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Extremes, return level and identification of currency crises

Qin, Xiao; Liu, Liya - In: Economic Modelling 37 (2014) C, pp. 439-450

Recent literature has attempted to apply Extreme Value Theory (EVT) in the identification of currency crises. However, these approaches seem to have confused the thresholds in extreme modeling with the cutoffs of currency crises. Our paper proposes a Return Level Identification Approach, also...

Persistent link: https://www.econbiz.de/10010743996

Currency crisis transmission through international trade

Haidar, Jamal Ibrahim - In: Economic Modelling 29 (2012) 2, pp. 151-157

world market clearing conditions for tradables into a new theoretic model, analyzes net capital flow movements between …

Persistent link: https://www.econbiz.de/10010573397

Exchange rate regime, real misalignment and currency crises

Holtemöller, Oliver; Mallick, Sushanta - In: Economic Modelling 34 (2013) C, pp. 5-14

Based on 69 sample countries, this paper examines the effect of macroeconomic fundamentals on real effective exchange rates (REER) in these sample countries. Using the misalignment of actual REER from its equilibrium level, we have estimated the factors explaining the extent of currency over- or...

Persistent link: https://www.econbiz.de/10011048948

Return and volatility spillovers between china and world oil markets

Zhang, Bing; Wang, Peijie - In: Economic Modelling 42 (2014) C, pp. 413-420

We examine return and volatility spillovers between China and world oil markets. This topic is of great importance … because China is the world's second-largest oil importer and has exhibited substantial growth in oil consumption. Extending … China and world oil markets are bi-directional and asymmetric. The Chinese oil market is highly affected by world oil …

Persistent link: https://www.econbiz.de/10010931012

The impact of the 2008 financial crisis on housing prices in China and Taiwan: A quantile regression analysis

Kang, Hsin-Hong; Liu, Shu-Bing - In: Economic Modelling 42 (2014) C, pp. 356-362

This paper adopts quantile regression to investigate the impact of the 2008 financial crisis on housing prices at difference price levels in China and Taiwan, and employs data from the period July 2005–December 2010. According to the empirical results, the ordinary least squares estimates are...

Persistent link: https://www.econbiz.de/10010931052

Building a financial conditions index for the euro area and selected euro area countries: What does it tell us about the crisis?

Angelopoulou, Eleni; Balfoussia, Hiona; Gibson, Heather D. - In: Economic Modelling 38 (2014) C, pp. 392-403

In this paper we construct financial conditions indices (FCIs) for the euro area, for the period 2003 to 2011, using a wide range of prices, quantities, spreads and survey data, grounded in the theoretical literature. One FCI includes monetary policy variables, whilst two versions without...

Persistent link: https://www.econbiz.de/10010753359

Early warning models against bankruptcy risk for Central European and Latin American enterprises

Korol, Tomasz - In: Economic Modelling 31 (2013) C, pp. 22-30

This article is devoted to the issue of forecasting the bankruptcy risk of enterprises in Latin America and Central Europe. The author has used statistical and soft computing methods to program the prediction models. It compares the effectiveness of twelve different early warning models for...

Persistent link: https://www.econbiz.de/10010636323

Eurozone crisis and BRIICKS stock markets: Contagion or market interdependence?

Ahmad, Wasim; Sehgal, Sanjay; Bhanumurthy, N.R. - In: Economic Modelling 33 (2013) C, pp. 209-225

economy from contagious effects. For multilateral organizations like International Monetary Fund (IMF) and World Bank, the …

Persistent link: https://www.econbiz.de/10010737984

Credit and bank opaqueness: How to avoid financial crises?

Mendonça, Helder Ferreira de; Galvão, Délio José … - In: Economic Modelling 33 (2013) C, pp. 605-612

This study makes a contribution to the literature on bank opaqueness and bank credit through empirical evidence gathered from data of 310 NYSE and NASDAQ banks for the period 1Q1990 to 4Q2009. In addition to developing an opacity index based on bank risk information, the empirical analysis...

Persistent link: https://www.econbiz.de/10010738040

The 2007 financial crisis and the UK residential housing market: Did the relationship between interest rates and house prices change?

Tse, Chin-Bun; Rodgers, Timothy; Niklewski, Jacek - In: Economic Modelling 37 (2014) C, pp. 518-530

This paper investigates the impact of the 2007 financial crisis on the relationship between real mortgage interest rates and real house prices. It applies a dynamic conditional correlation based methodology that uses fractionally differenced data along with controls for structural breaks and...

Persistent link: https://www.econbiz.de/10010744001