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Substitution Between Domestic and Foreign Currency Loans in Central Europe. Do Central Banks Matter?
Brzoza-Brzezina, Michal - 2010
, based on a panel of four biggest Central European countries (the Czech Republic, Hungary, Poland and Slovakia) confirm …
Persistent link: https://www.econbiz.de/10013144575
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From Carry Trades to Curvy Trades
Dreher, Ferdinand - 2018
Traditional carry trade strategies are based on differences in short-term interest rates, neglecting any other information embedded in yield curves. We derive return distributions of carry trade portfolios among G10 currencies, where the signals to buy and sell currencies are based on summary...
Persistent link: https://www.econbiz.de/10012920109
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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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Fiscal Variables and Bond Spreads : Evidence from Eastern European Countries and Turkey
Nickel, Christiane - 2009
, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use …
Persistent link: https://www.econbiz.de/10013155821
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Exchange Rate Volatility and Growth in Small Open Economies at the EMU Periphery
Schnabl, Gunther - 2008
Since the introduction of the euro in January 1999, exchange rate stability at the periphery of the euro area is growing. The paper investigates the impact of exchange rate stability on growth for a sample of 41 mostly small open economies at the EMU periphery. It identifies international trade,...
Persistent link: https://www.econbiz.de/10012773503
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The Impact of Monetary Policy and Exchange Rate Shocks in Poland : Evidence from a Time-Varying VAR
Arratibel, Olga - 2014
effect. (2) Consumer prices appear more responsive to an interest rate shock during the first half of our sample, when Poland …
Persistent link: https://www.econbiz.de/10013060040
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Inflation Risk Premia in the US and the Euro Area
Hördahl, Peter - 2010
States and the euro area. To sharpen our estimation, we include in the information set macro data and survey data on …
Persistent link: https://www.econbiz.de/10013135685
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Carry Trades and Monetary Conditions
Falconio, Andrea - 2021
This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that consists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade...
Persistent link: https://www.econbiz.de/10013315488
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Carry Trades and Monetary Conditions
Falconio, Andrea - 2021
This paper investigates the relation between monetary conditions and the excess returns arising from currency carry trades. The results indicate that carry trade average return, Sharpe ratio and downside risk differ substantially across monetary conditions before the onset of the financial...
Persistent link: https://www.econbiz.de/10013310704
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GDP-Inflation Cyclical Similarities in the CEE Countries and the Euro Area
Macchiarelli, Corrado - 2013
of similarity with respect to the euro area. Exceptions are Poland, Hungary, Latvia and Slovenia because of lack of a …, we find that a similar inflation vs. GDP cycle is not rejected only for Poland, Lithuania, Romania and Estonia (with … crisis on the monetary/fiscal side. Interestingly, Slovenia, Slovakia, Estonia and Bulgaria display a conditional correlation …
Persistent link: https://www.econbiz.de/10013081633