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Foreign exchange market reactions to sovereign credit news
Alsakka, Rasha; ap Gwilym, Owain - In: Journal of International Money and Finance 31 (2012) 4, pp. 845-864
We analyse the reaction of the foreign exchange spot market to sovereign credit signals by Fitch, Moody’s and S&P during 1994–2010. We find that positive and negative credit news affects both the own-country exchange rate and other countries’ exchange rates. We provide evidence on unequal...
Persistent link: https://www.econbiz.de/10011048442
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The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis
Alsakka, Rasha; ap Gwilym, Owain; Vu, Tuyet Nhung - In: Journal of International Money and Finance 49 (2014) PB, pp. 235-257
We investigate the rating channel for the transmission of changes in sovereign risk to the banking sector, analysing data from Moody's, S&P and Fitch before and during the European debt crisis. Sovereign rating downgrades and negative watch signals have strong effects on bank rating downgrades...
Persistent link: https://www.econbiz.de/10011077112
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The credit signals that matter most for sovereign bond spreads with split rating
Vu, Huong; Alsakka, Rasha; Gwilym, Owain ap - In: Journal of International Money and Finance 53 (2015) C, pp. 174-191
We investigate how split ratings influence the information content of credit rating events on the sovereign bond markets during 2000–2012. We find that market reactions are far stronger for negative events on the inferior ratings and for positive events on the superior ratings. Such evidence...
Persistent link: https://www.econbiz.de/10011263957
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Who benefits from capital account liberalization? Evidence from firm-level credit ratings data
Prati, Alessandro; Schindler, Martin; Valenzuela, Patricio - In: Journal of International Money and Finance 31 (2012) 6, pp. 1649-1673
Using a novel panel data set on corporate foreign-currency credit ratings and capital account restrictions in advanced and emerging economies during 1995–2004, we find a strong positive effect of capital account liberalization on firms' credit risk, as measured by corporate credit ratings. As...
Persistent link: https://www.econbiz.de/10010599338
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Has the euro affected the choice of invoicing currency?
Ligthart, Jenny E.; Werner, Sebastian E.V. - In: Journal of International Money and Finance 31 (2012) 6, pp. 1551-1573
We present a new approach to study empirically the effect of the introduction of the euro on the pattern of currency … invoicing after the introduction of the euro, whereas the home currency share of non-eurozone countries fell slightly. In … addition, the euro as a vehicle currency has overtaken the role of the US dollar in Norwegian imports. The substantial rise in …
Persistent link: https://www.econbiz.de/10010869452
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The known unknowns and unknown unknowns of European Monetary Union
Pisani-Ferry, Jean - In: Journal of International Money and Finance 34 (2013) C, pp. 6-14
forming a monetary union among diverse economies. Several of the problems that emerged in the euro crisis were correctly …
Persistent link: https://www.econbiz.de/10011048450
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What lures cross-border venture capital inflows?
Schertler, Andrea; Tykvová, Tereza - In: Journal of International Money and Finance 31 (2012) 6, pp. 1777-1799
We investigate if economic factors drive gross and net cross-border venture capital inflows differently. Using a dataset of venture capital investments in European and North American countries from 2000 to 2008, we find that higher expected economic growth goes hand in hand with higher gross as...
Persistent link: https://www.econbiz.de/10011048506
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Macroannouncements, bond auctions and rating actions in the European government bond spreads
Boffelli, Simona; Urga, Giovanni - In: Journal of International Money and Finance 53 (2015) C, pp. 148-173
. Disentangling the pre-from the post-announcement effects, real economy and forward looking news releases from US and Euro area …
Persistent link: https://www.econbiz.de/10011263951
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Exchange-rate return predictability and the adaptive markets hypothesis: Evidence from major foreign exchange rates
Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: Journal of International Money and Finance 31 (2012) 6, pp. 1607-1626
This study examines return predictability of major foreign exchange rates by testing for martingale difference hypothesis (MDH) using daily and weekly nominal exchange rates from 1975 to 2009. We use three alternative tests for the MDH, which include the wild bootstrap automatic variance ratio...
Persistent link: https://www.econbiz.de/10010599339
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Foreign exchange market efficiency under recent crises: Asia-Pacific focus
Ahmad, Rubi; Rhee, S. Ghon; Wong, Yuen Meng - In: Journal of International Money and Finance 31 (2012) 6, pp. 1574-1592
The Asia-Pacific region’s currency markets are generally efficient within-country when tested using the Johansen (1991, 1995) cointegration technique whereas market efficiency fails to hold when tested using Fama’s (1984) conventional regression. Using the Pilbeam and Olmo (2011) model, we...
Persistent link: https://www.econbiz.de/10010599341