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What do sovereign spreads say about expected defaults and devaluations? : an application to the European sovereign debt crisis
Durham, J. Benson - In: The journal of portfolio management : a publication of … 40 (2014) 2, pp. 86-93
Persistent link: https://www.econbiz.de/10010365089
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The geographic spread of a large devaluation
Cravino, Javier; Levchenko, Andrei A. - In: AEA papers and proceedings 108 (2018), pp. 562-566
Persistent link: https://www.econbiz.de/10011891410
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Yield curve shapes and foreign exchange rates : the term structure of interest rates model approach
Ishii, Hokuto - In: Applied economics 55 (2023) 38, pp. 4402-4414
Persistent link: https://www.econbiz.de/10014301246
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What Do Sovereign Spreads Say About Expected Defaults and Devaluations? An Application to the European Sovereign Debt Crisis
Durham, J. Benson - 2019
This article outlines two general approaches to disentangle expected defaults and anticipated devaluations from distressed sovereign spreads. The first uses affine term structure models and uncovered interest rate parity to extract a schedule between risk-neutral devaluation odds and exchange...
Persistent link: https://www.econbiz.de/10012868618
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The persistence of unemployment under a fixed exchange rate peg
Jeanne, Olivier - 1997
Persistent link: https://www.econbiz.de/10000973919
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Estimating the credibility of an exchange rate target zone
Girardin, Eric - In: Journal of international money and finance 16 (1997) 6, pp. 931-944
Persistent link: https://www.econbiz.de/10001337344
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Long-run causality, with an application to international links between long-term interest rates
Bruneau, Catherine; Jondeau, Eric - In: Oxford bulletin of economics and statistics 61 (1999) 4, pp. 545-568
Persistent link: https://www.econbiz.de/10001437430
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Modélisation FIGARCH appliquée à l'analyse de la structure par terme des taux d'intérêt
Lardic, Sandrine; Mignon, Valérie - In: Finance : revue de l'Association Française de Finance 20 (1999) 1, pp. 91-114
Persistent link: https://www.econbiz.de/10001475134
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Estimation of a linear Gaussian model
Danesi, Vladimir; Genon-Catalot, Valentine; Laurent, … - In: Finance : revue de l'Association Française de Finance 19 (1998) 2, pp. 41-69
Persistent link: https://www.econbiz.de/10001476773
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On the irrelevance of expectations about the short-term interest rate : a return to the "preferred habitat" theory
Avouyi-Dovi, Sanvi; Boutillier, Michel; Topol, Richard - 1990
Persistent link: https://www.econbiz.de/10000794599