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Eren, Egemen; Malamud, Semyon - 2018 - This version: August 22, 2018

We propose a "debt view" to explain the dominant international role of the dollar and provide broad empirical support for it. Within a simple capital structure model in which firms optimally choose the currency composition of their debt, we derive conditions under which all firms issue debt in a...

Persistent link: https://www.econbiz.de/10011900333

The global factor structure of exchange rates

Korsaye, Sofonias Alemu; Trojani, Fabio; Vedolin, Andrea - 2020

We provide a model-free framework to study the global factor structure of exchange rates. To this end, we propose a new methodology to estimate international stochastic discount factors (SDFs) that jointly price cross-sections of international assets, such as stocks, bonds, and currencies, in...

Persistent link: https://www.econbiz.de/10012419696

The euro and international capital markets

Detken, Carsten; Hartmann, Philipp - 2000

a special emphasis on the first year of the euro. A contribution is made as to how to measure these roles, both for … identification of changes in the role of the euro during 1999 compared to the aggregate of euro predecessor currencies, net of intra … -euro area assets/liabilities, before stage 3 of EMU. A number of key factors determining the currency distribution of …

Persistent link: https://www.econbiz.de/10009767695

Archival Data of Financial Analysts’ Earnings Forecasts in the Euro Zone : Problems With Euro Conversions

Galanti, Sébastien - 2018

. This approach can be misleading for financial analysts' forecasts in the euro zone when researchers are using the IBES … database. We suspect that forecasts of earnings before the birth of the euro on January 1,1999 are kept in national currencies …

Persistent link: https://www.econbiz.de/10012925798

Credit rating agency announcements and the eurozone sovereign debt crisis

Baum, Christopher F.; Karpava, Margarita; Schäfer, Dorothea - 2013

This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of …-2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and …

Persistent link: https://www.econbiz.de/10010206145

Origins of International Factor Structures

Jiang, Zhengyang; Richmond, Robert J. - National Bureau of Economic Research - 2022

We show that exchange rate correlations tend to be explained by the global trade network while consumption correlations tend to be explained by productivity correlations. Sharing common trade linkages with other countries increases exchange rate correlations beyond bilateral linkages. We explain...

Persistent link: https://www.econbiz.de/10013361974

Origins of International Factor Structures

Jiang, Zhengyang - 2020

We develop and test a model of the global trade network. This model connects international comovements of quantities and asset prices to a simple measure of network closeness, constructed from observed trade weights. We report three findings: (1) Countries that are closer in the network tend to...

Persistent link: https://www.econbiz.de/10012848921

Fiscal Origins of International Factor Structures

Kim, Sun Yong - 2022

This paper links the US fiscal condition to the common variations in risk premia driving global risky asset prices. I find that deteriorations in the US fiscal condition i) coincide with elevated levels of global risk premia and ii) predict higher future global equity returns at short, medium...

Persistent link: https://www.econbiz.de/10013305737

Exchange rate risks and asset prices in a small open economy

Derviz, Alexis - 2004

autarchic (i.e. fundamental) FX returns. The model is calibrated and tested on the Czech koruna/euro exchange rate in a setting … with seven Czech and euro area asset returns. …

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

Should one rely on professional exchange rate forecasts : an empirical analysis of professional forecasts for the €/US-$ rate

Bofinger, Peter; Schmidt, Robert - 2003

Persistent link: https://www.econbiz.de/10001900802