Monitoring of Business Cycles for the Land Saxony-Anhalt
Monitoring of Business Cycles for the Land Saxony-Anhalt This data was generated by...
Does Machine Learning Help us Predict Banking Crises? ...
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Joint Economic Forecast The joint economic forecast is an instrument for evaluating...
Population and labour market
Population and labour market Inhabitants are all people (Germans and foreigners) with permanent residence in federal territory (or in a Land). That does not include ...
Macro data interactive
Macro data interactive This service provides time series from official publications (Statistisches Bundesamt (German Federal Statistical Office), Arbeitskreis...
Income and savings
Income and savings Primary income of the private households The primary income of the private households (including private non-profit organisations) includes the income...
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A Market-based Measure for Currency Risk in Managed Exchange Rate Regimes
Journal of International Financial Markets, Institutions and Money,
We introduce a novel currency risk measure based on American Depositary Receipts (ADRs). Using an augmented ADR pricing model, we exploit investors’ exposure to potential devaluation losses to derive an indicator of currency risk. Using weekly data for a sample of 807 ADRs located in 21 emerging markets over the 1994–2014 period, we find that a deterioration in the fiscal balance and higher inflation increase currency risk. Interaction models reveal that the fiscal balance and inflation drive the determination of currency risk for countries with poor sovereign rating, low foreign reserves, low capital account openness and managed float regimes.