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The distributional impact of recessions : the Global Financial Crisis and the Pandemic Recession
Shibata, Ippei - 2020
Using the U.S. Current Population Survey data, this paper compares the distributional impacts of the Pandemic Crisis and those of the Global Financial Crisis in terms of (i) worker characteristics, (ii) job characteristics-'social' (where individuals interact to consume goods), 'teleworkable'...
Persistent link: https://www.econbiz.de/10012251998
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Cointegration of International Stock Market Indices
Chou, Ray Yeu-Tien - 1994
In this paper, we derive evidence on the integration of international stock markets from the cointegration properties … of international stock market prices. Using the multivariate cointegration test of Johansen, we find that the set of six … country stock price indices, including that of the United States, Canada, the United Kingdom, France, Germany, and Japan are …
Persistent link: https://www.econbiz.de/10014395829
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Cross-border currency exposures : new evidence based on an enhanced and updated dataset
Juvenal, Luciana; Gautam, Deepali; Bénétrix, Agustín; … - 2019
This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods....
Persistent link: https://www.econbiz.de/10012155206
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The cost of foreign exchange intervention : concepts and measurement
Adler, Gustavo; Mano, Rui C. - 2016
The accumulation of large foreign asset positions by many central banks through sustained foreign exchange (FX) intervention has raised questions about its associated fiscal costs. This paper clarifies conceptual issues regarding how to measure these costs both from an ex-post and an ex-ante...
Persistent link: https://www.econbiz.de/10011705681
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Carry trade vs. deposit-driven euroization
Geng, Nan; Scutaru, Tiberiu; Wiegand, Johannes - 2018
Financial 'euroization'-or 'dollarization' outside of Central and Eastern Europe-is typically analyzed as a singular phenomenon that can be traced to a common set of factors. This paper argues that two types of euroization need to be distinguished, which have different causes, economic...
Persistent link: https://www.econbiz.de/10011848140
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Currency Risk Premia in Global Stock Markets
Merritt, Matthew D. - 2006
Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available, theory suggests that stock market investors should not...
Persistent link: https://www.econbiz.de/10014402492
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Currency Hedging for International Portfolios
Schmittmann, Jochen M. - 2010
2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment …
Persistent link: https://www.econbiz.de/10014402714
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A Network Analysis of Sectoral Accounts : Identifying Sectoral Interlinkages in G-4 Economies
Almeida, Luiza Antoun de - 2015
The recent financial crisis highlighted that balance sheet exposures can be a major shock transmission channel. Using sectoral accounts data in combination with data from the Coordinated Portfolio Investment Survey, International Investment Position, and BIS this paper estimates bilateral...
Persistent link: https://www.econbiz.de/10012418218
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Global banks' dollar funding : a source of financial vulnerability
Barajas, Adolfo; Deghi, Andrea; Raddatz, Claudio E.; … - 2020
Leading up to the global financial crisis, US dollar activity by global banks headquartered outside the United States played a crucial role in transmitting shocks originating in funding markets. Although post-crisis regulation has improved banking systems' resilience, US dollar funding remains a...
Persistent link: https://www.econbiz.de/10012252271
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The Information Content of Prices in Derivative Security Markets
Scott, Louis O. - 1991
expectations for future spot prices, and option prices are used to calculate the market’s expectations for future volatility of …
Persistent link: https://www.econbiz.de/10014395868