Search results for "currency"
showing 10 items of 165 documents
Weak efficiency of the cryptocurrency market: a market portfolio approach
2019
ABSTRACTCryptocurrencies have attracted the attention of many investors and policymakers given the increase in popularity of Bitcoin. In this context, we analyse the cryptocurrency market by means ...
Speculation and lottery-like demand in cryptocurrency markets
2021
Abstract This is the first paper that explores lottery-like demand in cryptocurrency markets. Since recent research provides evidence that cryptocurrency returns appear to be short-memory processes, we modify Bali, Cakici and Whitelaw’s (2011) and Bali, Brown, Murray, and Tang’s (2017) MAX measure and employ a weekly forecast horizon and daily log-returns from the previous week to calculate the metric for our portfolio sorts. From an econometric point of view, this study proposes statistical tests that are robust to unknown dynamic dependency structures in the cryptocurrency data. Our results show that average raw and risk-adjusted return differences between cryptocurrencies in the lowest a…
Substituting a substitute currency
2008
Abstract This study evaluates the dynamics between the dollar and euro balances in the Estonian economy. The focus is to apply the traditional currency substitution model to the substitution of the substitute currency, the dollar and euro-related foreign currency balances. We find substitution between the dollar and the euro to be asymmetric in the short run. Inertia, irreversibility and ratchet effects favoured the use of the euro as a substitute currency. No significant evidence of asymmetries in the long run was detected. However, in general, a traditional model for currency substitution was capable of explaining the dynamics of the euro and the dollar as substitute foreign currencies.
Spillovers through banking centers: a panel data analysis of bank flows
2003
Abstract This paper presents evidence that spillovers through bank lending contributed to the transmission of currency crises during the recent episodes of financial instability in emerging markets. The innovation of the paper is that it looks beyond aggregated measures of contagion into the structure of bank flows, disaggregating by banking centers. The main findings are that spillovers caused by banks’ exposures to a crisis country help predict flows in third countries after the Mexican and Asian crises, but not after the Russian crisis. In the latter, there is evidence of a generalized outflow from emerging markets. The importance of spillovers through banking centers suggests that count…
Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis
2009
Abstract In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding the currency crisis events affecting a number of East Asian countries during the 1997–1998 period. The principal components model improves upon a number of competing models, in terms of out-of-sample forecasting performance.
Extreme interdependence and extreme contagion between emerging markets
2007
Abstract This paper uses seemingly unrelated probit techniques to separate the transmission of a crisis due to broadly defined macroeconomic interdependence from contagion due to herding, avoiding some of the caveats of the more traditional cross-correlation approach. We find that pure contagion occurred in a limited number of country pairs generally belonging to the same region. A reduction in speculative pressure can also be identified between countries in different regional blocks. This seems to suggest that after an initial crisis episode, investors tend to discriminate on the basis of location and common macroeconomic weakness or perceived similarity.
Financial crises in Spain: lessons from the last 150 years
2012
Financial crises are not unique to current financial systems. Are crises alike? Have they become more frequent, longer lasting and more severe since the 20th century? What does history tell us? The objective of this paper is to study the financial crises that have occurred in Spain over the last 150 years. We consider different types of crises (banking, currency and stock market crises), together with all their possible combinations, estimate their frequency by period and measure their length and depth. The main conclusion we obtain is that Spanish crises have been more frequent than in the rest of the world and have been more severe and more complex since 1973, as the 2007 crisis is confir…
Money Doctoring After World War II: Arthur I. Bloomfield and the Federal Reserve Missions to South Korea
2009
In this paper we analyse the scientific contributions of the New York Fed economist Arthur I. Bloomfield. A Canadian born economist, in 1941 Bloomfield took his PhD in economics at the University of Chicago, under the supervision of Jacob Viner and then joined the staff of the Federal Reserve Bank of New York as a Research Economist and stayed there until 1958. In this position, Bloomfield combined scholarly research on recent economic history and international financial and banking problems with active service as a member of various committees and commissions, both in the United States and abroad. While on leave from the Fed, he accepted appointments as a consultant and advisor to various …
Money in the "Body Politick" : The Analysis of Trade and Circulation in the Writings of Seventeenth-Century Political Arithmeticians.
2005
International audience; This article discusses the analysis of trade and circulation in the writings of seventeenth-century political arithmeticians. Political arithmetic was in its way an anatomy of the social body. William Petty titled his 1672 book The Political Anatomy of Ireland. In his preface he explicitly claimed to be following Francis Bacon, highlighting the experimental method and the idea that analytical methods can be transposed from one discipline to another. He thus drew a parallel between the natural body and the body politic. It was a widely held idea that money guaranteed the nation's health; conversely its poor state of health could lead to the wasting away of the body po…
Community currency (CCs) in Spain: An empirical study of their social effects
2016
Despite its sudden proliferation along the economic crisis period, no previous study has investigated the social effects of the community currency (CCs) experiences in Spain. Previous research on CCs experiences from different countries provided evidences about social capital improvement, introducing CCs as sustainability tools. This research uses the theoretical frameworks of social capital and complex adaptive systems to approach concepts like sustainability, networks, trust, norms, participation and cooperation. Statistical analysis of the data collected in June 2013 through online survey explores social capital and resilience indicators among the Spanish exchange community users, conclu…