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Currency Risk Premia in Global Stock Markets.
Roache, Shaun K - 2006
Intro -- Contents -- I. INTRODUCTION -- II. PREVIOUS LITERATURE -- III. MODEL SPECIFICATION -- IV. ESTIMATION -- V. DATA AND PRELIMINARY STATISTICS -- VI. MAIN RESULTS -- VII. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691179
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Global Volatility and Forex Returns in East Asia
Kalra, Sanjay - 2008
During 2001-07, increases in mature market volatility were associated with declines in forex returns for East Asian … increase in mature market equity volatility generated an exchange rate depreciation of up to ½ percent. This sensitivity rose …
Persistent link: https://www.econbiz.de/10012677655
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Market-Based Estimation of Default Probabilities and Its Application to Financial Market Surveillance.
Chan-Lau, Jorge A - 2006
Intro -- Contents -- I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE -- II. CREDIT DEFAULT SWAPS -- III. BONDS -- IV. EQUITY PRICES -- V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES -- VI. CONCLUSIONS -- REFERENCES.
Persistent link: https://www.econbiz.de/10012691108
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International Competitiveness of the Mediterranean Quartet
Bennett, Herman Z. - 2008
current literature and apply it to the Mediterranean Quartet (MQ) of Greece, Italy, Portugal, and Spain, whose common pattern …
Persistent link: https://www.econbiz.de/10012677628
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Competitiveness in the Southern Euro Area : France, Greece, Italy, Portugal, and Spain
Lissovolik, Bogdan - 2008
This collection of studies analyzes developments in nonprice external competitiveness of France, Greece, Italy …, Portugal, and Spain. While France, Italy, and Portugal have experienced substantial export market share losses, Greece and …
Persistent link: https://www.econbiz.de/10014409024
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International Competitiveness of the Mediterranean Quartet : A Heterogeneous-Product Approach
Bennett, Herman - 2008
current literature and apply it to the Mediterranean Quartet (MQ) of Greece, Italy, Portugal, and Spain, whose common pattern …
Persistent link: https://www.econbiz.de/10014409044
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The Economics of Sovereign Debt, Bailouts, and the Eurozone Crisis
Gourinchas, Pierre-Olivier - 2023
Cyprus, Greece, Ireland, Portugal, and Spain, ranging from roughly 0.5% (Ireland) to a whopping 43% (Greece) of 2010 output …
Persistent link: https://www.econbiz.de/10015059348
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Transmission of Financial Stress in Europe: The Pivotal Role of Italy and Spain, but not Greece
González-Hermosillo, Brenda; Johnson, Christian A - International Monetary Fund (IMF) - 2014
This paper proposes a stochastic volatility model to measure sovereign financial distress. It examines how key European … sovereign credit default swap (CDS) spreads affect each other; specifically, the paper analyses the volatility structure of … Germany, Greece, Ireland, Italy, Spain and Portugal. The stability of Germany is a close proxy for the resilience of the euro …
Persistent link: https://www.econbiz.de/10011142190
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Too much finance?
Arcand, Jean-Louis L.; Berkes, Enrico; Panizza, Ugo - 2012
they are not driven by output volatility, banking crises, low institutional quality, or by differences in bank regul …
Persistent link: https://www.econbiz.de/10009618521
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Exchange rate fluctuations and international portfolio rebalancing in Thailand
Gyntelberg, Jacob; Loretan, Mico; Subhanij, Tientip - 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/10009621634