Purpose The goal of this work is to determine whether Bitcoin behaves as a safe-haven asset. In order to do so, the influence of Economic Policy Uncertainty (EPU) on Bitcoin returns and volatility was studied. Design/methodology/approach It is evaluated whether, when compared with the evolution...

This paper develops an analytical framework to explain how a liquidity shock or a shock to the aggregate haircut on collateralized assets amplifies financial crisis in a carry trade recipient country. The model allows roles for shocks to the size of a haircut, strategic behaviour across currency...

We examine the liquidity effects of the euro area sovereign debt crisis, including its effects on euro area banks as a group, on intra-euro area financial flows, on the supply of and demand for collateral, and on international liquidity. The lending capacity of the euro area banking system has...

The main objective of this paper is to investigate the diversification role of currency momentum for carry trade crashes during the turbulent periods surrounding the 1997-1998 Asian financial crisis and the 2007-2008 global financial crisis. The motivation is to use an important tendency of...