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Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009

How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples that do not contain disasters. The model points to a...

Persistent link: https://www.econbiz.de/10005016245

Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity

Ranaldo, Angelo; Griffoli, Tommaso Mancini - Schweizerische Nationalbank (SNB) - 2010

Arbitrage normally ensures that covered interest parity (CIP) holds. Until recently, excess profits, if any, were … arbitrage strategy as a speculator would actually implement it, considering both unsecured and secured funding. Either way, it …

Persistent link: https://www.econbiz.de/10008925008

Limits to Arbitrage during the Crisis: Finding Liquidity Constraints and Covered Interest Parity

Mancini Griffoli, Tommaso; Ranaldo, Angelo - School of Finance, Universität St. Gallen - 2012

Arbitrage ensures that covered interest parity holds. The condition is central to price foreign exchange forwards and … interbank lending rates, and reflects the efficient functioning of markets. Normally, deviations from arbitrage, if any, last … seconds and reach a few basis points. But after the Lehman bankruptcy, arbitrage broke down. By replicating exactly two major …

Persistent link: https://www.econbiz.de/10010713840

Credit rating agency downgrades and the Eurozone sovereign debt crises

Baum, Christopher F; Karpava, Margarita; Schäfer, Dorothea - Narodowy Bank Polski - 2014

This paper studies of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade...

Persistent link: https://www.econbiz.de/10010793619

Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises

Baum, Christopher; Schäfer, Dorothea; Stephan, Andreas; … - Department of Economics, Boston College - 2013

This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA...

Persistent link: https://www.econbiz.de/10011019862

Efficiency of stock markets and exchange rates: Emerging vs.developed countries

Sensoy, Ahmet - Research Department, Borsa İstanbul - 2013

Using generalized Hurst exponent, we investigate the presence of long-range dependence in the stock markets and exchange rates (vis-a-vis US dollar) of all in ation targeting countries having oating currencies. Many studies with a data set from pre-2008 crisis and that developed markets are less...

Persistent link: https://www.econbiz.de/10011148613

Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crises

Baum, Christopher; Karpava, Margarita; Schäfer, Dorothea; … - Ratioinstitutet - 2013

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011–2012. The employed GARCH models show that CRA downgrade...

Persistent link: https://www.econbiz.de/10010704425

Interest rate derivative markets in Hungary between 2009 and 2012 in light of the K14 dataset

Kocsis, Zalán; Csávás, Csaba; Mák, István; Pulai, … - Magyar Nemzeti Bank (MNB) - 2013

MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...

Persistent link: https://www.econbiz.de/10010898281

EARLY WARNING SYSTEMS FOR FINANCIAL CRISES.A CRITICAL APPROACH

Percic, Stanislav; Apostoaie, Constantin-Marius; … - In: CES Working Papers 5(1) (2013), pp. 69-80

This research paper aims to analyse some Early Warning Systems (EWS) for predicting financial crises. The importance of such a study is undeniable in the context of the current and future mix of policies applied by the monetary authority, in which financial stability and price stability play an...

Persistent link: https://www.econbiz.de/10010859896

The more contagion effect on emerging markets: The evidence of DCC-GARCH model

Celık, Sibel - In: Economic Modelling 29 (2012) 5, pp. 1946-1959

The paper aims to test the existence of financial contagion between foreign exchange markets of several emerging and developed countries during the U.S. subprime crisis. As a result of DCC-GARCH analysis, we find the evidence of contagion during U.S. subprime crisis for most of the developed and...

Persistent link: https://www.econbiz.de/10011048686