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This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain...
Persistent link: https://www.econbiz.de/10012782262
This paper examines the empirical evidence on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit an unusual behavior in the periods preceding a crisis. When an indicator exceeds a certain...
Persistent link: https://www.econbiz.de/10008915325
The authors examine the empirical evidence on currency crises and propose a specific early-warning system. This system involves monitoring the evolution of several indicators that tend to exhibit unusual behavior in the periods preceding a crisis. An indicator exceeding a certain threshold value...
Persistent link: https://www.econbiz.de/10005115891
This papers examines the empirical literature on currency crises and proposes a specific early warning system. This system involves monitoring the evolution of several indicators that tend to exhibit unusual behaviorin the periods preceding a crisis. When an indicator exceeds a certain threshold...
Persistent link: https://www.econbiz.de/10005619554
The authors address the trading strategies of mutual funds in emerging markets. The data set they develop permits analyses of these strategies at the level of individual portfolios. A methodologically novel feature of their analysis: they disentangle the behavior of fund managers from that of...
Persistent link: https://www.econbiz.de/10012572791
International mutual funds are one of the main channels for capital flows to emerging economies. Although mutual funds have become important contributors to financial market integration, little is known about their investment allocation, and strategies. The authors provide an overview of mutual...
Persistent link: https://www.econbiz.de/10012572914
The authors study whether capital controls affect the link between domestic and foreign stock market prices and interest rates. To examine the characteristics of international market integration and the effects of capital controls in the short and long run, they apply band-pass filter techniques...
Persistent link: https://www.econbiz.de/10012573034
Financial market instability has been the focus of attention of both academic and policy circles. Rating agencies have been under particular scrutiny lately as promoters of financial excesses, upgrading countries in good times and downgrading them in bad times. Using a panel of emerging...
Persistent link: https://www.econbiz.de/10012573051
This paper undertakes an econometric investigation into the presence of risk premium in commodity futures markets. The statistical tests are derived from a formal model of asset pricing and are applied to futures prices in a variety of commodity markets. The results suggest that for several...
Persistent link: https://www.econbiz.de/10012780950
This paper undertakes an econometric investigation into the efficiency of commodity futures markets. Despite a considerable amount of empirical literature, there is no general consensus on whether or not the markets are efficient. The results of this study suggest that for certain commodities...
Persistent link: https://www.econbiz.de/10012780979