In the course of eurozone exit, the underlying stocks of American Depositary Receipts (ADRs) would be redenominated from euros into the new national currency. We exploit ADR investors' exposure to currency redenomination losses to derive a novel measure of eurozone exit risk. We find that while...

Many currencies, especially those of countries with negative net foreign assets, tend to depreciate during times of financial turbulence. Using a panel of 26 currencies over the period 1/1997 - 6/2016, I show that the composition of net foreign assets matter for the exchange rate sensitivity to...

We build a two-country model with imperfect financial intermediation. Banks face limits to arbitrage which lead to positive excess returns in the investment markets and a risk premium in the international credit market. Gross capital flows affect the exchange rate since banks are balance sheet...

In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause...

We examine the nexus between real foreign exchange rates and international portfolio flows using monthly data for the period 1997:1 to 2009:12 for Egypt, Morocco, Nigeria, and South Africa. We analyze the full sample period and two sub-periods, distinguished by the relative volume and volatility...

En este arti?culo se investiga el impacto de los controles a la entrada de capitales en la volatilidad de la tasa de cambio y si estos ayudaron a aislar al pai?s de los choques externos. Se examina la experiencia colombiana en el periodo mayo 2007 a junio 2008, cuando el Banco Central utilizo?...

We extend the model by DeGrauwe and Grimaldi (2006, EER) by currency transaction taxes. This model explains the exchange rate behavior by the interaction of heterogeneous traders who display either trend chasing behavior or rely on a return of the exchange rate back to its arbitrage free...

We study how investor behaviour affects the transmission of ?financial crises. If investors exhibit decreasing relative risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into a second generation model of currency crises which...

En mayo de 2007 las autoridades económicas de Colombia re-introdujeron el encaje al endeudamiento externo y añadieron la misma figura para las inversiones de portafolio. Se pretendía limitar la entrada de capitales de corto plazo y de esta manera controlar la apreciación de la moneda que en...

In our analysis, we describe and compare indicators regularly used in the course of money market monitoring, identifying the positions of FX market participants where co-movement with the forint exchange rate is most commonly observed. The correlation between the exchange rate and quantity...