Currency Excess Returns and External Imbalances
Currency Premia and Global Imbalances
... driving currency risk ...issue external liabilities in domestic currency generates a large spread in ...global imbalances and the currency denomination of external liabilities ...
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Currency premia and global imbalances
... driving currency risk ...issue external liabilities in domestic currency generates a large spread in ...global imbalances and the currency denomination of external liabilities ...
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Emerging Market Currency Excess Returns
... our excess return ...this currency-by-currency calculation to encompass passively or actively managed portfolios in which the allocation of positions between currencies needs to be adjusted monthly ...
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Currency excess returns and global downside market risk
... and currency excess returns can be overcome by considering a CAPM version that distinguishes between exposure to the market risk in times of negative/low market returns (downside risk) and in ...
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The predictive information content of external imbalances for exchange rate returns: How much is it worth?
... of currency strate- gies investing in the Canadian dollar (CAD), Deutsche mark/euro (EUR), British pound (GBP) and Japanese yen (JPY) relative to the US dollar ...cyclical imbalances to forecast nominal ...
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Linkages between Excess Currency and Stock Market Returns: Granger Causality in Mean and Variance
... the excess currency return is the leading variable and Granger causes the excess stock return volatility in the ...stock returns are adjusted for ...
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A provincial view of China’s external imbalances
... The quality of provincial and aggregate Chinese National Accounts data is an important issue that we explore in the second chapter of the thesis, where we focus on some stylized facts and discuss the quality and ...
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Crash Risk in Currency Returns
... expected jump to vary over time. A single jump process with a zero mean jump size implies a zero conditional expected jump. Two jump processes have a potential to generate the requisite variation either via time-varying ...
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Currency Crises and Fiscal Imbalances. The Transition Countries Perspective
... of currency crises of FSU economies, have once again demonstrated the crucial role of fiscal sustainability in the overall vulnerability to negative external ...Fiscal imbalances: large deficits and ...
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External Imbalances and Macroeconomic Policy in New Zealand
... In particular, a basic …nancial-system risk is that an external de…cit may fuel a domestic credit boom and thereby raise the probability of a banking crisis. This risk can be mitigated by suitable regulatory ...
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Sovereign external assets and the resilience of global imbalances
... high returns The economic impact of and adjustment to this type of shock has been widely analysed [See Dornbusch (1980) or more recently Obstfeld and Rogoff ...the currency ⎯engineered through domestic ...
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Systematic consumption risk in currency returns
... the excess return of borrowing in countries with the lowest consumption growth in the world over the past year and investing in the currencies of countries that have experienced relative consumption booms over the ...
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Foreign currency returns and systematic risks
... average excess returns on foreign currency portfolios and can jointly rationalize the cross section of both stock and foreign exchange ...average returns is actually too large to be justified ...
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Adjusting to external imbalances within the EMU, the case of Portugal
... no currency to devaluate, and little discretion in fiscal policy as deficit limits and debt targets are set by the Stability Growth Pact and the post- crisis consensus on medium-term fiscal ...
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Eurozone Macroeconomic Framework: Reducing Internal and External Imbalances
... monet ary and fiscal policy combinat ion is not precluded by Art icle 123 of t he Lisbon Treat y 12 . St rict legislat ive limit s could be invoked in relat ion t o t he m agnit ude of t he overt m oney financing operat ...
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Budgetary and external imbalances relationship: a panel data diagnostic
... Text-book imbalances relationship Figure A1 provides a standard text-book illustration to the link between the budget and the current account balances with flexible exchanges rates in the Fleming- Mundell ...
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Eurozone Macroeconomic Framework: Reducing Internal and External Imbalances
... may be necessary to head off the likely increase in external imbalances. As 2014 unfolds the fragility of the Eurozone, and surrounding countries, is still likely to present a continuing serious threat to ...
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External imbalances and collateral constraints in a two-country world
... Foreign currency assets and thus, their fu- ture investment incomes – we remind the readers that lenders are consumption ...Foreign external assets is a negative function of terms of trade, according to ...
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Global Imbalances and Currency Wars at the ZLB
... reserve currency in a global liquidity trap? How do differential inflation targets and degree of price rigidity influence the distribution of the impact of a global liquidity trap? What are the roles of public ...
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External Imbalances in the Euro Area
... account imbalances of individual euro area countries reflected to an important extent the asymmetric impact of trade shocks originating outside the euro area, as well as sustained cheap financing from core euro ...
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