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volatility. The paper provides anoverview of the recent developments in the conventional debt market. It builds an empiricaltwo … that nonresident flows are behind the observedexchange rate volatility. The results suggest that the public debt market in …
Persistent link: https://www.econbiz.de/10012892918
We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms' accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient...
Persistent link: https://www.econbiz.de/10012843303
(RBA) have had on the level and volatility of the Australian dollar exchange rate. First, using an event study we evaluate … Australian dollar. Second, we investigate the effects of RBA intervention policies on exchange rate volatility over the floating … volatility, which suggests that official intervention may have added to market uncertainty. Overall, the effects of RBA …
Persistent link: https://www.econbiz.de/10013211943
This paper investigates possible drivers of volatility in the South African rand since the onset of the global … financial crisis. We assess the role played by local and international economic surprises, commodity price volatility, global … market risk perceptions, and local political uncertainty. As a measure of rand volatility, the study uses a market …
Persistent link: https://www.econbiz.de/10012977761
,foreign holdings are greatly associated with increased yield volatility. A case study usingPoland data elaborates on the cross country …
Persistent link: https://www.econbiz.de/10013057732
, institutional, political and social underpinnings to uncover the “missing” determinants of exchange rate volatility over time and … volatility, especially in emerging market economies. After controlling for standard macroeconomic factors, we find that the “soft … exchange rate volatility across countries …
Persistent link: https://www.econbiz.de/10013024431
This paper provides an overview of sovereign debt portfolio risks and discusses various liability management operations (LMOs) and instruments used by public debt managers to mitigate these risks. Debt management strategies analyzed in the context of helping reach debt portfolio targets and...
Persistent link: https://www.econbiz.de/10012918566
We examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign's default risk affects financial intermediaries through two channels in this model. First, banks' funding costs might increase, inducing higher interest rates on...
Persistent link: https://www.econbiz.de/10012889148
This paper quantifies financial spillovers from global risk factors to banks' funding costs in Chile. It decomposes Chilean banks' bond and interbank spreads into domestic and external factors. The results suggest moderate spillovers. On average, global spillovers pushed up bank bond and...
Persistent link: https://www.econbiz.de/10013098274
Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the...
Persistent link: https://www.econbiz.de/10013098567