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Stock Markets and Real Exchange Rate; An Intertemporal Approach

Mercereau, Benoît - International Monetary Fund (IMF) - 2003

The paper presents an N-country model with stock markets, in which a closed-form solution for the real exchange rate is derived. Risky asset prices and allocation of risky assets among countries are determined endogenously. Such a framework allows an analysis of how fundamental parameters, such...

Persistent link: https://www.econbiz.de/10005768854

Currency Risk Premia in Global Stock Markets.

Roache, Shaun K - 2006

Intro -- Contents -- I. INTRODUCTION -- II. PREVIOUS LITERATURE -- III. MODEL SPECIFICATION -- IV. ESTIMATION -- V. DATA AND PRELIMINARY STATISTICS -- VI. MAIN RESULTS -- VII. CONCLUSIONS -- REFERENCES.

Persistent link: https://www.econbiz.de/10012691179

IMF's Reserves Template and Nominal Exchange Rate Volatility.

Cady, John - 2006

Persistent link: https://www.econbiz.de/10012690966

Sovereign ESG Bond Issuance: A Guidance Note for Sovereign Debt Managers

Lindner, Peter - 2023

This paper aims to provide guidance to issuers of sovereign ESG bonds, with a focus on Emerging Market and Developing Economies (EMDEs). An overview of the ESG financing options available to sovereign issuers is followed by an analysis of the operational requirements and costs that the issuance...

Persistent link: https://www.econbiz.de/10015059620

Sovereign Cocos

Hatchondo, Juan Carlos - 2022

We study a model of equilibrium sovereign default in which the government issues cocos (contingent convertible bonds) that stipulate a suspension of debt payments when the government faces liquidity shocks in the form of an increase of the bondholders' risk aversion. We find that in spite of...

Persistent link: https://www.econbiz.de/10015060459

Sovereign Debt Repatriation During Crises

Arslanalp, Serkan - 2022

We use a new, comprehensive data set on the sovereign debt investor base to document three novel empirical facts: (i) sovereign debt is repatriated - that is, shifted from external private to domestic investors - prior to sovereign defaults; (ii) not all crises are equal: evidence for...

Persistent link: https://www.econbiz.de/10015060461

Determinants of the Foreign Exchange Risk Premium in Gulf Cooperation Council Countries

Poghosyan, Tigran - International Monetary Fund (IMF) - 2010

This paper analyzes macroeconomic determinants of the foreign exchange risk premium in two Gulf Cooperation Council (GCC) countries that peg their currencies to the U.S. dollar: Saudi Arabia and the United Arab Emirates. The analysis is based on the stochastic discount factor methodology, which...

Persistent link: https://www.econbiz.de/10008727809

Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand

Gyntelberg, Jacob; Tientip, Subhanij; Loretan, Mico - International Monetary Fund (IMF) - 2012

We present empirical evidence that the Thai bahtâ€™s value is driven in part by investorsâ€™ cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market transactions undertaken by nonresident investors in Thailand in 2005...

Persistent link: https://www.econbiz.de/10011142113

Price Volatility and Financial Instability

Leon, H. L.; Worrell, DeLisle - International Monetary Fund (IMF) - 2001

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

Persistent link: https://www.econbiz.de/10005769324

Exchange Rates and Capital Flows

Brooks, Robin; Sløk, Torsten; Kumar, Manmohan S.; … - International Monetary Fund (IMF) - 2001

This paper explores the ability of portfolio and foreign direct investment flows to track movements in the euro and the yen against the dollar. Net portfolio flows from the euro area into U.S. stocks—possibly reflecting differences in expected productivity growth—track movements in the euro...

Persistent link: https://www.econbiz.de/10005605014