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Financial Liberalization and Business Cycles: The Experience of Future EU Member States in the Baltics and Central Eastern Europe

Souza, Lucio Vinhas de - EconWPA - 2004

This paper extends the work of Kaminsky and Schmukler (2003) to the Baltic and Central Eastern European future Member States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial integration is observed in this specific sample of “emerging...

Persistent link: https://www.econbiz.de/10005062709

Parameterizing Currency Risk in the EMS: The Irish Pound and Spanish Peseta against the German Mark

McNelis, Paul D.; Lim, G.C. - EconWPA - 1998

This paper compares alternative estimates of systemic time-varying excess returns for the Irish pound and the Spanish peseta, against the German mark, since 1985. We make use of progressively more complex models, going from the GARCH in Mean specification, to the International Capital Asset...

Persistent link: https://www.econbiz.de/10005119436

The Brazilian Currency Turmoil of 2002: A Nonlinear Analysis

Goretti, Manuela - EconWPA - 2005

This paper investigates the main sources of instability in Brazil during the currency and financial distress episode of 2002. We test for financial contagion from the Argentine crisis and the impact of factors including IMF intervention and political uncertainty in raising the probability of...

Persistent link: https://www.econbiz.de/10005125532

Sovereign Risk and Real Business Cycles in a Small Open Economy

Hamann, Franz - EconWPA - 2002

debt and chooses to default when it is optimal to do so. The possibility of default induces an endogenous sovereign risk … premium on foreign debt and an endogenous rationing limit set by foreign creditors. The model is parameterized and solved … on its foreign debt and the ability to account for the Sudden Stop of capital inflows. …

Persistent link: https://www.econbiz.de/10005408167

Is There a Causal Link between Currency and Debt Crises?

Dreher, Axel; Herz, Bernhard; Karb, Volker - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005408199

Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case.

Neagu, Florian - EconWPA - 2003

EU accession requires, inter alia, free movements of capital. If a massive capital outflow occurs, the central banks from the accession or acceding countries may carry two types of intervention: on money market, and introducing restrictions on capital account. The paper explains when is...

Persistent link: https://www.econbiz.de/10005125534

Consumption Smoothing Channels in Open Economies

Asdrubali, Pierfederico; Kim, Soyoung - EconWPA - 2005

We recognize that intertemporal models of the current account (Frankel and Razin with Yuan 1996, or Baxter and Crucini 1993) imply a theory of consumption smoothing channels, and thus we build an empirical model on the theoretical foundations of Sachs (1982)'s optimizing model in order to...

Persistent link: https://www.econbiz.de/10005125536

Trade Balance and Exchange-Rate for a Small Open Economy during the EMS: The Hellenic Case 1983:1-1995:12

Theodoros, Stamatopoulos - EconWPA - 2005

We are interested on assessing the effectiveness of the Bank of Greece (BoG) exchange rate policy, to achieve the objective of adjusting balance of payments des-equilibrium, during the period 1983:1-1995:12. The traditional theory of the balance of payments adjustment process through exchange...

Persistent link: https://www.econbiz.de/10005408156

Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case

Neagu, Florian - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005556643

The Composition of International Capital Flows: Risk Sharing Through Foreign Direct Investment

Albuquerque, Rui - EconWPA - 2004

Evidence on international capital flows suggests that foreign direct investment (FDI) is less volatile than other financial flows. To explain this finding, I model international capital flows under the assumptions of imperfect enforcement of financial contracts and inalienability of FDI....

Persistent link: https://www.econbiz.de/10005119449

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