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A unified approach to investigate pure and wake-up-call contagion: Evidence from the Eurozone's first financial crisis

Ludwig, Alexander - In: Journal of International Money and Finance 48 (2014) PA, pp. 125-146

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 …-up-call contagion is defined as the change of sovereign risk pricing by market participants after negative events in a single country or …

Persistent link: https://www.econbiz.de/10010939662

The cost of private debt over the credit cycle

Francis, Johanna L.; Aykut, Dilek; Tereanu, Eugen - In: Journal of International Money and Finance 41 (2014) C, pp. 146-181

We identify global and regional fluctuations in international private debt flows to emerging and developing countries using data on cross-border loans and international bond issuance over 1993–2009. We use micro-level data on syndicated cross-border loans and international bond placements to...

Persistent link: https://www.econbiz.de/10010743966

Thousands of models, one story: Current account imbalances in the global economy

Ca’ Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - In: Journal of International Money and Finance 31 (2012) 6, pp. 1319-1338

The global financial crisis has led to a revival of the empirical literature on current account imbalances. This paper contributes to that literature by investigating the importance of evaluating model and parameter uncertainty prior to reaching any firm conclusion. We explore three alternative...

Persistent link: https://www.econbiz.de/10010599351

Sovereign default risk and state-dependent twin deficits

Hürtgen, Patrick; Rühmkorf, Ronald - In: Journal of International Money and Finance 48 (2014) PB, pp. 357-382

This paper analyzes the impact of the government debt-to-GDP ratio on the correlation of the fiscal balance and the current account. Above a government debt-to-GDP ratio of 90 percent the correlation of the two balances decreases by 0.16 in a sample of 12 euro area countries and by 0.17 for...

Persistent link: https://www.econbiz.de/10011077087

Current accounts and financial flows in the euro area

Hobza, Alexandr; Zeugner, Stefan - In: Journal of International Money and Finance 48 (2014) PB, pp. 291-313

We construct a new database of bilateral financial flows among euro area countries and their major world partners and explore the role of financial links in the accumulation and then adjustment of current account imbalances in the euro area. The data show that the geography of financial flows...

Persistent link: https://www.econbiz.de/10011077100

How costly are debt crises?

Furceri, Davide; Zdzienicka, Aleksandra - In: Journal of International Money and Finance 31 (2012) 4, pp. 726-742

The aim of this paper is to assess the short and medium-term impact of debt crises on GDP. Using an unbalanced panel of 154 countries from 1970 to 2008, the paper shows that debt crises produce significant and long-lasting output losses, reducing output by about 10 percent after 8 years. The...

Persistent link: https://www.econbiz.de/10010573204

Combined use of foreign debt and currency derivatives under the threat of currency crises: The case of Latin American firms

Gatopoulos, Georgios; Loubergé, Henri - In: Journal of International Money and Finance 35 (2013) C, pp. 54-75

We investigate the determinants of firms' use of foreign currency derivatives in emerging markets exposed to currency crises. We develop a model where a firm with international orientation chooses its optimal foreign debt and hedging ratio. In the context of highly volatile exchange rate periods...

Persistent link: https://www.econbiz.de/10010665907

Early warning systems for currency crises: A multivariate extreme value approach

Cumperayot, Phornchanok; Kouwenberg, Roy - In: Journal of International Money and Finance 36 (2013) C, pp. 151-171

We apply extreme value theory to assess the tail dependence between three currency crisis measures and 18 economic indicators commonly used for predicting crises. In our pooled sample of 46 countries in the period 1974–2008, we find that nearly all pairs of variables are asymptotically...

Persistent link: https://www.econbiz.de/10011048441

Are consistent pegs really more prone to currency crises?

Esaka, Taro - In: Journal of International Money and Finance 44 (2014) C, pp. 136-163

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

To intervene, or not to intervene: Monetary policy and the costs of currency crises

Erler, Alexander; Bauer, Christian; Herz, Bernhard - In: Journal of International Money and Finance 51 (2015) C, pp. 432-456

In case of speculative attacks, the central banks' decisions to intervene or not to intervene seem to play an important role for the economic costs of currency crises. The central bank can either abstain from intervening or start an intervention, which in turn can be successful or unsuccessful....

Persistent link: https://www.econbiz.de/10011190173

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