Showing 11 - 20 of 1,352
What are the driving forces of housing market volatilities across countries within the context of financial globalization? To address this broad question, we integrate the Campbell-Shiller decomposition with a dynamic factor model and apply this approach to the housing price-rent ratios in 17...
Persistent link: https://www.econbiz.de/10012966895
Global banks use their global balance sheets to respond to local monetary policy. However, sources and uses of funds are often denominated in different currencies. This leads to a foreign exchange (FX) exposure that banks need to hedge. If cross‐currency flows are large, the hedging cost...
Persistent link: https://www.econbiz.de/10012951663
Original sin is widely considered inevitable for emerging market economies on the ground that their currencies are not accepted as international currencies. Few, however, explore the effects of currency controls on original sin. To examine this possibility, I consider an open economy with a...
Persistent link: https://www.econbiz.de/10012898664
This study deals with the question whether the central banks of Sweden, Denmark and the UK can really influence short-term money markets and thus, would lose this influence in case of Euro adoption. We use a GARCH-M-GED model with daily money market rates. The model reveals the co-movement...
Persistent link: https://www.econbiz.de/10009162063
Sudden capital outflows were at the heart of the 1997-98 Asian crisis. Ten years later, capital flows are back on the policy agenda, but in a very different context. The countries of East Asia are now getting more inflows than they can effectively absorb and the upward pressure on exchange rates...
Persistent link: https://www.econbiz.de/10003645223
Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the...
Persistent link: https://www.econbiz.de/10011975553
We analyze the impact of Eurozone/Germany and U.S. macroeconomic news announcements and the communication of the monetary policy settings of the ECB and the Fed on the forex markets of new EU members. We employ an event study methodology to analyze intra-day data from 2011-2015. Our...
Persistent link: https://www.econbiz.de/10011902959
Global banks use their global balance sheets to respond to local monetary policy. However, sources and uses of funds are often denominated in different currencies. This leads to a foreign exchange (FX) exposure that banks need to hedge. If cross-currency flows are large, the hedging cost...
Persistent link: https://www.econbiz.de/10011687276
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this...
Persistent link: https://www.econbiz.de/10011661122
On 23rd February 2017, SUERF and EY organized a conference on "Brexit and the Implications for Financial Services" at EY's offices, Churchill Place, Canary Wharf, London. While the outcome of the Brexit negotiations remains highly uncertain, the conference discussed the burning questions for...
Persistent link: https://www.econbiz.de/10011712197