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We study empirically the relation between currency excess returns and macro uncertainty, measured as forecast dispersion, on a wide set of economic indicators. We find that investment currencies deliver low returns whereas funding currencies offer a hedge when current account uncertainty is...
Persistent link: https://www.econbiz.de/10012902226
This working paper is written by Pasquale Della Corte (Imperial College London) and Aleksejs Krecetovs (Imperial College London).We empirically study the relationship between currency excess returns and current account uncertainty, measured as forecast dispersion. We find that investment...
Persistent link: https://www.econbiz.de/10014255022
In this paper, I examine the heterogeneous exposure of USD-denomination bonds (dollar bonds) to exchange rate risks. An appreciation of the US dollar increases the credit spread differential, referred to as the Foreign Discount, between dollar bonds issued by non-US and US firms. I provide both...
Persistent link: https://www.econbiz.de/10014257383
This paper presents an extension of the Capital Assets Pricing Model (hereafter CAPM) where various utility functions are applied. Specifically, we propose an overall CAPM beta that accounts for the higher order moments and reflects the investor preferences and attitudes toward risk. We...
Persistent link: https://www.econbiz.de/10011882295
This paper evaluates the challenges facing developing countries when there is uncertainty about the policy maker type. We consider a country characterized by volatile output, inelastic demand for fiscal outlays, high tax collection costs, and sovereign risk, where future output depends on the...
Persistent link: https://www.econbiz.de/10010285346
. -- Credibility ; international reserves ; external debt …
Persistent link: https://www.econbiz.de/10003855396
This paper evaluates the challenges facing developing countries when there is uncertainty about the policy maker type. We consider a country characterized by volatile output, inelastic demand for fiscal outlays, high tax collection costs, and sovereign risk, where future output depends on the...
Persistent link: https://www.econbiz.de/10014213908
The recent collapse of the Argentine currency board raises new questions about the desirability of formal fixed exchange rate regimes in modern developing economies. This paper examines the impact of dollarized liabilities with potential default for a currency board with costly abandonment. We...
Persistent link: https://www.econbiz.de/10014071548
Many studies show relationships between sovereign debt discounts and various structural, financial and other economic and qualitative phenomena. Although many of them explicitly mention the importance of the willingness to pay, they typically exclude it from the testing because the variable...
Persistent link: https://www.econbiz.de/10014135622
resources internationally based, inter alia, on the perceived policy credibility of the national authorities and their policies …. The PTI shows that when a country has low credibility and is heavily indebted, investors hold its economy to a tighter … higher inflation, with limited or no impact on output. On the other hand, high credibility creates space for effective and …
Persistent link: https://www.econbiz.de/10012012446