Similar Search Results

Getting Beyond Carry Trade : What Makes a Safe Haven Currency?

Habib, Maurizio Michael - 2011

There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...

Persistent link: https://www.econbiz.de/10013131638

Optimal Reserve Composition in the Presence of Sudden Stops : The Euro and the Dollar as Safe Haven Currencies

Beck, Roland - 2008

traditional portfolio objectives as debt to reserve ratios decrease. We empirically estimate optimal dollar and euro shares for 24 … reserve ratios, introducing transactions demand has a elatively modest effect. We also find that euro and dollar bonds act as … sudden stops in Asia and Latin America, while the euro is a better hedge for sudden stops in Emerging Europe. We reproduce …

Persistent link: https://www.econbiz.de/10012771394

Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets

Kilic, Erdem - In: Economic modelling 62 (2017), pp. 51-67

Persistent link: https://www.econbiz.de/10011813162

Insolvency regimes and firms' default risk under economic uncertainty and shocks

Gopalakrishnan, Balagopal; Mohapatra, Sanket - In: Economic modelling 91 (2020), pp. 180-197

Persistent link: https://www.econbiz.de/10012429032

Testing the white noise hypothesis of stock returns

Hill, Jonathan B.; Motegi, Kaiji - In: Economic modelling 76 (2019), pp. 231-242

Persistent link: https://www.econbiz.de/10012198322

Measuring Contagion Potential Among Sovereigns and Banks Using a Mixed-Cross-Section GVAR

Gross, Marco - 2013

This paper aims to illustrate how a Mixed-Cross-Section Global Vector Autoregressive (MCS-GVAR) model can be set up and solved for the purpose of forecasting and scenario simulation. The application involves two cross-sections: sovereigns and banks for which we model their credit default swap...

Persistent link: https://www.econbiz.de/10013078534