We analyze the cross-border propagation of systemic risk in the international sovereign debt market. Using daily data on CDS spreads for 67 sovereign borrowers from 2002 to 2013 we define sovereign credit events as those in which the spread widens by more than 99.9% of all spread changes within...

This study considers the nonlinear relationship between the expected exchange rate change and the interest rate differential, using STR models (ESTR and LSTR), with Sharpe ratios, interest rate differentials and exchange rate volatilities as the transition variables. The results generally...

During the 2007-2009 financial crisis the foreign exchange market was characterized by large volatility and wide currency swings. In this paper we evaluate whether during the period of the Great Recession there has been a structural break in the relationship between fundamentals and exchange...

This paper merges two branches of the literature. On one hand we study a heterogeneous agents framework to model exchange rates and stock prices. On the other hand we model the relationship between these two series through a DSGE model. Investors choose one of two rules to form their...

The modern international monetary system has a number of flaws and therefore needs cardinal change. Hence, economists from all over the world are suggesting alternative international currencies that would make the international monetary system more efficient. However, it is essential when...

In this paper, we approximate the empirical findings of Papadamou and Markopoulos (2012) on the NOK/USD exchange rate under a Machine Learning (ML) framework. By applying Support Vector Regression (SVR) on a general monetary exchange rate model and a Dynamic Evolving Neuro-Fuzzy Inference System...

In contrast to the well established markets such as the dollar-euro market, recent CIP deviations observed in the onshore dollar-RMB forward market were primarily caused by conversion restrictions in the spot market rather than by changes in credit risk and/or liquidity constraint. This paper...

Sovereign debt crisis in the Euro area, which began officially in Greece, was predicted by over the years for many specialists in the field. It has spread throughout the European continent, spreading it as an epidemic and affecting, as expected, more countries with a weaker economy, even if they...

All national authorities always world economic powers battled for holding world supremacy in the markets. Main tool which focuses all their attention is the currency, whether national or regional basis. It wants such as this to be one international currency given the advantages arising from this...

L'ouvrage présente une vision globale de la finance internationale. Avec les techniques financières, le marché des changes, la gestion des risques internationaux ou les places financières internationales.