Currency Mismatches, Default Risk, and Exchange Rate Depreciation: Evidence from the End of Bimetallism
نویسندگان
چکیده
منابع مشابه
Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Empirical Evidence from Greece
The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...
متن کاملEquilibrium Sovereign Default with Endogenous Exchange Rate Depreciation
Sovereign default often affects country’s trade relations. The defaulter’s currency depreciates while trade volume falls drastically. To explain this connection, this study proposes a model to incorporate real depreciation along with sovereign bankruptcy. Defaulters must exchange more of their own goods for imports, which stimulates an adjustment to the equilibrium exchange rate. We demonstrate...
متن کاملEmpirical Exchange Rate Models and Currency Risk: Some Evidence from Density Forecasts
A large literature in exchange rate economics has investigated the forecasting performance of empirical exchange rate models using conventional point forecast accuracy criteria. However, in the context of managing exchange rate risk, interest centers on more than just point forecasts. This paper provides a formal evaluation of recent exchange rate models based on the term structure of forward e...
متن کاملDaily Exchange Rate Behaviour and Hedging of Currency Risk
Exchange rates typically exhibit time-varying patterns in both means and variances. The histograms of such series indicate heavy tails. In this paper we construct models which enable a decision-maker to analyze the implications of such time series patterns for currency risk management. Our approach is Bayesian where extensive use is made of Markov chain Monte Carlo methods. The e ects of severa...
متن کاملCurrency Exchange Rate Forecasting From News Headlines
We investigate how money market news headlines can be used to forecast intraday currency exchange rate movements. The innovation of the approach is that, unlike analysis based on quantifiable information, the forecasts are produced from text describing the current status of world financial markets, as well as political and general economic news. In contrast to numeric time series data textual d...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.941178