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Current account reversals in industrial countries: does the exchange rate regime matter?
Pancaro, Cosimo - 2013
This paper studies current account reversals in industrial countries across different exchange rate regimes. There are … current account reversals differ between exchange rate regimes. While the current account deficit and the output gap are … significant predictors of reversals across all regimes, reserve coverage, credit booms, openness to trade and the US short term …
Persistent link: https://www.econbiz.de/10011605592
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Implied Volatility Sentiment: A Tale of Two Tails
Stork, Philip; Félix, Luiz; Kräussl, Roman - 2017
Low probability events are overweighted in the pricing of out-of-the-money index puts and single stock calls. This behavioral bias is strongly time-varying, and is linked to equity market sentiment and higher moments of the risk-neutral density. We _nd that our implied volatility (IV) sentiment...
Persistent link: https://www.econbiz.de/10011586727
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Implied volatility sentiment: A tale of two tails
Felix, Luiz; Kräussl, Roman; Stork, Philip - 2017
investors' overweight of tail events the best. Our findings also suggest that IV-sentiment predicts equity markets reversals … risk premium literature, especially as an equity-buying signal. This reversals prediction seems to improve time-series and …
Persistent link: https://www.econbiz.de/10011589249
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Greed, impatience and exchange rate determination
Bohn, Frank - 2006
This paper offers a theoretical explanation for the determination of exchange rates under specific conditions which can/could be found in some OECD and newly industrialised countries. In an Obstfeld (1994) framework extended to incorporate government expropriation reneging on a fixed exchange...
Persistent link: https://www.econbiz.de/10010293862
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Default, Electoral Uncertainty and the Choice of Exchange Regime
Hefeker, Carsten - 2004
The paper explores the interaction between debt crises and devaluation. Since the optimal level of devaluation in a crisis depends on the level of debt that has to be serviced, a default makes a devaluation less likely. Expected devaluation depends thus on expectations about default which is...
Persistent link: https://www.econbiz.de/10010295431
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Between Two Poles: Matching Trade and Exchange Rate Regimes in Mercosur
Busse, Matthias; Hefeker, Carsten; Koopmann, Georg - 2004
The paper reviews exchange rate options for Mercosur countries. We start from the observation that most of the countries in the region have a longstanding tendency to adopt fixed exchange rates, and ask how such a system could best be designed. The Argentine crisis has demonstrated that...
Persistent link: https://www.econbiz.de/10010295434
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Integration of financial markets and national price levels: the role of exchange rate volatility
Hoffmann, Mathias; Tillmann, Peter - 2008
How does international financial integration affect national price levels? To analyze this question, this paper formulates a two-country open economy sticky-price model under either segmented or complete asset markets. It is shown that the effect of financial integration, i.e. moving from...
Persistent link: https://www.econbiz.de/10010295879
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Default, Electoral Uncertainty and the Choice of Exchange Regime
Hefeker, Carsten - 2007
The paper explores the interaction between debt crises and devaluation. Since the optimal level of devaluation in a crisis depends on the level of debt that has to be serviced, a default makes a devaluation less likely. Expected devaluation depends thus on expectations about default which is...
Persistent link: https://www.econbiz.de/10010296027
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EMU and fiscal discipline: the end of the depreciation threat
Heinemann, Friedrich - 1998
Are the characteristics of the exchange rate regime relevant for the degree of fiscal discipline? What are the conclusions for fiscal behavior in Europe after the transition to EMU? These are the central questions that are analyzed in this paper from a theoretical point of view. After a general...
Persistent link: https://www.econbiz.de/10010297592
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Exchange rate regimes and fiscal discipline in OECD countries
Heinemann, Friedrich - 1999
Since the start of EMU national fiscal policy in the Eurozone can be conducted almost without paying any attention to consequences for the exchange rate. This might lower fiscal discipline. In order to shed light on the empirical relevance of this consideration, the impact of the exchange rate...
Persistent link: https://www.econbiz.de/10010297607