.econbiz.de/10012462774

What Hurts Most? G-3 Exchange Rate or Interest Rate Volatility

Reinhart, Carmen M. - 2001

With many emerging market currencies tied to the U.S. dollar either implicitly or explicitly, movements in the exchange values of the currencies of major countries have the potential to influence the competitive position of many developing countries. According to some analysts, establishing...

Persistent link: https://www.econbiz.de/10012470183

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

Globalization, Macroeconomic Performance, and the Exchange Rates of Emerging Economies

Obstfeld, Maurice - 2004

volatility. These characteristics are more likely to be causes than effects of financial integration. The measurable gains from … countries display attempts at stabilization punctuated by high volatility in periods of market stress …

Persistent link: https://www.econbiz.de/10012467840

Currency Crashes in Emerging Markets : Empirical Indicators

Frankel, Jeffrey A. - 1996

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine...

Persistent link: https://www.econbiz.de/10012473427

Systemic Sudden Stops : The Relevance Of Balance-Sheet Effects And Financial Integration

Calvo, Guillermo A. - 2008

Using a sample of 110 developed and developing countries for the period 1990-2004 we analyze the empirical characteristics of systemic sudden stops (3S) in capital flows --understood as large and largely unexpected capital account contractions that occur in periods of systemic turmoil -- and the...

Persistent link: https://www.econbiz.de/10012464621

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

Exchange Rate Variability and the Riskiness of U.S. Multinational Firms : Evidence from the Breakdown of the Bretton Woods System

Bartov, Eli - 1995

the relation between exchange rate variability and stock return volatility and by decomposing this relation into … rates, we find a significant increase in the volatility of U.S. multinational monthly stock returns corresponding to the … period of increased exchange rate variability. This increase in stock return volatility is also significant relative to the …

Persistent link: https://www.econbiz.de/10012473547

Exchange Rates, Natural Rates, and the Price of Risk

Kekre, Rohan; Lenel, Moritz - National Bureau of Economic Research - 2024

We study the source of exchange rate fluctuations using a general equilibrium model accommodating shocks in goods and financial markets. These shocks differ in their induced comovements between exchange rates, interest rates, and quantities. A calibration matching data from the U.S. and G10...

Persistent link: https://www.econbiz.de/10015072917