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Sudden stops and currency crises
Efremidze, Levan; Schreyer, Samuel M.; Sula, Ozan - In: Journal of Financial Economic Policy 3 (2011) November, pp. 304-321
Purpose – The purpose of this paper is to examine empirical characteristics of two commonly mentioned expressions of international financial crisis, “sudden stops” and currency crises. Design/methodology/approach – Sudden stop and currency crisis events are identified and empirical...
Persistent link: https://www.econbiz.de/10010611023
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The 2008 financial crisis: Stock market contagion and its determinants
Luchtenberg, Kimberly F.; Vu, Quang Viet - In: Research in International Business and Finance 33 (2015) C, pp. 178-203
In this paper, we investigate worldwide contagion and its determinants during the 2008 financial crisis. Utilizing an international sample of returns from 2003 to 2009, we consider both uni- and bi-directional contagion. After controlling for crisis-related volatility, we find strong evidence...
Persistent link: https://www.econbiz.de/10011116374
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A Dual Liquidity Model for Emerging Markets
Caballero, Ricardo J.; Krishnamurthy, Arvind - 2002
The last few years have seen a significant re-evaluation of the models used to analyze crises in emerging markets. Recent models typically stress financial constraints or distorted financial incentives. While this certainly represents progress, these models share a weakness with the earlier...
Persistent link: https://www.econbiz.de/10014110704
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A Dual Liquidity Model for Emerging Markets
Caballero, Ricardo J.; Krishnamurthy, Arvind - 2003
The last few years have seen a significant re-evaluation of the models used to analyze crises in emerging markets. Recent models typically stress financial constraints or distorted financial incentives. While this certainly represents progress, these models share a weakness with the earlier...
Persistent link: https://www.econbiz.de/10014121253
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Bull or bear markets: A wavelet dynamic correlation perspective
Benhmad, François - In: Economic Modelling 32 (2013) C, pp. 576-591
In this paper, we contribute to the literature on the international stock market co-movements and contagion, especially during the recent subprime crisis, by researching the interconnections between international stock markets in time-frequency domain.
Persistent link: https://www.econbiz.de/10010664401
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Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies
Apostolou, Apostolos; Beirne, John - 2017
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...
Persistent link: https://www.econbiz.de/10011667194
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Volatility spillovers of Federal Reserve and ECB balance sheet expansions to emerging market economies
Apostolou, Apostolos; Beirne, John - 2017
This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED) and European Central Bank (ECB) to emerging market economies (EMEs) from 2003 to 2014. We find that EME bond markets are most susceptible to positive volatility spillovers from...
Persistent link: https://www.econbiz.de/10011636172
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EMU and the External Value of the Euro
Demertzis, Maria; Hughes Hallett, Andrew - C.E.P.R. Discussion Papers - 1999
The size and economic relevance of Europe may imply a new role for the EURO in the international financial markets. But … will the EURO compete with the $US and the Yen for a place in the basket of international currencies? Will that induce a … run trend of the EURO depends on the economic performance of the partner countries as well as on the properties of the new …
Persistent link: https://www.econbiz.de/10005662141
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The Emergence of the Euro as an International Currency
Alogoskoufis, George; Portes, Richard; Rey, Hélène - C.E.P.R. Discussion Papers - 1997
*The European Union will enter Stage Three of Economic and Monetary Union (EMU) in 1999. The development of euro … financial markets and thickness externalities in the use of the euro as means of payment will be the major factors determining … the importance of the euro as an international currency. As euro securities markets become deeper and more liquid and …
Persistent link: https://www.econbiz.de/10005662175
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The Euro and the International Financial System
Portes, Richard - 2002
This paper analyses the issues raised by EMU for the relationships between the euro area and the international … financial system. The depreciation of the euro exchange rate since the beginning of EMU has attracted most attention. The paper … that the authorities should take a more active policy stance. The paper assesses the role of the euro as an international …
Persistent link: https://www.econbiz.de/10014123552