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Early warning for currency crises: what is the role of financial openness?
Frost, Jon; Saiki, Ayako - de Nederlandsche Bank - 2013
constructed gravity-based contagion index to assess the importance of these factors in the run-up to currency crises. Using a … risk of a crisis for EMEs. Third, contagion has a very strong impact, consistent with the past literature, especially …
Persistent link: https://www.econbiz.de/10010757284
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Measuring Stock Market Contagion with an Application to the Sub-prime Crisis
Mink, Mark; Mierau, Jochen - de Nederlandsche Bank - 2009
We present a new method to examine financial contagion, defined as a sudden strengthening of shock transmission between …
Persistent link: https://www.econbiz.de/10004963328
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Can Open Capital Markets Help Avoid Currency Crises?
Garita, Gus; Zhou, Chen - de Nederlandsche Bank - 2009
currency crises. We address three interrelated questions: (i) How can we best capture contagion; (ii) Is the contagion of … measure, we test for contagion and conclude that contagion only exists regionally. Furthermore, we construct a â …€œcross-market rebalancing variable based on the regional CPJF. By employing a probit model to compare our new variable with a regular contagion …
Persistent link: https://www.econbiz.de/10005101790
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Currency Crises Models for Emerging Markets
Vlaar, P.J.G. - de Nederlandsche Bank - 1999
In this paper, a new method is introduced to predict currency crises. The method models a continuous crisis index, based on depreciations and reserve losses. The fact that during currency crises, the behaviour of market participants differs from normal circumstances is modelled by means of model...
Persistent link: https://www.econbiz.de/10005030240
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Inside the Impossible Triangle:Monetary Policy Autonomy in a Credible Target Zone
Jansen, W. Jos - de Nederlandsche Bank - 2003
This paper examines the trade-off between exchange rate stability and monetary autonomy for a target zone. Using the guilder-mark target zone in the pre-EMU period as a case study, we empirically estimate how much policy discretion the Dutch central bank still enjoyed and how much had been ceded...
Persistent link: https://www.econbiz.de/10005106747
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Running for the Exit: International Banks and Crisis Transmission
Haas, Ralph de; Horen, Neeltje van - de Nederlandsche Bank - 2011
The global financial crisis has reignited the debate about the risks of financial globalization, in particular the international transmission of financial shocks. We use data on individual loans by the largest international banks to their various countries of operation to examine whether banks'...
Persistent link: https://www.econbiz.de/10008828360
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IMF-Supported Programs: Stimulating Capital to Solvent Countries
Veer, Koen van der; Jong, Eelke de - de Nederlandsche Bank - 2010
Sovereign default is the switching state between successful and unsuccessful Fund catalysis. We find the IMF to be effective in mobilising private capital flows to middle-income countries that participate in a Fund program, but do not restructure their debt. A debt restructuring is a clear...
Persistent link: https://www.econbiz.de/10008475755
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The financial benefits of the IMF
Bakker, Age; Schrijvers, Martijn - de Nederlandsche Bank - 2000
The IMF provides loans to countries in financial distress at a relatively low interest rate. In this article we calculate how much the seven largest debtors to the IMF have saved on interest payments during the Asian crisis and its aftermath. We explain how the IMF can charge these low interest...
Persistent link: https://www.econbiz.de/10005106758
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Towards a Stable Monetary Union: What Role for Eurobonds?
Gilbert, Niels; Hessel, Jeroen; Verkaart, Silvie - de Nederlandsche Bank - 2013
This paper investigates the role that Eurobonds could play in making EMU stable in the long run. We establish that EMU's budgetary problems are not only caused by lack of budgetary discipline, but also by the large and sudden fiscal deterioration during the financial crisis. This type of shock...
Persistent link: https://www.econbiz.de/10010757280
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Foreign Banks and Credit Stability in Central and Eastern Europe: Friends or Foes? A Panel Data Analysis
Haas, Ralph de; Lelyveld, Iman van - de Nederlandsche Bank - 2003
We study whether foreign and domestic banks in Central and Eastern Europe have reacted differently to business cycle conditions and host country banking crises. Our unique panel dataset comprises data of more than 300 banks for the period 1993-2000, with detailed information on bank ownership....
Persistent link: https://www.econbiz.de/10005030246