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Attention to the Tail(s) : Global Financial Conditions and Exchange Rate Risks
Sokol, Andrej - 2020
We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging...
Persistent link: https://www.econbiz.de/10012837758
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Carry Trades and Monetary Conditions
Falconio, Andrea - 2021
This paper investigates the relation between monetary conditions and the excess returns arising from an investment strategy that consists of borrowing low-interest rate currencies and investing in currencies with high interest rates, so-called "carry trade". The results indicate that carry trade...
Persistent link: https://www.econbiz.de/10013315488
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Global Risk and the Dollar
Georgiadis, Georgios; Müller, Gernot J.; Schumann, Ben - 2021
How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the international adjustment mechanism. First, we rely on high-frequency surprises in the price of gold to identify the effects of global risk shocks in a Bayesian Proxy VAR model. They...
Persistent link: https://www.econbiz.de/10013310676
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Carry Trades and Monetary Conditions
Falconio, Andrea - 2021
This paper investigates the relation between monetary conditions and the excess returns arising from currency carry trades. The results indicate that carry trade average return, Sharpe ratio and downside risk differ substantially across monetary conditions before the onset of the financial...
Persistent link: https://www.econbiz.de/10013310704
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Foreign-Currency Bonds : Currency Choice and the Role of Uncovered and Covered Interest Parity
Habib, Maurizio Michael; Joy, Mark - 2021
Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...
Persistent link: https://www.econbiz.de/10013316472
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Bank Lines of Credit as Contingent Liquidity : A Study of Covenant Violations and Their Implications
Acharya, Viral V. - 2014
We study how the consequences of violations of covenants associated with bank lines of credit to firms vary with the … financial health of lenders. Following a violation banks restrict usage of lines of credit by raising spreads, shortening … during the recent crisis. Banks in worse financial health are more likely to restrict access to credit lines following a …
Persistent link: https://www.econbiz.de/10013051172
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Supply or Demand : What Drives Fluctuations in the Bank Loan Market?
Altavilla, Carlo; Boucinha, Miguel; Bouscasse, Paul - 2022
of sticky bank-firm relationships, estimate its structural parameters in euro area credit register data, and infer …
Persistent link: https://www.econbiz.de/10013300219
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Bank Credit and Market-Based Finance for Corporations : The Effects of Minibond Issuances
Ongena, Steven; Pinoli, Sara; Rossi, Paola; Scopelliti, … - 2021
-based funding opportunity for unlisted firms. Using the Italian Credit Register, we investigate the impact of minibond issuance on … bank credit conditions for issuer firms, both at the firm-bank and firm level. We compare new loans granted to issuer firms … addition, issuer firms reduce the amount of used bank credit but increase the overall amount of available external funds …
Persistent link: https://www.econbiz.de/10013314794
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Foreign-currency bonds: currency choice and the role of uncovered and covered interest parity
Habib, Maurizio Michael; Joy, Mark - 2008
Using count-data techniques, this paper studies the determinants of currency choice in the issuance of foreign-currency-denominated bonds. In particular, we investigate whether bond issuers choose their issuance currency in order to exploit the borrowing-cost savings associated with deviations...
Persistent link: https://www.econbiz.de/10011604993
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Cross-Border Currency Exposures : New Evidence Based on an Enhanced and Updated Dataset
Bénétrix, Agustín S. - 2020
This paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017. It improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods....
Persistent link: https://www.econbiz.de/10012832883