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Bonds or loans? : The effect of macroeconomic fundamentals
Hale, Galina - In: The economic journal : the journal of the Royal … 117 (2007), pp. 196-215
Persistent link: https://www.econbiz.de/10003412080
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Carry Funding and Safe Haven Currencies : A Threshold Regression Approach
Hossfeld, Oliver - 2015
the estimation results, two currencies, the Swiss franc and (to a lesser extent) the US dollar qualify as safe haven … currencies, and the euro serves as a hedge currency. Results for the yen support its role as a carry funding vehicle, but not … analysis of bilateral euro-based exchange rates, given the euro's prominent role during the euro area sovereign debt crisis …
Persistent link: https://www.econbiz.de/10013030487
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Private sector risk and financial crisis in emerging markets
Daniel, Betty Carolyn - In: The economic journal : the journal of the Royal … 122 (2012) 561, pp. 825-847
Persistent link: https://www.econbiz.de/10009669612
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Sovereign risk and macroeconomic fluctuations in an emerging market economy
Kirchner, Markus; Rieth, Malte - 2010
This paper assesses the role of sovereign risk in explaining macroeconomic fluctuations in Turkey. We estimate two versions of a simple New Keynesian small open economy model on quarterly data for the period 1994Q3-2008Q2: A basic version and a version augmented by a default premium on...
Persistent link: https://www.econbiz.de/10011382024
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Time-Varying Exchange Rate Basket in China from 2005 to 2009
Fidrmuc, Jarko - 2013
We use the Kalman filter to estimate the structure of the secret currency basket of the renminbi based on daily data between 2005 and 2009. The currency weights of selected currencies are modeled as stochastic processes (random walks). The official announcement of the new exchange rate regime in...
Persistent link: https://www.econbiz.de/10013094429
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Long-term government debt, financial fragility and sovereign default risk
Kwaak, Christiaan van der; Wijnbergen, Sweder van - 2013
Persistent link: https://www.econbiz.de/10010191409
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Financial fragility, sovereign default risk and the limits to commercial bank bail-outs
Wijnbergen, Sweder van; Kwaak, Christiaan van der - 2013
We analyse the poisonous interaction between bank rescues, financial fragility and sovereign debt discounts. In our model balance sheet constrained financial intermediaries finance both capital expenditure of intermediate goods producers and government deficits. The financial intermediaries face...
Persistent link: https://www.econbiz.de/10010224776
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Financial fragility and the fiscal multiplier
Wijnbergen, Sweder van; Kwaak, Christiaan van der - 2014
We investigate the effectiveness of "Keynesian" fiscal stimuli when government deficits and debt rollovers are (possibly partially) financed by balance sheet constrained financial intermediaries. Because financial intermediaries operate under a leverage constraint, deficit financing of fiscal...
Persistent link: https://www.econbiz.de/10010226967
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Testing for stock market contagion : a quantile regression approach
Park, Sungyong; Wang, Wendun; Huang, Naijing - 2015 - This version: March 25, 2015
Regarding the asymmetric and leptokurtic behavior of financial data, we propose a new contagion test in the quantile regression framework that is robust to model misspecification. Unlike conventional correlation-based tests, the proposed quantile contagion test allows us to investigate the stock...
Persistent link: https://www.econbiz.de/10010504111
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Empirical study on LDC sovereign debt and government's credibility : 1990 - 1994
Ijgosse, Jolanda Eline - 1997
Persistent link: https://www.econbiz.de/10000966954