Financial stress and its non-linear impact on CEE exchange rates
Identifikátory výsledku
Kód výsledku v IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10376533" target="_blank" >RIV/00216208:11230/18:10376533 - isvavai.cz</a>
Nalezeny alternativní kódy
RIV/67985998:_____/18:00490138 RIV/00216208:11640/18:00496144
Výsledek na webu
<a href="https://doi.org/10.1016/j.jfs.2018.04.008" target="_blank" >https://doi.org/10.1016/j.jfs.2018.04.008</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.jfs.2018.04.008" target="_blank" >10.1016/j.jfs.2018.04.008</a>
Alternativní jazyky
Jazyk výsledku
angličtina
Název v původním jazyce
Financial stress and its non-linear impact on CEE exchange rates
Popis výsledku v původním jazyce
This paper studies the reaction of selected CEE (satellite) currencies to increased financial stress in the euro area (core) and also in global financial markets. We suggest that this reaction might be non-linear; the "safe haven" status of a satellite currency may hold in calm periods, but breaks down when risk aversion is elevated. A stylized model of portfolio allocation between assets denominated in euro and the satellite currency suggests the presence of two regimes characterized by different reactions of the exchange rate to an increased stress in the euro area. In the "diversification" regime, the satellite currency appreciates in reaction to an increase in the expected variance of EUR assets, while in the "flight to safety" regime, the satellite currency depreciates in response to increased expected volatility. We suggest that the switch between regimes is related to changes in risk aversion, driven by the level of strains in the financial system as captured by financial stress indicators. Using the Bayesian Markov-switching VAR model, the presence of these regimes is identified in the case of the Czech koruna, the Hungarian forint and the Polish zloty.
Název v anglickém jazyce
Financial stress and its non-linear impact on CEE exchange rates
Popis výsledku anglicky
This paper studies the reaction of selected CEE (satellite) currencies to increased financial stress in the euro area (core) and also in global financial markets. We suggest that this reaction might be non-linear; the "safe haven" status of a satellite currency may hold in calm periods, but breaks down when risk aversion is elevated. A stylized model of portfolio allocation between assets denominated in euro and the satellite currency suggests the presence of two regimes characterized by different reactions of the exchange rate to an increased stress in the euro area. In the "diversification" regime, the satellite currency appreciates in reaction to an increase in the expected variance of EUR assets, while in the "flight to safety" regime, the satellite currency depreciates in response to increased expected volatility. We suggest that the switch between regimes is related to changes in risk aversion, driven by the level of strains in the financial system as captured by financial stress indicators. Using the Bayesian Markov-switching VAR model, the presence of these regimes is identified in the case of the Czech koruna, the Hungarian forint and the Polish zloty.
Klasifikace
Druh
J<sub>imp</sub> - Článek v periodiku v databázi Web of Science
CEP obor
—
OECD FORD obor
50201 - Economic Theory
Návaznosti výsledku
Projekt
<a href="/cs/project/GA13-06229S" target="_blank" >GA13-06229S: Mezinárodní přenos šoků v rámci makrofinančních vazeb</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Ostatní
Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Údaje specifické pro druh výsledku
Název periodika
Journal of Financial Stability
ISSN
1572-3089
e-ISSN
—
Svazek periodika
36
Číslo periodika v rámci svazku
June
Stát vydavatele periodika
US - Spojené státy americké
Počet stran výsledku
15
Strana od-do
346-360
Kód UT WoS článku
000434490200024
EID výsledku v databázi Scopus
2-s2.0-85047307905