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Is There Any Contagion in Emerging Debt Markets?
Ismailescu, Iuliana - 2019
This paper tests for contagion in emerging debt markets following Russia and Argentina's government defaults. Using techniques that have been previously suggested for contagion tests in stock markets we find that debt and stock markets respond differently to financial crises. Volatilities and...
Persistent link: https://www.econbiz.de/10012906175
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US … the appreciation of the euro against the US dollar in recent years. Interestingly, EME policy-makers appear to have become …
Persistent link: https://www.econbiz.de/10003825947
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Do China and Oil Exporters Influence Major Currency Configurations?
Fratzscher, Marcel - 2015
economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US … have a statistically but also an economically significant impact on the euro, and to a lesser extent the yen against the US … the appreciation of the euro against the US dollar in recent years. Interestingly, EME policy-makers appear to have become …
Persistent link: https://www.econbiz.de/10012749953
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Interdependence between India Stock Market and developed economies stock markets during major stock market crashes
Kannan, R. Kumara; Jesiah, Selvam - In: Finance India : the quarterly journal of Indian … 36 (2022) 2, pp. 537-550
Persistent link: https://www.econbiz.de/10013472761
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Emerging Countries' Sovereign Risk : Balance Sheet Effects, Global Risk Aversion, and Contagion
García-Herrero, Alicia - 2011
Three important external determinants of sovereign spreads in emerging countries are reviewed: balance sheet effects, global risk aversion and contagion. While there are ways to reduce the detrimental impact of balance sheet effects, these are either hard to implement or costly. Insurance...
Persistent link: https://www.econbiz.de/10013118374
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Emerging Countries' Sovereign Risk : Balance Sheets, Contagion and Risk Aversion
García-Herrero, Alicia - 2009
Three important external determinants of sovereign spreads in emerging countries are reviewed: balance sheet effects, global risk aversion and contagion. While there are ways to reduce the detrimental impact of balance sheet effects, these are either hard to implement or costly. Insurance...
Persistent link: https://www.econbiz.de/10013156573
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On Corporate Borrowing, Credit Spreads and Economic Activity in Emerging Economies: An Empirical Investigation
Caballero, Julián; Fernández, Andrés; Park, Jongho - 2016
This paper studies the influence of external financial factors on economic activity in emerging economies (EMEs) motivated by a considerable increase in foreign financing by the corporate sector in EMEs since the early 2000s, mainly in the form of bond issuance. A quarterly external financial...
Persistent link: https://www.econbiz.de/10011535791
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On emerging economy sovereign spreads and ratings
Powell, Andrew (contributor);  … - 2008
This paper analyzes alternative models for emerging sovereign ratings. Although a small number of economic fundamentals explain ratings reasonably well, variations in those economic fundamentals are themselves explained by a small number of world factors. On the other hand, global financial...
Persistent link: https://www.econbiz.de/10003776410
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A market-based indicator of currency risk : evidence from American depositary receipts
Eichler, Stefan; Roevekamp, Ingmar - 2016
We introduce a novel currency risk measure based on American Depositary Receipts (ADRs). Using a multifactor pricing model, we exploit ADR investors’ exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 831 ADRs located in 23...
Persistent link: https://www.econbiz.de/10011435929
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A market-based indicator of currency risk : evidence from American depositary receipts
Eichler, Stefan; Rövekamp, Ingmar - 2016
We introduce a novel currency risk measure based on American Depositary Receipts (ADRs). Using a multifactor pricing model, we exploit ADR investors? exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 831 ADRs located in 23...
Persistent link: https://www.econbiz.de/10011443069