ERN: Econometric Studies of Foreign Exchange Markets (Topic)最新文献

Multivariate Rotated ARCH Models 多元旋转ARCH模型

ERN: Econometric Studies of Foreign Exchange Markets (Topic) Pub Date : 2013-11-05 DOI: 10.2139/ssrn.2007484

Diaa Noureldin, N. Shephard, Kevin Sheppard

引用次数: 54

Direct versus Indirect Regression Estimates of Foreign Exchange Cash Flow Exposure 外汇现金流量敞口的直接与间接回归估计

ERN: Econometric Studies of Foreign Exchange Markets (Topic) Pub Date : 2013-09-09 DOI: 10.2139/ssrn.2166503

Alain A. Krapl, Thomas J. O'Brien

引用次数: 7

Exchange Rates as Exchange Rate Common Factors 汇率作为汇率的共同因素

ERN: Econometric Studies of Foreign Exchange Markets (Topic) Pub Date : 2012-08-30 DOI: 10.2139/ssrn.2138713

Ryan Greenaway, Nelson C. Mark, Donggyu Sul, Jyh‐Lin Wu

引用次数: 31

Systemic Risk in Europe Due to Foreign Currency Loans 外币贷款引发的欧洲系统性风险

ERN: Econometric Studies of Foreign Exchange Markets (Topic) Pub Date : 2012-07-31 DOI: 10.2139/ssrn.2141228

Pınar Yeşin

{"title":"Systemic Risk in Europe Due to Foreign Currency Loans","authors":"Pınar Yeşin","doi":"10.2139/ssrn.2141228","DOIUrl":"https://doi.org/10.2139/ssrn.2141228","url":null,"abstract":"Foreign currency loans given to the unhedged non-bank sector are remarkably prevalent in Europe. Especially Swiss franc denominated loans, which are widely popular in Eastern European countries, are believed to pose a significant exchange-rate-induced credit risk to the European banking sectors. A sudden depreciation of the domestic currencies in Eastern European countries could trigger simultaneous bank failures, if unhedged borrowers cannot service their foreign currency loans anymore. Therefore they pose a systemic risk from a “common market shock” view. This paper attempts to quantify the systemic risk arising from foreign currency loans in 17 European countries quarterly between 2007:Q1 and 2011:Q3. For that purpose, I use a novel dataset collected by the Swiss National Bank and I build on the method suggested in Ranciere, Tornell, and Vamvakidis (2010). In particular, I calculate to which extent the European banking sectors’ balance sheets would be affected if households and/or non-financial firms cannot pay back their foreign currency loans. I find that the systemic risk in Eastern Europe is substantial, while it is relatively low in the remaining European countries. However, CHF-denominated loans are not the main source behind the systemic risk in Eastern Europe, contrary to what the policymakers and the general public might perceive. I find that loans denominated in other foreign currencies (possibly in euros) contribute to the systemic risk in Eastern Europe significantly more than CHF loans do. Furthermore, systemic risk shows high persistence, and low volatility during the sample period. Last but not least, banks in Europe have been persistently holding more foreign currency denominated assets than liabilities, indicating that they are aware of the exchange-rate-induced credit risk they are facing.","PeriodicalId":355463,"journal":{"name":"ERN: Econometric Studies of Foreign Exchange Markets (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125924418","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 5

Tobin Tax and Exchange Rate Volatility: A Reassessment 托宾税与汇率波动:再评估

ERN: Econometric Studies of Foreign Exchange Markets (Topic) Pub Date : 2012-07-18 DOI: 10.2139/ssrn.2112203

O. Damette

{"title":"Tobin Tax and Exchange Rate Volatility: A Reassessment","authors":"O. Damette","doi":"10.2139/ssrn.2112203","DOIUrl":"https://doi.org/10.2139/ssrn.2112203","url":null,"abstract":"From Olsen Financial Studies data on the Euro-Dollar currency pair (2008-2010), we conduct a time-series analysis to explain the role of trading volume on exchange rate volatility (Mixture Distribution Hypothesis), taking into account non-linearity. We find evidence that the MDH holds in turbulent periods, during which spreads and volume trading are high. When spreads and the volume are high, the relationship between trading volume and volatility tends to increase. Linking this result with the Tobin tax debate implies that a Tobin tax would be effective for curbing speculation and reducing exchange rate volatility, even in turbulent periods. This paper provides the first empirical corroboration of this proposition and seems to confirm some previous theoretical papers in the vein of Tobin. All in all, two main results emerged. First, the abundant literature on the MDH, but exclusively based on linear econometrics, should take into account non-linearities. Second, the effect of a Tobin tax on volatility would be slightly context-dependent and always negative. A Tobin tax would have been stabilizing and effective in the 2008 crisis when spreads, volume and volatility were very high.","PeriodicalId":355463,"journal":{"name":"ERN: Econometric Studies of Foreign Exchange Markets (Topic)","volume":"74 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126276489","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Optimal Holdings of International Reserves: Self-Insurance Against Sudden Stop 国际储备最优持有:防范突然停止的自我保险

ERN: Econometric Studies of Foreign Exchange Markets (Topic) Pub Date : 2012-07-01 DOI: 10.3386/W18219

G. Calvo, A. Izquierdo, Rudy Loo-Kung

引用次数: 88

RMB Internationalization: Onshore/Offshore Links 人民币国际化:在岸/离岸联系

ERN: Econometric Studies of Foreign Exchange Markets (Topic) Pub Date : 2012-05-01 DOI: 10.2139/ssrn.2127027

Samar Maziad, J. Kang

引用次数: 54