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  1. The interdependence of FX and Treasury Bonds markets: the case of Colombia
    Autor*in: Rincón-Torres, Andrey Duván; Rojas-Silva, Kimberly; Julio-Román, Juan Manuel
    Erschienen: [2021]
    Verlag:  Banco de la Republica Colombia, Bogotá, Colombia

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 468
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Borradores de economía ; no. 1171 (2021)
    Schlagworte: Spillovers effects; Bond returns; Currency risk; FX market
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  2. Capital flow management measures and dollarization
    Autor*in: Andreasen, Eugenia; Nuguer, Victoria
    Erschienen: December 2020
    Verlag:  Inter-American Development Bank, Department of Research and Chief Economist, [Washington, DC]

    This paper studies from an empirical and theoretical perspective the systemic and bank-level effects of imposing reserve requirements (RR) in foreign currency in an economy with a heavily dollarized financial system. The paper empirically... mehr

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    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 144
    Fernleihe:
    keine Fernleihe

     

    This paper studies from an empirical and theoretical perspective the systemic and bank-level effects of imposing reserve requirements (RR) in foreign currency in an economy with a heavily dollarized financial system. The paper empirically characterizes banks responses to the RR carried out by the Peruvian Central Bank since 2008 with the objective of stabilizing the financial market and meeting its policy targets. The results suggest that the RR is effective in reducing the overall level of credit in the economy and that banks response in terms of credit and deposits is very heterogeneous depending on their ex ante preference for foreign funding ratio, i.e., the ratio of deposits in dollars to total loans. Motivated by the empirical insights, the paper builds a DSGE small-open-economy model with financial frictions à la Gertler-Karadi-Kiyotaki, where bank heterogeneity and financial dollarization are introduced to evaluate the effectiveness of the differential RR in reducing financial dollarization and improving financial resilience.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/237462
    Schriftenreihe: IDB working paper series ; no IDB-WP-1167
    Schlagworte: Macroprudential policy; Currency risk; Reserve requirements; Emerging market economies
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  3. Original sin redux
    role of duration risk
    Autor*in: Bertaut, Carol C.; Bruno, Valentina; Shin, Hyun Song
    Erschienen: 17 January 2024
    Verlag:  Centre for Economic Policy Research, London

    We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of US investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates... mehr

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    Verlag (Deutschlandweit zugänglich)
    Verlag (Deutschlandweit zugänglich)

    Standort:
    Universität Potsdam, Universitätsbibliothek
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe

     

    We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of US investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates roll-over risk but amplifies valuation changes that further interact with currency movements. Our analysis highlights the double-edged nature of long-term borrowing and draws attention to market stress dynamics due to strategic complementarities among mutual fund investors.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18757
    Schlagworte: portfolio áows; local currency bonds; mutual funds; non-bank Önancialintermediaries; Emerging economies; Strategic complementarity; Currency risk; Duration
    Umfang: 1 Online-Ressource (circa 76 Seiten), Illustrationen
  4. Original sin redux
    role of duration risk
    Autor*in: Bertaut, Carol C.; Bruno, Valentina; Shin, Hyun Song
    Erschienen: 17 January 2024
    Verlag:  Centre for Economic Policy Research, London

    We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of US investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates... mehr

    Zugang:
    Verlag (Deutschlandweit zugänglich)
    Verlag (Deutschlandweit zugänglich)

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    LZ 161
    Fernleihe:
    keine Fernleihe

    Standort:
    Universitätsbibliothek Mannheim
    Fernleihe:
    keine Fernleihe

    Standort:
    Bibliotheks-und Informationssystem der Carl von Ossietzky Universität Oldenburg (BIS)
    Fernleihe:
    keine Fernleihe

    Standort:
    Universität Potsdam, Universitätsbibliothek
    Fernleihe:
    keine Fernleihe

     

    We highlight the role of duration and exchange rate risks on portfolio flows by using a unique and comprehensive database of US investor flows into emerging market government bonds denominated in local currency. Borrowing long-term mitigates roll-over risk but amplifies valuation changes that further interact with currency movements. Our analysis highlights the double-edged nature of long-term borrowing and draws attention to market stress dynamics due to strategic complementarities among mutual fund investors.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP18757
    Schlagworte: portfolio áows; local currency bonds; mutual funds; non-bank Önancialintermediaries; Emerging economies; Strategic complementarity; Currency risk; Duration
    Umfang: 1 Online-Ressource (circa 76 Seiten), Illustrationen