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What is the risk of European sovereign debt defaults? : fiscal space, CDS spreads and market pricing of ristk

Aizenman, Joshua; Hutchison, Michael M.; Jinjarak, Yothin - 2011

We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

Persistent link: https://www.econbiz.de/10009272067

Implementing monetary policy

Walsh, Carl E. - 2010

During the past three years, central banks have faced challenges that few foresaw during the period known as the Great Moderation. During the crisis, central banks have responded with traditional interest rate tools, been forced to deal with the zero lower bound on nominal interest rates, and...

Persistent link: https://www.econbiz.de/10008699178

Controlling capital? : Legal restrictions and the asset composition of international financial flows

Binici, Mahir; Hutchison, Michael M.; Schindler, Martin - 2009

Legal restrictions on international capital movements are imposed in many countries in an attempt to (partially) insulate their economies from abroad and pursue some degree of domestic policy independence. But is the imposition of capital controls effective in achieving these goals? We...

Persistent link: https://www.econbiz.de/10003854622

The macroeconomic consequences of disasters

Noy, Ilan - 2007

Natural disasters have a statistically observable adverse impact on the macro-economy in the short-run. Not surprisingly, costlier events cause more pronounced slowdowns in production. Yet, interestingly, developing countries, and smaller economies, face much larger output declines following a...

Persistent link: https://www.econbiz.de/10003855328

Impact of macroeconomic surprises on carry trade activity

Hutchison, Michael M.; Sushko, Vladyslav - 2010

This paper investigates market perceptions of the risk of large exchange rate movements by using information gleaned … from risk reversal contracts and macroeconomic news surprises. We focus on the height of the carry trade period in Japan … heavy carry trade activity and are more likely to show up in the price of risk. We focus on “big” news surprises that are …

Persistent link: https://www.econbiz.de/10008698328

Navigating the trilemma : capital flows and monetary policy in China

Glick, Reuven; Hutchison, Michael M. - 2008

with the world economy. It shows how China has sought to insulate its reserve money from the effects of balance of payments …

Persistent link: https://www.econbiz.de/10003854830

Real-time effects of central bank interventions in the euro market

Fatum, Rasmus; Pedersen, Jesper - 2007

This paper investigates the real-time effects of foreign exchange intervention using official intraday intervention data provided by the Danish central bank. Denmark is currently pursuing an active intervention policy under the provisions of the Exchange Rate Mechanism (ERM II) and intervenes on...

Persistent link: https://www.econbiz.de/10003855034

The future of inflation targeting

Walsh, Carl E. - 2010

By the end of the Great Moderation, over two dozen central banks were formal inflation targeters, and others, such as the Federal Reserve, the European Central Bank, and the Swiss National Bank behaved essentially as inflation targeters even though they were resistant to identifying themselves...

Persistent link: https://www.econbiz.de/10008698322

Do surges in international capital flows influence the likelihood of banking crises? : cross-country evidence on capital flows bonanzas and bonanza-boom-bust cycles

Caballero, Julian - 2010

), the larger is this risk and a crisis becomes seven times more likely. The correlation of mild bonanzas with crises is …

Persistent link: https://www.econbiz.de/10008698941

From the great moderation to the global crisis : exchange market pressure in the 2000s

Aizenman, Joshua; Yi, Chae-u; Sushko, Vladyslav - 2010

This paper investigates the factors explaining exchange market pressures (EMP) and the hoarding and use of international reserves (IR) by emerging markets during the 2000s, as the Great Moderation turned to the 2008-9 global crisis and great recession. According to our results, both financial...

Persistent link: https://www.econbiz.de/10008699014