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A model of external crises is developed focusing on the interaction between liquidity creation by financial intermediaries and foreign exchange collapses. The intermediaries' role of transforming maturities is shown to result in larger movements of capital and a higher probability of crises....
Persistent link: https://www.econbiz.de/10005538702
Using secondary market debt prices and country credit ratings this paper provides evidence of contagion in emerging markets. It shows that fundamentals are unable to explain the cross-country comovement of creditworthiness in Latin American countries. It also shows that contagion cannot be...
Persistent link: https://www.econbiz.de/10005538718
International capital market integration together with increasing international volatility, requires an accurate evaluation of the potential losses that portfolio managers may face as a result of international turbulence. Assets with high liquidity standards can be evaluated by the traditional...
Persistent link: https://www.econbiz.de/10005538725
It is well known that a pay-as-you-go (PAYG) pension system lowers saving, income, and welfare of future cohorts in a one-sector economy because it entails a transfer to the first cohorts of PAYG pensioners. Is the opposite result possible in a two-sector (formal-informal production) economy?...
Persistent link: https://www.econbiz.de/10005538736
Traditional cash-in-advance models are characterized by having a constant velocity of money. Based on the Lucas and Stokey (1987) model, this paper studies the behavior of velocity and money demand for the U.S., simulating an economy which includes stochastic monetary growth (monetary policy),...
Persistent link: https://www.econbiz.de/10005538750
This paper introduces adaptive learning and endogenous indexation in the New-Keynesian Phillips curve and studies disinflation under inflation targeting policies. The analysis is motivated by the disinflation performance of many inflation-targeting countries, in particular the gradual Chilean...
Persistent link: https://www.econbiz.de/10005538753