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Safe Haven Currencies : A Portfolio Perspective
Cenedese, Gino - 2015
Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency portfolios provide different hedging benefits than in bull markets. I show how these time-varying hedging benefits depend on currency characteristics. This paper also illustrates...
Persistent link: https://www.econbiz.de/10013022633
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Safe haven currencies : a portfolio perspective
Cenedese, Gino - 2015
Persistent link: https://www.econbiz.de/10011327165
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The currency composition of international reserves, demand for international reserves, and global safe assets
Aizenman, Joshua; Cheung, Yin-Wong; Qian, Xingwang - 2019
Persistent link: https://www.econbiz.de/10012053193
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The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets
Aizenman, Joshua - 2019
zone, UK, and Japan, and issue more debt denominated in the big four currencies (US dollar, euro, pound, yen) hoard more IR … Financial Crisis (GFC). Applying the annual data of 58 countries, we confirm that countries that trade more with the US, euro … economic factors. We also find that TARGET2 balances matter for the currency composition in the euro zone; commodity …
Persistent link: https://www.econbiz.de/10012868738
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The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets
Aizenman, Joshua - 2019
zone, UK, and Japan, and issue more debt denominated in the big four currencies (US dollar, euro, pound, yen) hoard more IR … Financial Crisis (GFC). Applying the annual data of 58 countries, we confirm that countries that trade more with the US, euro … economic factors. We also find that TARGET2 balances matter for the currency composition in the euro zone; commodity …
Persistent link: https://www.econbiz.de/10012479884
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The currency composition of international reserves, demand for international reserves, and global safe assets
Aizenman, Joshua; Cheung, Yin-Wong; Qian, Xingwang - In: Journal of international money and finance 102 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012392312
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Safe Haven Currencies : A Portfolio Perspective
Cenedese, Gino - 2015
Currency portfolios exhibit asymmetric correlations: during periods of bear, volatile world equity markets, currency portfolios provide different hedging benefits than in bull markets. I show how these time-varying hedging benefits depend on currency characteristics. This paper also illustrates...
Persistent link: https://www.econbiz.de/10013019222
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Too Cold, Too Hot, or Just Right? Assessing Financial Sector Development Across the Globe
Barajas, Adolfo; Beck, Thorsten; Dabla-Norris, Era; … - International Monetary Fund (IMF) - 2013
This paper introduces the concept of the financial possibility frontier as a constrained optimum level of financial development to gauge the relative performance of financial systems across the globe. This frontier takes into account structural country characteristics, institutional, and...
Persistent link: https://www.econbiz.de/10010790428
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Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
González-Hermosillo, Brenda; Martin, Vance; Dungey, Mardi - International Monetary Fund (IMF) - 2003
The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to...
Persistent link: https://www.econbiz.de/10005768985
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Investors’ Risk Appetite and Global Financial Market Conditions
González-Hermosillo, Brenda - International Monetary Fund (IMF) - 2008
A structural vector autoregression model is developed to analyze the dynamics of bond spreads among a sample of mature and developing countries during periods of financial stress in the last decade. The model identifies and quantifies the contribution on bond spreads from global market...
Persistent link: https://www.econbiz.de/10005769174