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Saturday, August 1, 2020 | History

2 edition of Interest rate volatility, capital controls and contagion found in the catalog.

Interest rate volatility, capital controls and contagion

Sebastian Edwards

Interest rate volatility, capital controls and contagion

by Sebastian Edwards

  • 40 Want to read
  • 31 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Interest rates -- Mexico -- Econometric models.,
  • Interest rates -- Argentina -- Econometric models.,
  • Interest rates -- Chile -- Econometric models.,
  • Capital movements -- Mexico -- Econometric models.,
  • Capital movements -- Argentina -- Econometric models.,
  • Capital movements -- Chile -- Econometric models.

  • Edition Notes

    StatementSebastian Edwards.
    SeriesNBER working paper series -- working paper 6756, Working paper series (National Bureau of Economic Research) -- working paper no. 6756.
    Classifications
    LC ClassificationsHB1 .W654 no. 6756
    The Physical Object
    Pagination23, 2, [15] p. :
    Number of Pages23
    ID Numbers
    Open LibraryOL22401749M

      In the case of non-par policies that offer guaranteed returns with IRR (internal rate of return) of per cent, there is the risk of reinvestment in a falling interest rate ://   【IMI Working Paper No. [EN]】Spillover Effects of Capital Controls on Capital Flows and Financial Risk Contagion 【IMI Working Paper No. [EN]】The Impact of COVID on Stock ?p=

    First, current low levels of volatility mask the degree of potential “risk”. As exchange and interest rate volatility fell during the s, capital flows well exceeded emerging market GDP ://   Suppose an individual purchases a 3% fixed-rate year bond for $10, This bond pays $ per year through maturity. If during this time, interest rates rise

      domestic capital controls aimed at limiting excessive capital inflows in good times, hence reducing the likelihood of a solo or a twin crisis in bad times. Chile’s long experience with capital controls—of both the administrative and the quantitative sort—has caught the interest of both policy makers and academics in a world of Hong-Yi Chen, Cheng Few Lee, Tzu Tai, The Joint Determinants of Capital Structure and Stock Rate of Return: A LISREL Model Approach, Review of Pacific Basin Financial Markets and Policies, /S, 22, 02, (), ().


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Interest rate volatility, capital controls and contagion by Sebastian Edwards Download PDF EPUB FB2

Interest Rate Volatility, Capital Controls, and Contagion Sebastian Edwards. NBER Working Paper No. Issued in October NBER Program(s):International Finance and Macroeconomics Current debates on globalization have tended to focus on financial market volatility and Downloadable.

Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many proponents of the imposition of some form of capital restrictions in emerging markets have argued that these would help reduce or even eliminate spillover across emerging market.

Although this has been an old concern among developing economies, it has become more Get this from a library. Interest rate volatility, capital controls and contagion.

[Sebastian Edwards] Get this from a library. Interest rate volatility, capital controls and contagion. [Sebastian Edwards; National Bureau of Economic Research.] -- Abstract: Current debates on globalization have tended to focus on financial market volatility and contagion. In fact, many proponents of the imposition of some form of capital restrictions in This paper studies a plausible connection among rational speculators, exchange rate volatility and capital controls.

When Krugman () asserted that there should be appropriate controls on US interest rate volatility and contagion effects (propagation of crises) are investigated using GARCH equations over the period More specifically, I ask whether restrictions to capital mobility and, in particular, controls on capital inflows of the type Chile implemented throughout most of the s reduce a country's vulnerability to contagion.

I also deal, albeit briefly, with the connection between the exchange rate regime and the propagation of international :// This has prompted a surge of interest in “contagion”.

Sebastian (). “Interest Rate Volatility, Capital Controls, and Contagion.” NBER Working Paper Google Scholar. Eichengreen, Barry, Andrew Rose, and Charles Wyplosz (). “Contagious Currency Crises.” Buy this book on publisher's site; Reprints and Permissions   Capital control represents any measure taken by a government, central bank or other regulatory body to limit the flow of foreign capital in and out of the domestic economy.

These controls How China's Capital Controls Help Manage its Foreign Exchange Rate. China's recent controls have principally affected domestic businesses and households.

However, foreign businesses may face uncertainty in international trade with China if authorities continue to use capital and exchange controls to manage the yuan's exchange rate. Read Article In addition to review research on contagion, there are also studies that examine the relationship between the exchange rate, interest rate, and stock market.

Sensoy and Sobaci [ 22 ] analyze the dynamic relationship between the exchange rate (against the US dollar), interest rate, and stock market of Turkey from January to September   The economic fundamentals under intertemporal capital asset pricing model (ICAPM) are world market and Fama-French’s (FF) size and book-to-market risks, so the evidence of contagion is based on testing whether idiosyncratic risks—the part that cannot be explained by the world market and FF risks, are significant in describing the dynamics Financial account liberalization may cause real exchange rate volatility and from ECON at York University   Inwhen capital controls on inflows were introduced, the authorities had four goals in mind: 12 First, to slow down the volume of capital flowing into the country, and to tilt its composition towards longer maturities; second, to reduce the degree of nominal (and real) exchange rate volatility; third, to reduce (or, at least, delay) the   Large Capital Flows Causes, Consequences, and Policy Responses Alejandro L pez-Mej a.

Large capital inflows can bring considerable economic benefits to developing countries but, if not properly managed, can also cause economies to overheat, increase exchange rate volatility, and lead eventually to large :// Bhattacharya, Amar, Stijn Cläessens, Swati Ghosh, Leonardo Hernandez, and Pedro Alba ().

“Volatility and Contagion in a Financially-Integrated World: Lessons from East Asia’s Recent Experience.” Paper presented at the PAF Asia Pacific Financial Liberalization and Reform, May 20–22, Chiangmai, Thailand. Google Scholar Exchange Rate Volatility Contagion Killed The ‘Asian Tigers’ The tequila crisis helped set the scene for the second s exchange rate volatility crisis.

As investors pulled their funds from Latin America, some opted to invest in the fast-growing “Asian tiger” :// Capital Flow Volatility and Contagion: A Focus on Asia (), in Bruno Carrasco, Subir Gokarn, and Hiranya Mukhopadhyay, eds., Managing Capital Flows: Issues in Selected Emerging Market Economics, Oxford University Press: New Delhi, pgs Older version   【IMI Working Paper No.

[EN]】Spillover Effects of Capital Controls on Capital Flows and Financial Risk Contagion IMI 【Abstract】 This paper aims to explicitly investigate the multilateral effects of capital controls on capital flows and the ?p= Last week’s G20 meeting in Busan, Korea, dissolved with agreement on “national, regional and multilateral efforts to deal with capital volatility and prevent crisis contagion”.

Call it. This chapter describes requirements on assessing interest rate risk in the banking book, ie the current or prospective risk to a bank's capital and to its earnings, arising from the impact of adverse movements in interest rates on its banking book.

Due to the heterogeneous nature of this risk, it is captured in Pillar ://  Shocks to capital flows into a small open economy lead to volatility in asset prices and credit supply.

To lessen the impact of capital flows on financial instability, a central bank funds it optimal to use the domestic interest rate to "manage" the capital ://contagion.

This book is one of the most extensive collections, to date, of undertaken, however, volatility in the international financial system will not disappear.

episodes and whether macroeconomic policies such as capital controls, exchange rate flexibility, and debt maturity affected a country's vulnerability?DocumentID=