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Carry Trade and Systemic Risk : Why are FX Options So Cheap?

Caballero, Ricardo J. - 2012

In this paper we document first that, in contrast with their widely perceived excess returns, popular carry trade strategies yield low systemic-risk-adjusted returns. In particular, we show that carry trade returns are highly correlated with the return of a VIX rolldown strategy — i.e., the...

Persistent link: https://www.econbiz.de/10013096641

International Liquidity Management : Sterilization Policy in Illiquid Financial Markets

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2003

During the booms that precede crises in emerging economies, policy makers often struggle to limit capital flows and their expansionary consequences. The main policy tool for this task is sterilization--essentially a swap of international reserve for public bonds. However, there is an extensive...

Persistent link: https://www.econbiz.de/10014155474

Dollarization of Liabilities : Underinsurance and Domestic Financial Underdevelopment

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2003

While there is still much disagreement on the causes underlying recent emerging markets' crises, one factor that most observers have agreed upon is that contracting "dollar" (foreign currency) denominated external debt - as opposed to domestic currency debt - created balance sheet mismatches...

Persistent link: https://www.econbiz.de/10014151417

Excessive Dollar Debt : Financial Development and Underinsurance

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2003

We propose that the limited financial development of emerging markets is a significant factor behind the large share of dollar-denominated external debt present in these markets. We show that when financial constraints affect borrowing and lending between domestic agents, agents undervalue...

Persistent link: https://www.econbiz.de/10014118569

A "vertical" analysis of monetary policy in emerging markets

Caballero, Ricardo J. (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001672837

A 'Vertical' Analysis of Monetary Policy in Emerging Markets

Caballero, Ricardo J.; Krishnamurthy, Arvind - 2003

During emerging market crises, domestic agents might have sufficient collateral to borrow from the other domestic agents, but they are unable to borrow from foreigners because the country, as a whole, lacks international collateral. In this setting, we show that an (ex-post) optimizing central...

Persistent link: https://www.econbiz.de/10014118568

The "other" imbalance and the financial crisis

Caballero, Ricardo J. - 2009

Persistent link: https://www.econbiz.de/10003942551

The "other" imbalance and the financial crisis

Caballero, Ricardo J. - 2010

that the U.S. would experience a sudden stop of capital flows, which would unavoidably drag the world economy into a deep … instead that the root imbalance was of a different kind: The entire world had an insatiable demand for safe debt instruments … of exposing the economy to a systemic panic. This structural problem can be alleviated if governments around the world …

Persistent link: https://www.econbiz.de/10003925208

Financial integration without the volatility

Caballero, Ricardo J.; Cowan, Kevin - 2006

Persistent link: https://www.econbiz.de/10003473554

Financial integration without the volatility

Caballero, Ricardo J. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003431339

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