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Getting beyond carry trade : what makes a safe haven currency?
Habib, Maurizio Michael; Stracca, Livio - 2011
There is already a substantial literature documenting the fact that low yield currencies typically appreciate during times of global financial stress and behave as safe havens. The main objective of this paper is to find out what the fundamentals of safe haven currencies are. We analyse a large...
Persistent link: https://www.econbiz.de/10008901495
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The implications of global and domestic credit cycles for emerging market economies : measures of finance-adjusted output gaps
Grintzalis, Ioannis; Lodge, David; Manu, Ana-Simona - 2017
We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the...
Persistent link: https://www.econbiz.de/10011637326
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Security fungibility and the cost of capital : evidence from global bonds
Miller, Darius P. (contributor);  … - 2005
This paper examines the potential benefits of security fungibility by conducting the first comprehensive analysis of Global bonds. Unlike other debt securities, Global bonds’ fungibility allows them to be placed simultaneously in bond markets around the world; they trade, clear and settle...
Persistent link: https://www.econbiz.de/10002811369
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America First? : a US-centric view of global capital flows
McQuade, Peter; Schmitz, Martin - 2019
Both academic researchers and policymakers posit a unique role for the US in the inter-national financial system. This paper investigates the characteristics and determinants of US cross-border financial flows and examines how these contrast with those of the rest of the world. We analyse the...
Persistent link: https://www.econbiz.de/10011975553
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Managing the sovereign-bank nexus
Dell'Ariccia, Giovanni; Ferreira, Caio; Jenkinson, Nigel; … - 2018
This paper identifies the various channels that give rise to a "sovereign-bank nexus" whereby the financial health of banks and sovereigns is intertwined. We find that banks and sovereigns are linked by three interacting channels: banks hold large amounts of sovereign debt; banks are protected...
Persistent link: https://www.econbiz.de/10011901498
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What explains global exchange rate movements during the financial crisis?
Fratzscher, Marcel - 2009
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar,...
Persistent link: https://www.econbiz.de/10003867020
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Regulating the doom loop
Alogoskoufis, Spyros; Langfield, Sam - 2019
Euro area governments have committed to break the doom loop between banks and sovereigns. But policymakers disagree on …
Persistent link: https://www.econbiz.de/10012061145
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Sovereign risk and bank risk-taking
Ari, Anil - 2016
Persistent link: https://www.econbiz.de/10011618254
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Understanding sovereign rating movements in euro area countries
Brůha, Jan; Karber, Moritz; Pierluigi, Beatrice; … - 2017
This paper investigates the link between sovereign ratings and macroeconomic fundamentals for a group of euro area … countries which recorded rating downgrades amid the euro area sovereign debt crisis. We apply an elaborated econometric … estimation technique, based on a Bayesian ordered probit model, to understand how the decisions of rating agencies can be …
Persistent link: https://www.econbiz.de/10011637529
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Market perception of sovereign credit risk in the euro area during the financial crisis
Arrondel, Luc; Roger, Muriel; Savignac, Frédérique - 2014
Persistent link: https://www.econbiz.de/10010441239