vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

(RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate … Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating … volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA …

volatility. The paper provides anoverview of the recent developments in the conventional debt market. It builds an empiricaltwo … that nonresident flows are behind the observedexchange rate volatility. The results suggest that the public debt market in …

The terrorist attacks that have occurred in the past few years around the world have raised international awareness of …

, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going … sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A …

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility … market correction period. There is also evidence of structural breaks in the stock price and volatility dynamics induced …

systemic risk in the corporate and financial sectors, as well as systemic sovereign risk; and is also forward looking as it is … END to assess systemic risk in the corporate sector in Korea, Malaysia, and Thailand. We also discuss how the END systemic … risk indicator overcomes some of the shortcomings of other vulnerability indicators …