Showing papers in "Journal of International Money and Finance in 2004"

TL;DR: In this paper, the authors use survey data on a sample of over 10,000 firms from 80 countries to assess how successful a priori classifications are in distinguishing between financially constrained and unconstrained firms, and more generally, the determinants of financing obstacles of firms.

TL;DR: In this paper, the authors unify the empirical research on interest-rate passthrough in the euro zone and select optimal pass-through models, which allow for thresholds and asymmetric adjustment, by applying these models to monetary policy shocks as well as cost-of-funds changes.

TL;DR: In this paper, the importance of risk, the buffer as an insurance, competition effect, supervisory discipline, and economic growth for determining the determination of buffer capital is analyzed using bank-level panel data from Norway.

TL;DR: In this article, the authors examine the proposition that political business cycle theory is relevant to private foreign lenders to developing countries and find that credit rating agencies downgrade developing country ratings more often in election years, and do so by approximately one rating level.

TL;DR: This paper examined the role of financial linkages, especially through a common creditor, in the propagation of emerging market crises during the 1990s using panel probit regressions on 41 emerging market countries.

TL;DR: In this article, the authors test empirically the validity of the law of one price using data for five major bilateral US dollar exchange rates and nine goods sectors during the recent floating exchange rate regime since the early 1970s.

TL;DR: In this paper, an extensive evaluation of panel tests of the long-run monetary model of exchange rate determination is conducted, showing that the monetary model performs poorly on a country-by-country basis for US dollar exchange rates over the post-Bretton Woods period for a large number of industrialized countries.

TL;DR: This article used a conditional asset pricing model that permits variation in the price of, and exposure to, risk, and found strong evidence that national markets are only partially integrated into world markets, with around one quarter of total expected excess returns related to local market risk; the remainder being due to world bond market risk.

TL;DR: In this paper, the authors investigated whether the low significance of the impact of foreign exchange rate risk on firm value reported in previous studies can be explained by the fact that only the linear exposure component has been estimated or that exchange rate indices were used.

TL;DR: In this paper, the authors test the relevance of the new trade theory and the traditional theory of comparative advantage for explaining the geographic patterns of international M&As of financial institutions between 1985 and 2000.

TL;DR: This paper examined the impact of the need for financing, domestic policies, external shocks, and structural and institutional factors on borrowings between 1980 and 1996 and found that recidivist borrowers have lower reserve holdings, larger current account deficits and capital outflows, lower but less volatile terms of trade, larger debt service and external debt ratios, lower investment rates and per-capita income, and weak governance.

TL;DR: In this paper, the authors evaluate the quantitative effects of introducing costs of transportation into an international trade model and show that these costs have substantial long-run effects on welfare and may impact the pattern of trade.

TL;DR: The authors examined the relative benefits of industrial versus geographical diversification in the Euro zone before and after the introduction of the common currency and found evidence of a shift in factor importance from country to industry.

TL;DR: In this article, the impact of the introduction of the euro in 1999 on the behavior of real exchange rates is studied and the authors conclude that the process of economic integration in Europe has accelerated convergence toward purchasing power parity (PPP) within the euro area.

TL;DR: The authors examine the connection between the creation of stock exchanges and economic growth with a new set of data on economic growth that spans a longer time period than generally available, and find that economic growth increases relative to the rest of the world after a stock exchange opens.

TL;DR: This article analyzed the effect of exchange rate risk on trade from the time series data that are typically available and found that the riskiness of the exchange rate at such a long horizon appears fairly constant over time with only short-term fluctuations.

TL;DR: In this paper, the co-incidence of extreme shocks to banks' risk is examined to examine within-country and across-country contagion among large EU banks using Monte Carlo simulations, which is used to identify contagion from one bank to another and identify “systemically important” banks in the EU.

TL;DR: In this article, the authors provide questionnaire evidence on the role of flow analysis for professional traders and fund managers and suggest that besides fundamental information and technical analysis, the analysis of flows provides an independent third type of information for professionals.

TL;DR: In this paper, a theoretical foundation for empirical risk factors often used in international asset pricing, including dividend yields, forward premia and especially exchange-rate indices, is presented, which performs quite well in explaining average foreign exchange and stock market returns in the US, Japan, Germany and UK.

TL;DR: In this paper, the authors discuss proposals for handling bank failures in a manner that is: rapid enough to allow the business to continue, respects the ranking of claims, makes none of the parties worse off than under traditional insolvency and does not require taxpayer funds, except to guarantee the new organization until recapitalization.

TL;DR: In this article, a measure of long-run capital mobility is proposed, which can be easily calculated as a byproduct of the estimation procedure of a cointegrated VAR.

TL;DR: In this paper, the authors use semiparametric methods to estimate a model with unrestricted base-line hazards and test if the time length already spent on a tranquil period is a determinant of the probability of exit into a currency crisis state.

TL;DR: The authors examined the evidence regarding systematic patterns in the euro-dollar foreign exchange market on days when the Governing Council (GC) of the European Central Bank announces its interest rate decisions versus other days.

TL;DR: In this article, the authors studied the evolution of the US dollar real exchange rate vis-a-vis the European Union currencies in the floating post-Bretton-Woods era, both before and after the birth of the Euro.

TL;DR: The authors analyzed all IMF press releases about forthcoming aid for 16 emerging countries during the period 1989-1999, together with references in the Financial Times to possible IMF support, and measured the impact of these announcements on the prices of a number of assets including equities, currencies, domestic and foreign bank stocks, and sovereign debt.

TL;DR: The authors analyzes the relationship between money and inflation in a small open economy, where domestic and foreign currencies are perfect substitutes as means of payment, and shows that if the path of domestic money supply is such that individuals find it optimal to change the currency in which transactions are settled, there will be an adjustment period during which domestic inflation adjusts to equal the foreign inflation rate.

TL;DR: This paper examined the impact of public debt, government credibility and external circumstances on the probability of currency devaluations in a three-period, open-economy version of the Barro and Gordon (J. Polit. Economy 91 (1983) 589) model.

TL;DR: This article developed a simple framework for studying the joint distribution of banking and currency crises and found that the proliferation of government promises, such as adding a promise to bail out bank depositors to the promise of fixing the exchange rate, reduces the likelihood of keeping any individual promise when the resources devoted to keeping the promises are fixed.

TL;DR: The authors analyzes the exchange rate in a "no-arbitrage" or "real business cycle" equilibrium model and provides empirical evidence for this model vis-a-vis PPP.

TL;DR: The use of derivatives by mutual funds in Canada is examined to find that both the incidence and extent of derivatives usage are low, and larger, growth-oriented, domestic equity funds are more likely to use derivatives.