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on International Finance |
| By: | Juan José Echavarría; Luis Fernando Melo Velandia; Mauricio Villamizar |
| Abstract: | To date, there is still great controversy as to which exchange rate model should be used or which monetary channel should be considered, when measuring the effects of monetary policy. Since most of the literature relies on structural models to address identification problems, the validity of results largely turn on how accurate the assumptions are in describing the full extent of the economy. In this paper we compare the effect of different types of central bank interventions using an event study approach for the Colombian case during the period 2000-2012, without imposing restrictive parametric assumptions or without the need to adopt a structural model. We find that all types of interventions (international reserve accumulation options, volatility options and discretionary) have been successful according to the smoothing criterion. In particular, volatility options seemed to have the strongest effect. We find that results are robust when using different windows sizes and counterfactuals. |
| Keywords: | Central bank intervention, foreign exchange intervention mechanisms, event study. Classification JEL: E52, E58, F31. |
| Date: | 2013–10 |
| URL: | http://d.repec.org/n?u=RePEc:bdr:borrec:784&r=ifn |
| By: | Joachim Wagner (Leuphana University Lueneburg, Germany); John P. Weche Geluebcke (Leuphana University Lueneburg, Germany) |
| Abstract: | In this paper we present the first evidence for a link between foreign ownership and credit constraints for Germany, one of the world's leading target countries for foreign direct investment. Furthermore, we contribute to the literature by investigating the impact of a foreign acquisition on the target firms' credit constraints for the first time. We use newly available comprehensive panel data that we constructed from information collected by the German statistical oces and from credit rating scores supplied by the leading German credit rating agency. We find foreign owned firms in German manufacturing on average to show slightly more financing restrictions than domestically owned enterprises, but this very small difference diminishes once unobserved heterogeneity is taken into account. We further demonstrate that one reason for this finding is the preference of foreign investors for targets with relatively low credit-worthiness. Although the likelihood of a foreign acquisition appears to be correlated with credit constraints, there is no impact of foreign takeovers on the credit constraints of the target firms ex post and therefore no support for the hypothesis that foreign takeovers ease financial frictions. |
| Keywords: | credit constraints, foreign ownership, acquisitions, Germany |
| JEL: | F21 F23 G34 |
| Date: | 2013–09 |
| URL: | http://d.repec.org/n?u=RePEc:lue:wpaper:283&r=ifn |
| By: | Paolo Giudici (Department of Economics and Management, University of Pavia); Alessandro Spelta (Department of Economics and Management, University of Pavia) |
| Abstract: | The late-2000s financial crisis has stressed the need of understanding the world financial system as a network of countries, where cross-border financial linkages play a fundamental role in the spread of systemic risks. Financial network models, that take into account the complex interrelationships between countries, seem to be an appropriate tool in this context. In this paper we propose to enrich the topological perspective of network models with a more structured statistical framework, that of graphical Gaussian models, which can be employed to accurately estimate the adjacency matrix, the main input for the estimation of the interconnections between different countries. We consider different types of graphical models: besides classical ones, we introduce Bayesian graphical models, that can take model uncertainty into account, and dynamic Bayesian graphical models, that provide a convenient framework to model temporal cross-border data, decomposing the model into autoregressive and contemporaneous networks. The paper shows how the application of the proposed models to the Bank of International Settlements locational banking statistics allows the identification of four distinct groups of countries, that can be considered central in systemic risk contagion. |
| Keywords: | Financial network models, Graphical models, Bayesian model selection |
| Date: | 2013–10 |
| URL: | http://d.repec.org/n?u=RePEc:pav:demwpp:demwp0052&r=ifn |