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Offshore Currency Markets : Non-Deliverable Forwards (NDFs) in Asia

Schmittmann, Jochen; Teng, Chua Han - 2021

Non-deliverable forward (NDF) markets in many Asian emerging market currencies are large, rapidly growing, and often exceed onshore markets in transaction volume. NDFs tend to price significant depreciation during market stress episodes including COVID-19. Spillovers from NDFs to onshore markets...

Persistent link: https://www.econbiz.de/10013315112

Contingent Liabilities from Banks : How to Track Them?

Arslanalp, Serkan - 2016

In this paper, we develop a methodology to assess potential losses to the government that could arise from bank failures. The approach is intended to be simple, parsimonious, and used in real time. It generates an index that we call the banking sector contingent liability index (BCLI), based on...

Persistent link: https://www.econbiz.de/10012998795

Contagion of Fear : Is the Impact of COVID-19 on Sovereign Risk Really Indiscriminate?

Cevik, Serhan; Ozturkkal, Belma - 2021

This paper investigates the impact of infectious diseases on the evolution of sovereign credit default swap (CDS) spreads for a panel of 77 advanced and developing countries. Using annual data over the 2004-2020 period, we find that infectious-disease outbreaks have no discernible effect on CDS...

Persistent link: https://www.econbiz.de/10013250064

How Important is the Global Financial Cycle? Evidence from Capital Flows

Cerutti, Eugenio M. - 2018

This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use capital flow data dis-aggregated by direction and type between 1990Q1 and 2015Q5 for 85 countries, and conventional techniques, models and metrics. Since the GFCy is an unobservable concept, we use...

Persistent link: https://www.econbiz.de/10012927465

Central Bank Independence and Macro-Prudential Regulation

Ueda, Kenichi - 2012

We consider the optimality of various institutional arrangements for agencies that conduct macro-prudential regulation and monetary policy. When a central bank is in charge of price and financial stability, a new time inconsistency problem may arise. Ex-ante, the central bank chooses the...

Persistent link: https://www.econbiz.de/10013107404

The Imf's Reserves Template and Nominal Exchange Rate Volatility

Cady, John - 2007

exchange rate volatility are investigated for 48 countries. Estimation of panel data models indicates that nominal exchange … rate volatility decreases following dissemination of reserves template data while the effects of indebtedness and reserve … adequacy on volatility exhibit statistically significant changes …

Persistent link: https://www.econbiz.de/10012777957

Soft Power and Exchange Rate Volatility

Cevik, Serhan - 2015

, institutional, political and social underpinnings to uncover the “missing” determinants of exchange rate volatility over time and … volatility, especially in emerging market economies. After controlling for standard macroeconomic factors, we find that the “soft … exchange rate volatility across countries …

Persistent link: https://www.econbiz.de/10013024431

Can Higher Reserves Help Reduce Exchange Rate Volatility?

Nowak, M. - 2021

This paper studies the role of an increase in foreign exchange reserves in reducing currency volatility for emerging … introduced in the regressions to account for other factors affecting exchange rate volatility (monetary and external indicators … exchange rate regime, since the regime can affect both the level of reserves and exchange rate volatility. The results provide …

Persistent link: https://www.econbiz.de/10013211940

Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand

Gyntelberg, Jacob - 2012

We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005 and 2006....

Persistent link: https://www.econbiz.de/10013098595

Realignment Expectations, Forward Rate Bias, and Sterilized Intervention in an Adjustable Peg Exchange Rate Model with Policy Optimization

Isard, Peter - 2006

The paper models an adjustable peg exchange rate arrangement as a policy rule with an escape clause under which the timing and magnitudes of realignments are the outcomes of policy optimization decisions. Under the assumptions that market participants are rational, risk averse, and fully...

Persistent link: https://www.econbiz.de/10012781765

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