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The "Greatest" Carry Trade Ever? Understanding Eurozone Bank Risks
Acharya, Viral V.; Steffen, Sascha - National Bureau of Economic Research (NBER) - 2013
We show that Eurozone bank risks during 2007-2012 can be understood as a "carry trade" behavior. Bank equity returns … exploit government guarantees, arbitrage regulatory risk weights, and access central-bank funding, we find that this carry …-GIPSI countries' banks, but not so for similar banks in other Western economies or for non-bank firms. …
Persistent link: https://www.econbiz.de/10010950931
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The Value of Connections in Turbulent Times: Evidence from the United States
Acemoglu, Daron; Johnson, Simon; Kermani, Amir; Kwak, James - National Bureau of Economic Research (NBER) - 2013
The announcement of Timothy Geithner as nominee for Treasury Secretary in November 2008 produced a cumulative abnormal return for financial firms with which he had a connection. This return was about 6% after the first full day of trading and about 12% after ten trading days. There were...
Persistent link: https://www.econbiz.de/10010951075
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Credit Default Swaps and the Credit Crisis
Stulz, René M. - National Bureau of Economic Research (NBER) - 2009
Many observers have argued that credit default swaps contributed significantly to the credit crisis. Of particular concern to these observers are that credit default swaps trade in the largely unregulated over-the-counter market as bilateral contracts involving counterparty risk and that they...
Persistent link: https://www.econbiz.de/10008634652
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A Model of the Safe Asset Mechanism (SAM): Safety Traps and Economic Policy
Caballero, Ricardo J; Farhi, Emmanuel - National Bureau of Economic Research (NBER) - 2013
The global economy has a chronic shortage of safe assets which lies behind many recent macroeconomic imbalances. This paper provides a simple model of the Safe Asset Mechanism (SAM), its recessionary safety traps, and its policy antidotes. Safety traps share many common features with...
Persistent link: https://www.econbiz.de/10010796549
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The "Big C": Identifying Contagion
Forbes, Kristin - National Bureau of Economic Research (NBER) - 2012
This paper surveys and assesses the academic literature on defining, measuring, and identifying financial contagion and the various channels by which it can occur. It also includes new empirical analysis of recent trends and causes of contagion, highlighting contagion risks in the euro area. The...
Persistent link: https://www.econbiz.de/10010950725
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On the International Transmission of Shocks: Micro-Evidence from Mutual Fund Portfolios
Raddatz, Claudio E.; Schmukler, Sergio - National Bureau of Economic Research (NBER) - 2011
This paper uses micro-level data on mutual funds from different financial centers investing in equity and bonds to study how investors and managers behave and transmit shocks across countries. The paper finds that the volatility of mutual fund investments is driven quantitatively by both the...
Persistent link: https://www.econbiz.de/10009277244
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Excessive Volatility in Capital Flows: A Pigouvian Taxation Approach
Jeanne, Olivier; Korinek, Anton - National Bureau of Economic Research (NBER) - 2010
This paper analyzes prudential controls on capital flows to emerging markets from the perspective of a Pigouvian tax that addresses externalities associated with the deleveraging cycle. It presents a model in which restricting capital inflows during boom times reduces the potential outflows...
Persistent link: https://www.econbiz.de/10008625925
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External Adjustment, Global Imbalances and Valuation Effects
Gourinchas, Pierre-Olivier; Rey, Helene - National Bureau of Economic Research (NBER) - 2013
We provide an overview of the recent developments of the literature on the determinants of long term capital flows, global imbalances and valuation effects. We present the main stylized facts of the new international financial landscape in which external balance sheets of countries have grown in...
Persistent link: https://www.econbiz.de/10010678470
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Emerging Local Currency Bond Markets
Burger, John D.; Warnock, Francis E.; Warnock, Veronica … - National Bureau of Economic Research (NBER) - 2010
We assess the development of local currency bond markets in emerging market economies (EMEs). Supported by policies and laws that helped to improve macroeconomic stability and creditor rights, many local currency EME bond markets have grown substantially over the past decade and have also...
Persistent link: https://www.econbiz.de/10008611558
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The Influence of Actual and Unrequited Interventions
Dominguez, Kathryn M. E.; Panthaki, Freyan - National Bureau of Economic Research (NBER) - 2007
Intervention operations are used by governments to manage their exchange rates but officials rarely confirm their presence in the market, leading inevitably to erroneous reports in the financial press. There are also reports of what we term, unrequited interventions, interventions that the...
Persistent link: https://www.econbiz.de/10005710330