کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090336 1375627 2011 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
When and how US dollar shortages evolved into the full crisis? Evidence from the cross-currency swap market
چکیده انگلیسی
This paper investigates when and how the US dollar shortages evolved into the full crisis in the cross-currency swap market between major European currencies and the US dollar during the turmoil of 2007-2009, using the dynamic factor model with regime-switching β coefficients of each swap price with respect to the latent common factor. The 1-year market entered the high-β crisis regime soon after the onset of the subprime problem in August 2007. The 10-year market entered that regime following the collapse of Bear Sterns in mid-March 2008. Financial credit spreads have significant predictive power for switches between high and low-β regimes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 35, Issue 6, June 2011, Pages 1450-1463
نویسندگان
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