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What determines utility of international currencies?

Ogawa, Eiji; Muto, Makoto - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-31

euro, the Japanese yen, the British pound, and the Swiss franc) in a utility function. We call the coefficients utilities … remained in the first position in the changing international monetary system despite of the fact that the euro was created as a …

Persistent link: https://www.econbiz.de/10012611084

A novel measure of political risk and Foreign Direct Investment inflows

Jeutang, Pavel; Kesse, Kwabena - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-23

This paper proposes a novel measure of political risk that confirms some of the findings documented in the Foreign Direct Investments (FDI) literature. Particularly, we confirm the positive relationship between political stability and its components on FDI inflows, and the moderating effect of...

Persistent link: https://www.econbiz.de/10013201166

Sovereign default forecasting in the era of the COVID-19 crisis

Kristóf, Tamás - In: Journal of Risk and Financial Management 14 (2021) 10, pp. 1-24

-homogeneous Markov chain method as the basis for a COVID-19-related sovereign default risk forecast model. It demonstrates the estimation …

Persistent link: https://www.econbiz.de/10013201178

Inferences from portfolio theory and efficient market hypothesis to the impact of social media on sovereign debt: Colombia, Ecuador, and Peru

Serrano-Monge, Esteban - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-16

For three countries of similar economic characteristics, I ratify previous studies of the impact of fundamental macroeconomic and foreign exchange variables influencing country risk, as captured by the Emerging Market Bond Index (EMBI). I contribute to existing research, first by calculating a...

Persistent link: https://www.econbiz.de/10013201463

Different measures of Country Risk: An application to European countries

Bonatti, Guido; Ciacci, Andrea; Ivaldi, Enrico - In: Journal of Risk and Financial Management 14 (2021) 1, pp. 1-16

Country Risk (CR) is a relevant instrument to analyze and understand economic performances and relationships between different countries in the actual economic and political international globalized context. The present work develops indexes for the European Union countries by applying three...

Persistent link: https://www.econbiz.de/10012611577

Predicting currency crises: A novel approach combining random forests and wavelet transform

Xu, Lei; Kinkyo, Takuji; Hamori, Shigeyuki - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-11

We propose a novel approach that combines random forests and the wavelet transform to model the prediction of currency crises. Our classification model of random forests, built using both standard predictors and wavelet predictors, and obtained from the wavelet transform, achieves a demonstrably...

Persistent link: https://www.econbiz.de/10012611044

Simulation of the Grondona system of conditional currency convertibility based on primary commodities, considered as a means to resist currency crises

Collins, Patrick; Ahmed, Jameel - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-20

Currency crises are a significant feature of the present-day world economy, in which financial transactions are many times larger than monetary flows in the "real economy", so that defending a currency's exchange-rate is a major challenge for the governments of countries which may be smaller...

Persistent link: https://www.econbiz.de/10012611123

International capital flows and speculation

Hayward, Rob; Gregoriou, Andros - In: Journal of Risk and Financial Management 14 (2021) 5, pp. 1-12

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...

Persistent link: https://www.econbiz.de/10012611754

An early warning system for currency crises in emerging countries

Ferdous, Lutfa Tilat; Kamal, Khnd Md Mostafa; Ahsan, Amirul - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-25

In this study we develop an early warning system (EWS) to forecast currency crises in emerging countries in Asia and Latin America, using logit regression on monthly data from 1992 to 2011. We found that macroeconomic and institutional variables are valuable indicators for forecasting crises....

Persistent link: https://www.econbiz.de/10014332368

Do terror attacks affect the Euro? Evidence from the 21st century

Markoulis, Stelios - In: Journal of Risk and Financial Management 14 (2021) 8, pp. 1-24

had a significant effect on the price of the Euro. Its novelty is twofold: it is the first study that assesses the impact … of such events on the price of the Euro and employs a relatively large number of these events. The event …-study methodology is used to deduce whether, after a terror event, the value of the Euro declines vs. other major currencies. We found …

Persistent link: https://www.econbiz.de/10013201033