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Currency Risk Premia in Global Stock Markets

Currency Risk Premia in Global Stock Markets »

Source: Currency Risk Premia in Global Stock Markets

Volume/Issue: 2006/194

Series: IMF Working Papers

Author(s): Matthew Merritt , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

ISBN: 9781451864540

Keywords: Arbitrage pricing theory, risk prices, asset pricing, exchange rate, currency risk, exchange risk, foreign exchange risk, International Finance Forecasting and Simulation,

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedgi...

Europe and Global Imbalances

Europe and Global Imbalances »

Source: Europe and Global Imbalances

Volume/Issue: 2007/144

Series: IMF Working Papers

Author(s): Philip Lane , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

ISBN: 9781451867084

Keywords: external assets and liabilities, current account, foreign assets, net foreign assets, currency composition,

Although Europe in the aggregate is a not a major contributor to global current account imbalances, its trade and financial linkages with the rest of the world mean that it will still be affected by a shift in the...

The Global Credit Crunch and Foreign Banks' Lending to Emerging Markets

The Global Credit Crunch and Foreign Banks' Lending to Emerging Markets »

Source: The Global Credit Crunch and Foreign Banks' Lending to Emerging Markets : Why Did Latin America Fare Better?

Volume/Issue: 2010/102

Series: IMF Working Papers

Author(s): Kulwant Rai , and Herman Kamil

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

ISBN: 9781455200610

Keywords: global: credit crunch, cross-border lending, foreign banks, foreign bank, international settlements, foreign currency, foreign affiliates, International Lending and Debt Problems, Financial Aspects of Economic Integration, International Finance Forecasting and Simulation,

The recent global financial turmoil raised questions about the stability of foreign banks' financing to emerging market countries. While foreign banks' lending growth to most emerging market regions contracted shar...

Global Trade and the Dollar1

Global Trade and the Dollar1 »

Source: Global Trade and the Dollar

Volume/Issue: 2017/239

Series: IMF Working Papers

Author(s): Emine Boz , Gita Gopinath , and Mikkel Plagborg-Møller

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 November 2017

ISBN: 9781484327975

Keywords: Bilateral trade, Foreign exchange, Bayesian semiparametrics, dominant currency, exchange rate passthrough, hierarchical Bayes, panel data, trade elasticity, US dollar, exchange rate pass-through

We document that the U.S. dollar exchange rate drives global trade prices and volumes. Using a newly constructed data set of bilateral price and volume indices for more than 2,500 country pairs, we establish the fo...

Currency Risk Premia in Global Stock Markets

Currency Risk Premia in Global Stock Markets »

Volume/Issue: 2006/194

Series: IMF Working Papers

Author(s): Matthew Merritt , and Shaun Roache

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2006

DOI: http://dx.doi.org/10.5089/9781451864540.001

ISBN: 9781451864540

Keywords: Arbitrage pricing theory, risk prices, asset pricing, exchange rate, currency risk, exchange risk, foreign exchange risk, International Finance Forecasting and Simulation,

Large fundamental imbalances persist in the global economy, with potential exchange rate implications. This paper assesses whether exchange rate risk is priced across G-7 stock markets. Given the multitude of hedgi...

Europe and Global Imbalances

Europe and Global Imbalances »

Volume/Issue: 2007/144

Series: IMF Working Papers

Author(s): Philip Lane , and Gian Milesi-Ferretti

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2007

DOI: http://dx.doi.org/10.5089/9781451867084.001

ISBN: 9781451867084

Keywords: external assets and liabilities, current account, foreign assets, net foreign assets, currency composition,

Although Europe in the aggregate is a not a major contributor to global current account imbalances, its trade and financial linkages with the rest of the world mean that it will still be affected by a shift in the...

Global Trade and the Dollar

Global Trade and the Dollar »

Volume/Issue: 2017/239

Series: IMF Working Papers

Author(s): Emine Boz , Gita Gopinath , and Mikkel Plagborg-Møller

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 13 November 2017

DOI: http://dx.doi.org/10.5089/9781484327975.001

ISBN: 9781484327975

Keywords: Bilateral trade, Foreign exchange, Bayesian semiparametrics, dominant currency, exchange rate passthrough, hierarchical Bayes, panel data, trade elasticity, US dollar, exchange rate pass-through

We document that the U.S. dollar exchange rate drives global trade prices and volumes. Using a newly constructed data set of bilateral price and volume indices for more than 2,500 country pairs, we establish the fo...

Performance of Publicly Listed Chilean Firms During the 2008-2009 Global Financial Crisis

Performance of Publicly Listed Chilean Firms During the 2008-2009 Global Financial Crisis »

Volume/Issue: 2012/261

Series: IMF Working Papers

Author(s): Yi Wu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 31 October 2012

DOI: http://dx.doi.org/10.5089/9781475550573.001

ISBN: 9781475550573

Keywords: firms, foreign currency, aggregate demand, external finance, General,

This paper examines publicly listed Chilean firms' performance during the 2008-09 crisis. In particular, it studies the effects from changes in external financing conditions, aggregate demand, and international tra...

Revisiting the Concept of Dollarization
			: The Global Financial Crisis and Dollarization in Low-Income Countries

Revisiting the Concept of Dollarization : The Global Financial Crisis and Dollarization in Low-Income Countries »

Volume/Issue: 2015/12

Series: IMF Working Papers

Author(s): Nkunde Mwase , and Francis Kumah

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 January 2015

DOI: http://dx.doi.org/10.5089/9781484366912.001

ISBN: 9781484366912

Keywords: deposit dollarization, GMM, impulse response, flight to quality, currency, deposit, exchange rate, deposits, foreign currency, Models with Panel Data

The economic literature has examined deposit dollarization in nominal terms, typically focusing on the ratio of foreign currency deposits to broad money. However, while private agent demand for foreign currency may...

The Global Credit Crunch and Foreign Banks' Lending to Emerging Markets
			: Why Did Latin America Fare Better?

The Global Credit Crunch and Foreign Banks' Lending to Emerging Markets : Why Did Latin America Fare Better? »

Volume/Issue: 2010/102

Series: IMF Working Papers

Author(s): Kulwant Rai , and Herman Kamil

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 2010

DOI: http://dx.doi.org/10.5089/9781455200610.001

ISBN: 9781455200610

Keywords: global: credit crunch, cross-border lending, foreign banks, foreign bank, international settlements, foreign currency, foreign affiliates, International Lending and Debt Problems, Financial Aspects of Economic Integration, International Finance Forecasting and Simulation,

The recent global financial turmoil raised questions about the stability of foreign banks' financing to emerging market countries. While foreign banks' lending growth to most emerging market regions contracted shar...