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International Portfolio Flows and Exchange Rate Volatility for Emerging Markets

Caporale, Guglielmo Maria - 2015

This paper investigates the effects of equity and bond portfolio inflows on exchange rate volatility, using monthly bilateral data for the US vis-a-vis eight Asian developing and emerging countries (India, Indonesia, South Korea, Pakistan, Hong Kong, Thailand, the Philippines, and Taiwan) over...

Persistent link: https://www.econbiz.de/10013009868

Financial Globalization and Bank Lending : The Limits of Domestic Monetary Policy?

Cao, Jin - 2018

We empirically analyze how bank lending reacts to monetary policy in the presence of global financial flows. Employing a unique and novel dataset of the funding modes and currency composition of the full population of Norwegian banks in structurally identified regressions, we show that the...

Persistent link: https://www.econbiz.de/10012921278

Exchange Rate Uncertainty and International Portfolio Flows

Caporale, Guglielmo Maria - 2013

This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...

Persistent link: https://www.econbiz.de/10013081704

Monetary Policy, Vagabonding Liquidity and Bursting Bubbles in New and Emerging Markets – An Overinvestment View

Hoffmann, Andreas; Schnabl, Gunther - CESifo - 2007

Credit booms have globally fuelled hikes in stock, raw material and real estate markets which have culminated in the recent US subprime market crisis. We explain the global asset market booms since the mid 1980s based on the overinvestment theories of Hayek, Wicksell and Schumpeter. We argue...

Persistent link: https://www.econbiz.de/10005094169

Monetary Policy, Vagabonding Liquidity and Bursting Bubbles in New and Emerging Markets - An Overinvestment View

Schnabl, Gunther; Hoffmann, Andreas - 2021

Persistent link: https://www.econbiz.de/10013316825

Exchange Rates and Macro News in Emerging Markets

Caporale, Guglielmo Maria - 2016

This paper uses a VAR-GARCH(1,1) model to analyse mean and volatility spillovers between macro news (in the form of newspaper headlines) and the exchange rates vis-a-vis both the US dollar and the euro of the currencies of a group of emerging countries including the Czech Republic, Hungary,...

Persistent link: https://www.econbiz.de/10012994354

Volatility Transmission in Emerging European Foreign Exchange Markets

Bubak, Vit - 2013

This paper studies the dynamics of volatility transmission between Central European currencies and euro/dollar foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible yet parsimonious parametric model in which the daily...

Persistent link: https://www.econbiz.de/10013094673

Exchange Rate Volatility and Growth in Emerging Europe and East Asia

Schnabl, Gunther - 2021

The paper investigates the impact of exchange rate volatility on growth in Emerging Europe and East Asia. Exchange stability has been argued to affect growth negatively as it deprives countries from the ability to react in a flexible way to asymmetric real shocks and may enhance the probability...

Persistent link: https://www.econbiz.de/10013317017

How Strong is the Case for Dollarization in Costa Rica? A Note on the Business Cycle Comovements with the United States

Lindenberg, Nannette; Westermann, Frank - CESifo - 2009

We evaluate the proposal for official dollarization in Costa Rica by applying a new approach to measure the business … hypothesis that the two countries share a common business cycle. Based on this evidence, we conclude that official dollarization …

Persistent link: https://www.econbiz.de/10008583698

Dollarization of Deposits in the Short and Long Run : Evidence from CESE Countries

Urosevic, Branko - 2016

In this paper, we study the drivers of permanent and transitory deposit dollarization for a sample of CESE countries … permanent dollarization and Minimum Variance Portfolio (MVP) share. This provides an additional empirical validation of the MVP … method as the standard tool for analyzing financial dollarization. In the long run, agents make savings decisions based on …

Persistent link: https://www.econbiz.de/10012997089