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When Carry Goes Bad : The Magnitude, Causes, and Duration of Currency Carry Unwinds

Melvin, Michael - 2017

We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown...

Persistent link: https://www.econbiz.de/10012965697

Stock Market Integration between Three CEECs, Russia and the UK

Caporale, Guglielmo Maria - 2013

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

Persistent link: https://www.econbiz.de/10013095004

Global and Regional Spillovers in Emerging Stock Markets : A Multivariate Garch-in-Mean Analysis

Beirne, John - 2013

. Tri-variate VAR GARCH(1,1)-in-mean models are estimated for 41 emerging market economies (EMEs) in Asia, Europe, Latin … crossmarket linkages varies across countries and regions. While spillovers in mean returns dominate in emerging Asia and Latin … dominating in Asia, and regional spillovers in Latin America and the Middle East …

Persistent link: https://www.econbiz.de/10013095613

Central Bank Swap Lines

Bahaj, Saleem - 2018

Swap lines between advanced-economy central banks are a new important part of the global financial architecture. This paper analyses their monetary policy effects from three perspectives. First, from the perspective of the central banks, it shows that the swap line mimics discount-window credit...

Persistent link: https://www.econbiz.de/10012912674

Uncertainty and Economic Activity

Cesa-Bianchi, Ambrogio - 2014

The 2007-2008 global financial crisis and the subsequent anemic recovery have rekindled academic interest in quantifying the impact of uncertainty on macroeconomic dynamics based on the premise that uncertainty causes economic activity to slow down and contract. In this paper, we study the...

Persistent link: https://www.econbiz.de/10013054500

Systematic Consumption Risk in Currency Returns

Hoffmann, Mathias - 2013

We sort currencies by countries' consumption growth over the past four quarters. Currency portfolios of countries experiencing consumption booms have higher Sharpe ratios than those of countries going through a consumption-based recession. A carry strategy that goes short in countries that are...

Persistent link: https://www.econbiz.de/10013080499

Financial Reform and Banking Crises

Shehzad, Choudhry Tanveer - 2013

We examine the impact of various dimensions of financial reform on the likelihood of systemic and non-systemic banking crises. Using new financial reform measures for a large sample of developing and developed countries for the period 1973 to 2002, our multivariate probit modeling results...

Persistent link: https://www.econbiz.de/10013095277

Bank Behavior and the Cost Channel of Monetary Transmission

Hülsewig, Oliver; Mayer, Eric; Wollmershäuser, Timo - 2021

-type staggered price setting approach, which means that the adjustment of the aggregate loan rate to a monetary policy shock is …

Persistent link: https://www.econbiz.de/10013317392

Bank Networks : Contagion, Systemic Risk and Prudential Policy

Aldasoro, Iñaki - 2015

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...

Persistent link: https://www.econbiz.de/10013028909

Global Banking, Trade, and the International Transmission of the Great Recession

Born, Alexandra - 2018

large parts of the world. In this paper we explore the financial and the trade channel in a unified framework and quantify …

Persistent link: https://www.econbiz.de/10012920861