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Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

International equity flows and returns

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be … model is put in the state space form. The unobserved variables span the macroeconomic risk factors with an impact on the … comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role …

Persistent link: https://www.econbiz.de/10009636537

Maintaining price stability under free-floating

Detken, Carsten; Gaspar, Vítor - 2003

The behaviour of the exchange rate under a floating exchange rate regime for a small open economy with perfect capital mobility may appear like a managed float or even a firmer peg. We present a canonical new neo-classical synthesis open economy model where the central bank follows a strategy...

Persistent link: https://www.econbiz.de/10009635960

International risk-sharing and the transmission of productivity shocks

Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2004

effcient risk-sharing, negatively correlated with cross-country consumption ratios. This paper shows that incomplete asset … the international transmission of productivity improvements generate the observed degree of risk-sharing: one associated … transmission pattern, questioning the presumption that terms-of-trade movements foster international risk-pooling. …

Persistent link: https://www.econbiz.de/10009636531

Current accounts dynamics in OECD and EU acceding countries

Bussière, Matthieu; Fratzscher, Marcel; Müller, Gernot J. - 2004

The paper extends the standard intertemporal model of the current account to include two important stylised facts: (1) the persistence of current account positions and (2) the relevance of the fiscal balance. Specifically, the paper derives a closed form solution for consumption in the presence...

Persistent link: https://www.econbiz.de/10009636534

Real exchange rate in an inter-temporal n-country-model with incomplete markets

Mercereau, Benoît - 2003

of risky assets among countries are determined endogenously. The risk-free rate is exogenous, so our model is an … exchange rate for parameters such as income on net foreign assets, risk-aversion and risk-hedging opportunities. …

Persistent link: https://www.econbiz.de/10009639862

Methodological advances in the assessment of equilibrium exchange rates

Bussière, Matthieu; Ca’ Zorzi, Michele; Chudík, … - 2010

This paper reviews three different concepts of equilibrium exchange rates that are widely used in policy analysis and constitute the backbone of the IMF CGER assessment: the Macroeconomic Balance, the External Sustainability and the reduced form approaches. We raise a number of econometric...

Persistent link: https://www.econbiz.de/10009640408

Do financial market variables show (symmetric) indicator properties relative to exchange rate returns?

Castrén, Olli - 2004

, short-term speculative flows and risk reversals on currency options prices exhibit consistent contemporaneous indicator …

Persistent link: https://www.econbiz.de/10009639433

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

Persistent link: https://www.econbiz.de/10009635881

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