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A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility
Hillebrand, Eric T.; Schnabl, Gunther - 2021
volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …
Persistent link: https://www.econbiz.de/10013317566
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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
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Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors
Alessi, Lucia - 2009
heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical … volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …
Persistent link: https://www.econbiz.de/10013154951
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The Yield Curve as a Predictor and Emerging Economies
Mehl, Arnaud - 2021
This paper investigates the extent to which the slope of the yield curve in emerging economies predicts domestic inflation and growth. It also examines international financial linkages and how the US and the euro area yield curves help to predict. It finds that the domestic yield curve in...
Persistent link: https://www.econbiz.de/10013317370
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Large Global Volatility Shocks, Equity Markets and Globalisation : 1885-2011
Mehl, Arnaud - 2015
I estimate the transmission of large global volatility shocks in international equity markets from the earlier (pre … significant increases in unanticipated volatility in US equity markets, which I relate to well-known historical events. My …
Persistent link: https://www.econbiz.de/10013035639
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The Great Moderation in International Capital Flows : A Global Phenomenon?
McQuade, Peter - 2016
volatility of cross-border transactions. However, there are substantial differences across countries and regions which we analyse …
Persistent link: https://www.econbiz.de/10012983089
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Interdependence and Contagion in Global Asset Markets
Beirne, John - 2012
This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks, and currencies) for over 60 economies over the period 1998 to 2011. Using a global VAR, we test for changes in the transmission mechanism – both within and cross-market...
Persistent link: https://www.econbiz.de/10013100396
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Capital Flows, Push versus Pull Factors and the Global Financial Crisis
Fratzscher, Marcel - 2013
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks – key crisis events as well...
Persistent link: https://www.econbiz.de/10013092662
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Financial Transaction Taxes, Market Composition, and Liquidity
Colliard, Jean-Edouard - 2017
We use the introduction of a financial transaction tax (FTT) in France in 2012 to test competing theories on its impact. We find no support for the idea that an FTT improves market quality by affecting the composition of trading volume. Instead, our results are in line with the hypothesis that a...
Persistent link: https://www.econbiz.de/10012961532
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Investment Funds, Monetary Policy, and the Global Financial Cycle
Kaufmann, Christoph - 2021
This paper studies the role of international investment funds in the transmission of global financial conditions to the euro area using structural Bayesian vector auto regressions. While cross-border banking sector capital flows receded significantly in the aftermath of the global financial...
Persistent link: https://www.econbiz.de/10013314948