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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

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

Financial Markets and International Risk Sharing in Emerging Market Economies

Schmitz, Martin - 2012

In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic patterns between idiosyncratic output fluctuations and financial market developments. Panel analysis of 22...

Persistent link: https://www.econbiz.de/10013104147

Global Financial Transmission of Monetary Policy Shocks

Ehrmann, Michael; Fratzscher, Marcel - 2021

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10013317648

An Investigation on the Effect of Real Exchange Rate Movements on OECD Bilateral Exports

Berthou, Antoine - 2021

The reaction of exports to real exchange rate movements can differ according to the nature of the destination country. We derive and estimate a gravity equation for 20 OECD exporting countries and 52 developed and developing importing countries. We test how trade costs dampen the effect of real...

Persistent link: https://www.econbiz.de/10013316499

Do China and oil exporters influence major currency configurations?

Fratzscher, Marcel; Mehl, Arnaud - 2008

economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US … the appreciation of the euro against the US dollar in recent years. Interestingly, EME policy-makers appear to have become …

Persistent link: https://www.econbiz.de/10011605019

Macro-Financial Vulnerabilities and Future Financial Stress : Assessing Systemic Risks and Predicting Systemic Events

Lo Duca, Marco - 2011

This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...

Persistent link: https://www.econbiz.de/10013128992

Identifying the Global Transmission of the 2007-09 Financial Crisis in a GVAR Model

Chudik, Alexander - 2011

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite played for the global transmission of the financial crisis. Dealing with identification and the large dimensionality of the empirical exercise with a Global VAR approach, the...

Persistent link: https://www.econbiz.de/10013131899

Contagion, Spillover and Interdependence

Rigobon, Roberto - 2017

This paper reviews the empirical literature on international spillovers and contagion. Theoretical models of spillover and contagion imply that the reduced form observable variables suffer from two possible sources of bias: endogeneity and omitted variables. These econometric problems in...

Persistent link: https://www.econbiz.de/10012963951

Interdependence and Contagion in Global Asset Markets

Beirne, John - 2012

, lead to risk aversion by investors in equities and currencies globally and in some emerging market bonds. Euro area shocks …

Persistent link: https://www.econbiz.de/10013100396