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Managing Systemic Liquidity Risk in Financially Dollarized Economies
Levy Yeyati, Eduardo - 2005
This paper evaluates ways to protect highly dollarized banking systems from systemic liquidity runs (such as the ones that took place recently in Argentina, Uruguay, and Paraguay). In view of the limitations of available (private or official) insurance schemes, and the distortions introduced by...
Persistent link: https://www.econbiz.de/10014404199
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The external impact of China's exchange rate policy : evidence from firm level data
Eichengreen, Barry; Tong, Hui - 2011
Persistent link: https://www.econbiz.de/10009424815
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The External Impact of China'S Exchange Rate Policy : Evidence From Firm Level Data
Eichengreen, Barry J. - 2011
market sentiment and specific trade effects. Expected renminbi appreciation has a positive effect on firms exporting to China …We examine the impact of renminbi revaluation on foreign firm valuations, considering two surprise announcements of … changes in China’s exchange rate policy in 2005 and 2010 and employing data on some 6,000 firms in 44 economies. Stock returns …
Persistent link: https://www.econbiz.de/10014399195
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FX Funding Risks and Exchange Rate Volatility–Korea’s Case
Ree, Jack - 2012
This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes...
Persistent link: https://www.econbiz.de/10014395582
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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/10014395736
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Mexico'S Currency Risk Premia in 1992-1994 : A Closer Look At the Interest Rate Differentials
Werner, Alejandro M. - 1996
This paper studies the behavior of interest rate differentials in Mexico during the 1992-94 period. It shows that the currency risk premia is positively related to the share of peso denominated debt in total debt and that the magnitude of this effect is considerable. For every 1 percentage point...
Persistent link: https://www.econbiz.de/10014398127
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Currency Risk Premia in Global Stock Markets
Merritt, Matthew D. - 2006
assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedging instruments available …
Persistent link: https://www.econbiz.de/10014402492
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Spillover Effects of Exchange Rates : A Study of the Renminbi
Subramanian, Arvind - 2012
This paper estimates the impact of China''s exchange rate changes on exports of competitor countries in third markets … between China and its developing country competitors in specific products and destinations plays a key role. We exploit the … that a 10 percent appreciation of China''s real exchange rate boosts on average a developing country''s exports of a …
Persistent link: https://www.econbiz.de/10014396835
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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
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Hedging Foreign Exchange Risk in Chile : Markets and Instruments
Chan-Lau, Jorge A. - 2005
Policy makers have expressed interest in fostering the development of local foreign exchange derivatives markets with a view to reducing risks arising from currency mismatches between assets and liabilities in the corporate sector. This paper assesses foreign exchange exposure in the corporate...
Persistent link: https://www.econbiz.de/10014401031