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Vries, Casper G de; Hartmann, Philipp; Straetmans, Stefan - C.E.P.R. Discussion Papers - 2004

during crises depends on the tail properties of the fundamentals’ distribution. We denote crisis linkages as either strong or … crisis levels, the probability that the other currency breaks down as well vanishes asymptotically if the fundamentals … fundamentals. …

Persistent link: https://www.econbiz.de/10005661842

The Rise of Fund Managers in Foreign Exchange

Gehrig, Thomas; Menkhoff, Lukas - C.E.P.R. Discussion Papers - 2004

questionnaire evidence. We find that fund managers and FX dealers differ significantly. Fund managers rely more on fundamentals …

Persistent link: https://www.econbiz.de/10005791422

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much Is It Worth?

Della Corte, Pasquale; Sarno, Lucio; Sestieri, Giulia - C.E.P.R. Discussion Papers - 2010

This paper examines the exchange rate predictability stemming from the equilibrium model of international financial adjustment developed by Gourinchas and Rey (2007). Using predictive variables that measure cyclical external imbalances for country pairs, we assess the ability of this model to...

Persistent link: https://www.econbiz.de/10008684687

International Liquidity and Exchange Rate Dynamics

Gabaix, Xavier; Maggiori, Matteo - C.E.P.R. Discussion Papers - 2014

exchange rates and traditional macroeconomic fundamentals, but also has real consequences for output and risk sharing. Exchange …

Persistent link: https://www.econbiz.de/10011083240

Carry

Koijen, Ralph; Moskowitz, Tobias J; Pedersen, Lasse Heje; … - C.E.P.R. Discussion Papers - 2013

Any security’s expected return can be decomposed into its “carry” and its expected price appreciation, where carry is a model-free characteristic that can be observed in advance. While carry has been studied almost exclusively for currencies, we find that carry predicts returns both in the...

Persistent link: https://www.econbiz.de/10011083673

Gambling for resurrection in Iceland: the rise and fall of the banks

Baldursson, Fridrik Mar; Portes, Richard - C.E.P.R. Discussion Papers - 2013

We examine the evolution of the Icelandic banking sector in its macroeconomic environment. The story culminates in the crisis of October 2008, when all three major banks in Iceland collapsed in three successive days. The country is still struggling to cope with the consequences. The paper...

Persistent link: https://www.econbiz.de/10011084274

Can Central Banks Go Broke?

Buiter, Willem H. - C.E.P.R. Discussion Papers - 2008

Central banks can go broke and have done so, although mainly in developing countries. The conventional balance sheet of the central bank is uninformative about the financial resources it has at its disposal and about its ability to act as an effective lender of last resort and market marker of...

Persistent link: https://www.econbiz.de/10005656271

Anchor, Float or Abandon Ship: Exchange Rate Regimes for Accession Countries

Buiter, Willem H.; Grafe, Clemens - C.E.P.R. Discussion Papers - 2002

The Paper considers alternative exchange rate regimes for the 10 East European accession candidates, both prior to EU accession and during the period following EU accession but prior to EMU membership. We conclude that from an economic point of view, EMU membership should be as early as...

Persistent link: https://www.econbiz.de/10005661669

Financial Stability, the Trilemma, and International Reserves

Obstfeld, Maurice; Shambaugh, Jay C; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2008

The rapid growth of international reserves|a development concentrated in the emerging markets|remains a puzzle. In this paper we suggest that a model based on financial stability and financial openness goes far toward explaining reserve holdings in the modern era of globalized capital markets....

Persistent link: https://www.econbiz.de/10005661901

Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

Bacchetta, Philippe; van Wincoop, Eric - C.E.P.R. Discussion Papers - 2003

Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal exchange rates. On … determination. There are two types of heterogeneity: dispersed information about fundamentals, and non-fundamentals based … the impact of non-fundamentals trade on the exchange rate, both resulting from rational confusion about the source of …

Persistent link: https://www.econbiz.de/10005662225