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Monetary policy spillovers and emerging market credit: The impact of Federal Reserve communications on sovereign CDS spreads

Fender, Ingo; Hayo, Bernd; Neuenkirch, Matthias - 2011

In this paper, we study the effects of US target rate changes and related communications by members of the Federal Reserve Board of Governors on spreads for emerging market sovereign credit default swaps (CDS). Using GARCH models, we find that during the pre-financial crisis sub-sample (April...

Persistent link: https://www.econbiz.de/10010286429

Cousin risks: the extent and the causes of positive correlation between country and currency risks

Lowenkron, Alexandre; Garcia, Márcio - 2005

Persistent link: https://www.econbiz.de/10011807332

Privatization, Political Risk and Stock Market Development in Emerging Economies

Perotti, Enrico C.; van Oijen, Pieter - 1999

This paper investigates whether privatization in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatization program represents a major political test that gradually resolves uncertainty...

Persistent link: https://www.econbiz.de/10010324472

Contagion and Spillovers: New Insights from the Crisis

Backé, Peter; Feldkircher, Martin; Gnan, Ernest; … - 2010

On February 12, 2010, SUERF, the Oesterreichische Nationalbank and the Bankwissenschaftliche Gesellschaft continued their established tradition of jointly organised conferences. As evidenced also by the 115 conference participants, this year's subject of "Contagion and Spillovers – New...

Persistent link: https://www.econbiz.de/10011689946

Is time ripe for a currency union in emerging East Asia? The role of monetary stabilisation

Sánchez, Marcelo - 2005

This paper assesses the prospects for monetary integration between Emerging East Asian (EEA) economies. Our empirical analysis is based on a simple analytical framework for currency unions of small open economies, with a focus on the conduct of monetary policy in the presence of different types...

Persistent link: https://www.econbiz.de/10011604613

Policy response to external shocks: Lessons from the crisis

Capistrán, Carlos; Cuadra, Gabriel; Ramos-Francia, Manuel - 2011

Emerging economies have been subject to abrupt reversals in capital inflows, which have adverse consequences for economic activity and financial stability. An important question for policymakers is how to respond to a sudden loss of external financing and its negative effects on the domestic...

Persistent link: https://www.econbiz.de/10010322619

Does human capital protect workers against exogenous shocks? South Africa in the 2008 - 2009 crisis

Leung, Ron; Stampini, Marco; Vencatachellum, Désiré - 2009

capital provided a buffer against the shock. After controlling for observable characteristics, education and experience showed …

Persistent link: https://www.econbiz.de/10010269538

Domestic cycles, financial cycles, and policies: What has gone wrong?

Daianu, Daniel - 2017

to linkages between domestic cycles and the European financial cycle, drivers of financial cycles, finance deregulation …

Persistent link: https://www.econbiz.de/10012056988

Shifting into digital services: Does a crisis matter and for who?

van der Marel, Erik - 2020

How do trade patterns change after an external shock such as an economic crisis, and is this shift structural? This … paper uses a Difference-in-Difference (DID) approach to investigate whether services trade became more digital after the … services trade to become more digital - although there are signs that this somewhat already happened before 2008. Software …

Persistent link: https://www.econbiz.de/10014327353

Country Default Probabilities: Assessing and Backtesting

Vogl, Konstantin; Maltritz, Dominik; Huschens, Stefan; … - 2006

We address the problem how to estimate default probabilities for sovereign countries based on market data of traded debt. A structural Merton-type model is applied to a sample of emerging market and transition countries. In this context, only few and heterogeneous default probabilities are...

Persistent link: https://www.econbiz.de/10010296810