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Crash Risk in Currency Markets
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
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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
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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
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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
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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
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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
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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
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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
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EARLY WARNING SYSTEMS FOR FINANCIAL CRISES.A CRITICAL APPROACH
Percic, Stanislav; Apostoaie, Constantin-Marius; … - In: CES Working Papers 5(1) (2013), pp. 77-88
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/10010929252
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A view to the long-run dynamic relationship between crude oil and the major asset classes
Turhan, M. Ibrahim; Sensoy, Ahmet; Ozturk, Kevser; … - In: International Review of Economics & Finance 33 (2014) C, pp. 286-299
Using DCC-MIDAS model, we estimate the time-varying long-run correlations between crude oil and the major asset classes; then the structural changes in these correlations are determined with various methodologies. We reveal a strong positive (negative) secular trend toward higher correlation...
Persistent link: https://www.econbiz.de/10010930982