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A Re-Examination of Exchange Rate Exposure

Dominguez, Kathryn M.E. - 2001

Finance theory suggests that changes in exchange rates should have little influence on asset prices in a world that has …

Persistent link: https://www.econbiz.de/10012470601

Pegxit Pressure : Evidence from the Classical Gold Standard

Mitchener, Kris James - 2016

show that negative export-price shocks reduce fiscal revenue and increase the likelihood of an expected currency … relationship between export-price shocks and currency-risk premia in emerging market economies, indicating that negative export …

Persistent link: https://www.econbiz.de/10012455836

International Currency Exposures, Valuation Effects, and the Global Financial Crisis

Bénétrix, Agustín S. - 2015

We examine the evolution of international currency exposures, with a particular focus on the 2002-12 period. During the run up to the global financial crisis, there was a widespread shift towards positive net foreign currency positions, such that relatively few countries exhibited the archetypal...

Persistent link: https://www.econbiz.de/10012457846

Forward and Spot Exchange Rates in a Multi-currency World

Hassan, Tarek A. - 2014

Separate literatures study violations of uncovered interest parity using regression-based and portfolio-based methods. We propose a decomposition of these violations into a cross-currency, a between-time-and-currency, and a cross-time component that allows us to analytically relate...

Persistent link: https://www.econbiz.de/10012458373

Determinants of Financial Stress and Recovery during the Great Recession

Aizenman, Joshua - 2010

In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...

Persistent link: https://www.econbiz.de/10012462052

How Important is the Global Financial Cycle? Evidence from Capital Flows

Cerutti, Eugenio - 2017

This study quantifies the importance of a Global Financial Cycle (GFCy) for capital flows. We use capital flow data dis-aggregated by direction and type between 1990Q1 and 2015Q5 for 85 countries, and conventional techniques, models and metrics. Since the GFCy is an unobservable concept, we use...

Persistent link: https://www.econbiz.de/10012454983

Boom-Bust Cycles in Middle Income Countries : Facts and Explanation

Tornell, Aaron - 2002

In this paper we characterize empirically the comovements of macro variables typically observed in middle income countries, as well as the boom-bust cycle' that has been observed during the last two decades. We find that many countries that have liberalized their financial markets, have...

Persistent link: https://www.econbiz.de/10012469490

Negative Alchemy? Corruption, Composition of Capital Flows, and Currency Crises

Wei, Shang-Jin - 2001

Crony capitalism and self-fulfilling expectations by international creditors are often suggested as two rival explanations for currency crisis. This paper examines a possible linkage between the two that has not been explored much in the literature: corruption may affect a country's composition...

Persistent link: https://www.econbiz.de/10012470539

Debt- and Equity-Led Capital Flow Episodes

Forbes, Kristin J. - 2012

world are debt-led and the factors associated with debt-led episodes are similar to the factors behind episodes identified …

Persistent link: https://www.econbiz.de/10012460334

Multiple Time-Serie3 Models Applied to Panel Data

MaCurdy, Thomas E. - 1981

This study presents a general methodology for fitting multiple time series models to panel data. The basic statistical … panel data, and it identifies those instances in which procedures found in the time series literature cannot be directly … applied to analyze longitudinal data. Data analysis techniques in the tine series literature are adapted for panel data …

Persistent link: https://www.econbiz.de/10012478475

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