Showing 1 - 10 of 524
The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity …
Persistent link: https://www.econbiz.de/10008692308
The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The … resilient to adverse shocks in 2010-11. Moreover, a flight-to-safety phenomenon across asset classes has become particularly …
Persistent link: https://www.econbiz.de/10011083738
unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and …
Persistent link: https://www.econbiz.de/10009148883
finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …
Persistent link: https://www.econbiz.de/10009207523
The main goal of this article is to provide an answer to the question: "Does anything forecast exchange rates, and if so, which variables?". It is well known that exchange rate fluctuations are very difficult to predict using economic models, and that a random walk forecasts exchange rates...
Persistent link: https://www.econbiz.de/10011084576
Even after one of the most severe multi-year crises on record in the advanced economies, the received wisdom in policy circles clings to the notion that high-income countries are completely different from their emerging market counterparts. The current phase of the official policy approach is...
Persistent link: https://www.econbiz.de/10011084399
Financial globalization has seen the emergence of a new monetary standard based on inflation targeting. At the same time the most financially advanced economies moved away from exchange rate targeting which also characterized the previous era of globalization - the era of the Classical Gold...
Persistent link: https://www.econbiz.de/10005124404
risk by borrowers and lenders. The model can also be used to analyse systemic risk due to macroeconomic shocks which may be … assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit …
Persistent link: https://www.econbiz.de/10009293986
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we … propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples … risk premia account for about 25% of expected carry trade excess returns in advanced countries. …
Persistent link: https://www.econbiz.de/10005016245
Using firm-level data, we provide evidence that, although monetary policy affects real investment, the effect operates differentially: the greater its export intensity the less a firm is affected by tight money. We examine several interpretations and conclude that the impact is transmitted...
Persistent link: https://www.econbiz.de/10005504673