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Monetary policy, sectoral comovement and the credit channel

Di Pace, Federico; Görtz, Christoph - 2021

Persistent link: https://www.econbiz.de/10012546900

How strong is the case for dollarization in Costa Rica? : a note on the business cycle comovements with the United States

Lindenberg, Nannette; Westermann, Frank - 2009

We evaluate the proposal for official dollarization in Costa Rica by applying a new approach to measure the business … hypothesis that the two countries share a common business cycle. Based on this evidence, we conclude that official dollarization … correlation of shocks. -- dollarization ; business cycle comovement ; serial correlation common feature ; Central America, Costa …

Persistent link: https://www.econbiz.de/10003887163

Vehicle currency pricing and exchange rate pass-through

Chen, Natalie; Chung, Wanyu; Novy, Dennis - 2019

Using detailed firm-level transactions data for UK imports, we find that invoicing in a vehicle currency is pervasive, with more than half of transactions in our sample invoiced in neither sterling nor the exporter's currency. We then study the relationship between invoicing currency choices and...

Persistent link: https://www.econbiz.de/10012029070

Dollarization of deposits in the short and long run : evidence from CESE countries

Urosevic, Branko; Rajkovic, Ivana - 2016

In this paper, we study the drivers of permanent and transitory deposit dollarization for a sample of CESE countries … permanent dollarization and Minimum Variance Portfolio (MVP) share. This provides an additional empirical validation of the MVP … method as the standard tool for analyzing financial dollarization. In the long run, agents make savings decisions based on …

Persistent link: https://www.econbiz.de/10011421680

Financial dollarization and European Union membership

Neanidis, Kyriakos C. - 2010

We analyze the effect of European Union (EU) membership on financial dollarization for the Central and Eastern European … membership and EU entry have a direct impact on deposit and loan dollarization. EU membership reduces deposit dollarization while … it increases loan dollarization. The negative effect on deposit dollarization captures the increased confidence of the …

Persistent link: https://www.econbiz.de/10003979384

Green intermediary asset pricing

Sauzet, Maxime - 2025

Can environmentally-minded investors impact the cost of capital of green firms even when they invest through financial intermediaries? To answer this and related questions, I build an equilibrium intermediary asset pricing model with three investors, two risky assets, and a riskless bond....

Persistent link: https://www.econbiz.de/10015414155

International credit flows and pecuniary externalities

Brunnermeier, Markus Konrad; Sannikov, Yuliy - 2015

This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too...

Persistent link: https://www.econbiz.de/10010474855

Securitization of mortgage debt, asset prices and international risk sharing

Hoffmann, Mathias; Nitschka, Thomas - 2009

We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making mortgage-related risks internationally tradeable, securitization contributes considerably to better international consumption risk sharing: we find that countries with the most...

Persistent link: https://www.econbiz.de/10003806732

Exit strategies, capital flight and speculative attacks : Europe's version of the trilemma

Steiner, Andreas; Steinkamp, Sven; Westermann, Frank - 2017

In the winter 2011/12 a wave of internal capital flight prompted the ECB to abandon its exit strategy and to announce an unprecedented monetary expansion. We analyze this episode in several dimensions: (i) by providing an event-study analysis covering key variables from national central banks'...

Persistent link: https://www.econbiz.de/10011754245

Pegxit pressure : evidence from the classical gold standard

Mitchener, Kris; Pina, Gonçalo - 2016

We develop a simple model that highlights the costs and benefits of fixed exchange rates as they relate to trade, and show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency devaluation. Using a new high-frequency data set on...

Persistent link: https://www.econbiz.de/10011568741