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Interdependence of NAFTA Capital Markets: A Minimum Variance Portfolio Approach

López-Herrera, Francisco; Roberto J.; Ortiz, Edgar - In: Panoeconomicus 61 (2014) 6, pp. 691-707

We estimate the long-run relationships among NAFTA capital market returns and then calculate the weights of a â€œtime-varying minimum variance portfolioâ€ that includes the Canadian, Mexican, and USA capital markets between March 2007 and March 2009, a period of intense turbulence in...

Persistent link: https://www.econbiz.de/10011134487

A Multifractal Model of Asset Returns in the Context of the New Economy Paradigm

DEZSI, Diana; SCARLAT, Emil - In: Timisoara Journal of Economics 5 (2012) 17, pp. 23-32

The hereto article indicates how multifractals related ideas can contribute to the modelling of the long-memory nature of the financial market volatility. The multifractal models appear in the context of the new paradigm of the financial markets, being related to Benoit Mandelbrot’s fractal...

Persistent link: https://www.econbiz.de/10010565817

From Sovereigns to Banks: Evidence on Cross-border Contagion (2006-2011)

Kalbaska, Alesia - Dipartimento di Economia Politica e Statistics, … - 2013

20 banking systems (Australia, Austria, Belgium, Canada, Finland, France, Germany, Greece, India, Ireland, Italy, Japan …, Ireland, Italy, Greece and Spain) - with a lot of anxiety. However, unexpectedly, the analysis of the data shows that a single …

Persistent link: https://www.econbiz.de/10010690363

General equilibrium pricing of currency and currency options

Du, Du - In: Journal of Financial Economics 110 (2013) 3, pp. 730-751

This paper presents a consumption-based general equilibrium model for valuing foreign exchange contingent claims. The model identifies a novel economic mechanism by exploiting highly but imperfectly shared consumption disaster with variable intensities which are the concerns to the...

Persistent link: https://www.econbiz.de/10010709038

FINANCIAL CONTAGION RELOADED: THE CASE OF CYPRUS

Oehler-Sincai, Iulia Monica - In: Global Economic Observer 1 (2013) 1, pp. 66-74

, spillovers originating in the Euro Area as a whole (through the debt crisis) and Greece in particular. In spite of the fiscal … reform of 2002 and the new fiscal system in force since the 1st of January 2003, Cyprus continued to be a "tax haven". Its … high investment attractiveness spurred the "Cyp-Rus" relations, boosted an outsized banking sector (representing 800% of …

Persistent link: https://www.econbiz.de/10010721102

On the Sources of Uncertainty in Exchange Rate Predictability

Byrne, Joseph P; Korobilis, Dimitris; Ribeiro, Pinho J - Volkswirtschaftliche Fakultät, … - 2014

We analyse the role of time-variation in coefficients and other sources of uncertainty in exchange rate forecasting regressions. Our techniques incorporate the notion that the relevant set of predictors and their corresponding weights, change over time. We find that predictive models which allow...

Persistent link: https://www.econbiz.de/10011107371

The influence of industry financial composition on export flow: A case study of a developing financial market

Nakhoda, Aadil - Volkswirtschaftliche Fakultät, … - 2012

Using a dataset on bilateral trade flow at the industry-level from 1980 to 2006, I determine the influence of the industry financial composition on the export flow between a developing country, Pakistan, and its trading partners. Firms undertaking exporting activities may need to fund their...

Persistent link: https://www.econbiz.de/10011110387

Global Currency Misalignments, Crash Sensitivity, and Downside Insurance Costs

Huang, Huichou; MacDonald, Ronald; Zhao, Yang - Volkswirtschaftliche Fakultät, … - 2012

We show that the profitability of currency carry trades can be understood as the compensation for exchange rate misalignment risk based on the rare disastrous model of exchange rates (Farhi and Gabaix, 2008). It explains over 97% of the cross-sectional excess returns and dominates other...

Persistent link: https://www.econbiz.de/10011112267

Banking and Currency Crises: Differential Diagnostics for Developed Countries

Joy, Mark; Rusnak, Marek; Smidkova, Katerina; Vasicek, Borek - Česká Národní Banka - 2014

We identify a set of "rules of thumb" that characterise economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970â€“2010. We use the Classification and Regression Tree methodology (CART) and its Random Forest (RF)...

Persistent link: https://www.econbiz.de/10011210755

Global financial crisis and contagion: evidence for the Ebrici economies

Krishna Reddy Chittedi* - In: Journal of Developing Areas 48 (2014) 4, pp. 243-264

The present study examined the effects of contagion from the developed markets (The US, the UK, and Japan) to the BRIC stock markets during the period of Jan 1996 to July 2011 using daily data. It applied Dynamic Condition Correlations (DCC) model and Asymmetric Generalized Dynamic Conditional...

Persistent link: https://www.econbiz.de/10011213155