This paper examines the changes induced by the actual financial crisis in the dynamic relation between the currency rates and the differentials of the interest rates from Romania and euro area. In the framework of the Uncovered Interest Rate Parity hypothesis we apply the Vector Autoregressive...

We propose a simple method for measuring systemic sovereign credit risk in the Eurozone by linking sovereign defaults to currency shocks. The framework rests on the assumption that systemic sovereign credit risk is high when sovereign defaults induce large shocks to the Euro currency market. We...

On global scale, central banks' holdings of foreign reserves have escalated sharply in recent years. World international reserves holdings have risen significantly from US$1.2 trillion in 1995 to nearly US$10.0 trillion in June 2011. Dominant among these reserves are concentrated in the hands of...