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Persistent link: https://www.econbiz.de/10011695859
We calculate the return on the major Asian currency denominated long-term government bonds in terms of a basket of the … People's Republic of China's (PRC) imports of goods and services, namely the real return on those assets from the PRC … than that of Japan, India, the Republic of Korea, Singapore, or Thailand's government bonds, and a little higher than that …
Persistent link: https://www.econbiz.de/10009267685
The author calculates the return on the major Asian currency denominated long-term government bonds in terms of a … basket of the People's Republic of China's (PRC) imports of goods and services, namely the real return on those assets from … the PRC's perspective. He shows that it is desirable for the PRC to substitute Asian currency denominated government bonds …
Persistent link: https://www.econbiz.de/10013121023
Although growth deceleration in the People's Republic of China (PRC) is inevitable, if the country's new direction of … country but also for the rest of Asia. This is consistent with the increased degree of Asia's integration and interdependence … stability and enhance market liquidity. If coordinated well, such cooperation can also strengthen Asia's collective voice to …
Persistent link: https://www.econbiz.de/10009781297
dynamics has changed at least once. -- Markov switching GARCH models ; Asian currency crisis 1997 ; volatility breaks …
Persistent link: https://www.econbiz.de/10009733810
policy agenda, but in a very different context. The countries of East Asia are now getting more inflows than they can … disequilibrium: foreign capital will be attracted by the higher returns and the prospect of currency appreciation. In this …
Persistent link: https://www.econbiz.de/10003645223
Traditional Monte Carlo simulation using linear correlations induces estimation bias in measuring portfolio value-at-risk (VaR) due to the well-documented existence of fat-tail, skewness, truncations, and non-linear relations of return distributions. In this paper, we evaluate the effectiveness...
Persistent link: https://www.econbiz.de/10013129076
as flows are moved out of Asia/Australasia and into US dollars. This is true both across regimes and if their own flow is …
Persistent link: https://www.econbiz.de/10013082832
Trading in non-deliverable forwards on Asian currencies has grown in recent years. The offshore interest rates implied by these contracts differ significantly from onshore interest rates and suggest upward pressure on most Asian currencies
Persistent link: https://www.econbiz.de/10013092051
In this paper we investigate whether cross-sectional information from local equity markets contained information on devaluation expectations during the Asian crisis. We concentrate on the information content of equity prices as these markets were in general the largest and most liquid at the...
Persistent link: https://www.econbiz.de/10013156570