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Volatility Spillovers from the US to Australia and China across the GFC
Allen, David E.; McAleer, Michael; Powell, R.J.; Singh, A.K. - 2013
This paper features an analysis of volatility spillover effects from the US market, represented by the S&P500 index to the Australian capital market as represented by the Australian S&P200 for a period running from 12th September 2002 to 9th September 2012. This captures the impact of the Global...
Persistent link: https://www.econbiz.de/10010326245
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Optimal currency shares in international reserves: the impact of the euro and the prospects for the dollar
Papaioannou, Elias; Portes, Richard; Siourounis, Gregorios - 2006
Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater liquidity in other major currencies, and the rising current account deficits and external debt of the United States have increased the pressure on central banks to diversify away...
Persistent link: https://www.econbiz.de/10011604740
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The transmission of emerging market shocks to global equity markets
Cuadro Sáez, Lucía; Fratzscher, Marcel; Thimann, Christian - 2007
The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs,...
Persistent link: https://www.econbiz.de/10011604770
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Do China and oil exporters influence major currency configurations?
Fratzscher, Marcel; Mehl, Arnaud - 2008
This paper analyses the impact of the shift away from a US dollar focus of systemically important emerging market economies (EMEs) on configurations between the US dollar, the euro and the yen. Given the difficulty that fixed or managed US dollar exchange rate regimes remain pervasive and...
Persistent link: https://www.econbiz.de/10011605019
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Capital flight: China's experience
Cheung, Yin-Wong; Qian, Xingwang - 2010
We study the empirical determinants of China's capital flight. In addition to the covered interest differential, our empirical exercise includes a rather exhaustive list of macroeconomic variables and a few institutional factors. Overall, our regression exercise shows that China's capital flight...
Persistent link: https://www.econbiz.de/10010271971
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Interbank exposures: an empirical examination of systemic risk in the Belgian banking system
Degryse, Hans; Nguyen, Grégory - 2004
interbank market is a potential important driving factor in the risk and impact of interbank contagion. We investigate the … evolution of contagion risk for the Belgian banking system over the period 1993-2002 using detailed information on aggregate … decreased the risk and impact of contagion. Moreover, an increase in the proportion of cross-border interbank assets has lowered …
Persistent link: https://www.econbiz.de/10011506565
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Identification through heteroscedasticity in a multicountry and multimarket framework: The effects of European Central Banks on European financial markets
Hayo, Bernd; Niehof, Britta - 2011
This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....
Persistent link: https://www.econbiz.de/10010286345
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Origins and Resolution of Financial Crises; Lessons from the Current and Northern European Crises
Ostrup, Finn; Oxelheim, Lars; Wihlborg, Clas - 2009
financial sector and factors that explain why these strains lead to system-wide contagion and a possible credit crunch. Most of … that a financial crisis with its contagion within the system is caused by failures of legal, regulatory and political … crises would be reduced if appropriate institutions could be put in place Lacking appropriate institutions to avoid contagion …
Persistent link: https://www.econbiz.de/10010320249
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Drivers of exchange rate dynamics in selected CIS countries: evidence from a FAVAR analysis
Dreger, Christian; Fidrmuc, Jarko - 2009
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....
Persistent link: https://www.econbiz.de/10010291774
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Drivers of exchange rate dynamics in selected CIS countries: Evidence from a FAVAR analysis
Dreger, Christian; Fidrmuc, Jarko - 2010
We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the last dec-ade (1999-2010). Evidence is based on country VARs augmented by a regional com-mon factor structure (FAVAR model). The models...
Persistent link: https://www.econbiz.de/10010291791