Showing 1 - 10 of 119
This paper evaluates the treatment effect of consistent pegs (i.e., a policy in which countries actually adopt announced pegged regimes) on the occurrence of currency crises to examine whether consistent pegs are indeed more prone to currency crises than other regimes. Using matching estimators...
Persistent link: https://www.econbiz.de/10011048502
This paper explores empirically how the adoption of IMF programs affects sovereign risk over the medium term. We find that IMF programs significantly increase the probability of subsequent sovereign defaults by approximately 1.5–2 percentage points. These results cannot be attributed to...
Persistent link: https://www.econbiz.de/10010577046
While the current account of the euro area as a whole has remained almost balanced in the past two decades, several member countries have sizeable deficits or surpluses. In this paper, we interpret these imbalances as indicators of net capital flows among the euro-area countries. We distinguish...
Persistent link: https://www.econbiz.de/10011048534
Governments have rarely imposed or removed capital controls in response to short-term fluctuations in output, the terms of trade, or financial-stability considerations. We show empirically that controls on the international flow of financial capital are highly durable, often remaining in place...
Persistent link: https://www.econbiz.de/10010939663
One of the central questions of policy interest in recent years has been how many dollars of the inflation-adjusted price of oil must be attributed to speculative demand for oil stocks at each point in time. We develop statistical tools that allow us to address this question, and we use these...
Persistent link: https://www.econbiz.de/10011048456
In this paper we present an analysis of diversification strategies on portfolios of European corporate bonds. From the perspective of a US-based investor we study whether mean–variance diversification strategies change as a result of the introduction of the European Economic and Monetary Union...
Persistent link: https://www.econbiz.de/10010594706
The offshore renminbi (CNH) exchange rate is the exchange rate of the Chinese currency transacted outside China. We study the CNH exchange rate dynamics and its links with onshore exchange rates (CNY). Using a specialized microstructure dataset, we find that CNH is significantly affected by its...
Persistent link: https://www.econbiz.de/10011077097
This paper investigates how the withdrawal of banks from their cross-border business impacted the borrowing costs of European firms since the crisis. We combine aggregate information on total and cross-border credit with firm-level survey data for the period 2010–2014. We find that the decline...
Persistent link: https://www.econbiz.de/10012021996
This paper examines the extent to which large swings of sovereign yields in euro area countries during the debt crisis can be attributed to fundamentals, focusing on the inherent uncertainty in bond yield models. We show that the outcomes are strongly affected by modelling choices with regard to...
Persistent link: https://www.econbiz.de/10010906605
This paper simultaneously analyzes wake-up-call and pure contagion of sovereign risk in the Eurozone during its recent financial crisis. Pure contagion of sovereign risk means the transmission of negative effects after a shock to a country which are not reflected in the risk pricing of...
Persistent link: https://www.econbiz.de/10010939662